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map: SPX hedging map

SPX only. map works for the S&P 500 index (SPX) and for no other symbol.

map is the ConvexValue Terminal app that estimates, for the next trading session of SPX, how the hedging of its options changes with price and time. It is a grid from the current price and time to the next close, coloured by the pressure that hedging is estimated to add at each point.

How to use map

map [vanna]
map

map takes no symbol: it is always SPX. Type the command in the command bar of a pane, or set the parameter in the control panel (the ⚙️ at the right of the bar). In a browser, the app opens at convexvalue.com/go/map/.

Parameters

Parameter Values Default What it does
vanna t or f f vanna adds a mark to every cell of the grid: up where the estimated vanna change is positive, down where it is negative.

Examples

map

The map of SPX for the next session.

map vanna

The same map with the vanna marks.

map spx

Also the same map: the app is for SPX only, and a symbol after the command changes nothing.

How to read it

  • The grid starts at the current price and time on the left and ends at the next close on the right. The vertical axis is the SPX price.
  • Each cell is one price at one time. Green means the estimate has fewer deltas to hedge there, which adds buying pressure; red means more deltas, which adds selling pressure. The deeper the colour, the larger the estimate.
  • The cells that stay black are where the estimate is close to zero: the path of least resistance.
  • The two columns at the right are the strikes: the first for the options that expire today (0DTE), the second for every expiration. Each strike has a pale bar for open interest and a bordered bar for volume, yellow for calls and blue for puts.
  • The blue line is the cumulative delta below each strike, the purple line the cumulative gamma.
  • The map is a model's estimate from the options that are open and trading. It shows where hedging could push; it does not say where SPX will go.
  • dx: the same kind of estimate over the coming weeks, as a surface. SPX only too.
  • stks: gamma, vanna or charm by strike, for any symbol.
  • joy: open interest and volume at every strike and expiration.