# 08 — SpotGamma Playlist Findings

> Source: **SpotGamma 101** YouTube playlist (32 short videos, ~37 min total, scraped 2026-05-26). The official intro to their product. Useful for cross-checking terminology, picking up published win rates, and finding feature gaps in our build.
>
> Raw transcripts saved at [[../youtube transcripts/SpotGamma - 101 Playlist (32 videos)]].

## TL;DR — what's new vs our build

| Concept | Have it? | Action |
|---|---|---|
| Vol Trigger | ✓ (we call it Gamma Flip) | **Rename / alias for terminology match** |
| Call Wall, Put Wall | ✓ (gamma-weighted ranking, post-fix) | None needed |
| Max Pain | ✓ | None needed |
| Implied 1-Day Range | ✗ | **Add — trivially cheap** |
| Charm exposure | ✗ | **Add — pure BS math** |
| HIRO (real-time hedging oscillator) | ✗ | Needs live MBO ([[07 - Future Work]] #4) |
| Synthetic OI (intraday-corrected OI) | ✗ | Needs live MBO |
| TRACE (intraday heatmap) | ✗ | Needs live MBO |
| Compass scanner (bullish/bearish × cheap/expensive) | ✗ | Possible v2 if we ever cover many tickers |
| Volatility term structure | ✗ | Worth adding — we already pull all expirations |
| VRP scanner (vol risk premium) | ✗ | Needs historical realized-vol pull |
| Squeeze scanner | ✗ | Out of scope for now |
| Calendar-spread playbook for events | n/a | Reference for trade structuring |

## Statistics they publish (worth saving)

Pulled directly from the videos — useful as benchmarks for our levels:

- **Call Wall holds as resistance on 83% of sessions** for the S&P. S&P closes below the call wall **88% of the time**. When breached, forward 1-day return is negative-ish, 5-day return ~+5 bps. (Source: #04)
- **Put Wall holds as support on 89% of sessions**. S&P closes above the put wall **93% of the time**. After a breach: +14 bps avg 1-day forward return, +7 bps 5-day. (Source: #05)
- **Vol Trigger split: daily volatility is ~40% higher when price is below the vol trigger** than above. Regime matters that much. (Source: #06)
- **78% of sessions close inside the implied 1-day move.** Breaching it intraday = mean-reversion bias. (Source: prior TrendSpider/SG video; reinforced here)
- **Levels are published before 5 a.m. ET each trading day.** Our pre-open run cadence matches this.

## Terminology cross-reference

| SpotGamma name | Our name | Notes |
|---|---|---|
| Vol Trigger | Gamma Flip | Both = cumulative-GEX zero-crossing strike. Above = positive-gamma regime (calmer); below = negative-gamma (vol expands). |
| Call Wall | Top call wall | Strongest call-side resistance — gamma-weighted strike |
| Put Wall | Top put wall | Strongest put-side support — gamma-weighted strike |
| GEX | GEX | Same |
| Net Delta | Net Delta $ | Same |
| Synthetic OI | (not built) | Their intraday-OI-corrected positioning model |
| Hedging flow / HIRO | (not built) | Real-time net options-buying-vs-selling pressure |
| TRACE | (not built) | Their flagship 2D heatmap of pressure × strike × time |
| Compass | (not built) | 2D scanner: positioning bias × options pricing |
| VRP | (not built) | Vol Risk Premium = implied vs realized |
| Founder's Notes | (n/a) | Their daily editorial / market read |
| Tape | (n/a) | Their real-time block-trade flow scanner |

## New concepts worth understanding

### Vol Trigger ([[02 - Concepts (ELI5)]] already covers this)
This is exactly what we call the gamma flip. The terminology choice "Vol Trigger" emphasizes the *use* — it's the threshold where volatility regime flips, not just a strike label. Worth renaming or at least aliasing in our dashboard.

### Charm (rate of change of delta over time)
**Charm = ∂Delta / ∂t.** As time passes (theta of delta), delta drifts predictably — for ATM options charm is meaningful around 1–3 days from expiration; for OTM it's tiny.

The SpotGamma "charm lens" in TRACE shows where end-of-day charm-driven hedging will pull price. Their playbook:
- **Blue (positive) charm zones**: sticky / magnet — price tends to drift toward them at close
- **Red (negative) charm zones**: repelling — price avoids them

For our build: **charm formula is plain Black-Scholes**, no new data source needed. Add to `options_metrics.fill_greeks()` as a fourth greek alongside gamma/delta/vanna. Per-strike charm exposure could be a fourth bar chart in the visual dashboard.

```
charm_call = -e^(-qT) [φ(d1) (2(r-q)T - d2 σ √T) / (2 T σ √T) + q N(d1)]
charm_put  = -e^(-qT) [φ(d1) (2(r-q)T - d2 σ √T) / (2 T σ √T) - q N(-d1)]
```

### HIRO (Hedging Impact Real-time Oscillator)
Real-time line chart of net dealer hedging force across the trading day. From the playlist:
- Total (purple) = all flow combined
- Calls (orange) up = retail BUYING calls → dealers force-buy stock → upward pressure
- Puts (blue) up = retail SELLING puts → dealers force-buy stock → upward pressure
- (Both up = strong dual bullish flow signal)
- Conversely: orange down = call selling, blue down = put buying → both bearish
- 0DTE-only lens
- Retail-only lens (was popular during GameStop era)
- Default rolling window: 1 day; available 1-week lookback

**Trader plays from videos:**
- **PLTR (#22):** stock approached 155 call wall. Walls would normally cap it. But HIRO showed sustained call buying (orange line rising, +$175M HIRO reading). Lesson: *don't auto-fade walls when flow is confirming directionally; ride momentum instead.*
- **Netflix (#25):** HIRO streaked down toward put wall, then flatlined / reversed. Sell 0DTE put spread below the put wall = mean-reversion play.

**General rule:** When HIRO flatlines or reverses near a wall, take profit or play reversion. When HIRO confirms the move, hold.

For our build: requires live OPRA MBO + trade-direction classification (opening vs closing). Deferred per [[07 - Future Work]] #4.

### Synthetic OI
SpotGamma's intraday-corrected OI. Standard OI is end-of-day; their Synthetic OI updates as trades flow through, categorizing each trade by:
- Participant (market maker vs customer)
- Direction (opening new position vs closing existing)

This gives a much more accurate intraday gamma profile than relying on overnight-settled OI (which is what we use). When customer-buying-calls dominates intraday, dealer short-call exposure builds up *during the session*, and synthetic OI captures that.

For our build: same blocker as HIRO — needs live MBO. This is the technical foundation under their TRACE heatmap.

### TRACE
2D heatmap: **strike on Y axis**, **time on X axis**, **color = pressure magnitude**. Three lenses:
- **Gamma lens**: blue = positive-gamma zones (sticky/calm), red = negative-gamma (volatile)
- **Delta Pressure lens**: where dealers are actively buying/selling
- **Charm lens**: end-of-day attractors/repellers

Their recommended day-flow:
- **Open**: Gamma lens — establish regime, identify pressure zones
- **Midday**: Delta Pressure lens — see real-time hedging shifts
- **Close**: Charm lens — anticipate end-of-day pin

Left edge of TRACE has per-strike GEX bars — basically our `chart-gex` bar chart, but updated intraday and rendered as part of the heatmap.

For our build: blocked on live MBO. But a *daily-snapshot* version of TRACE is feasible right now — just plot strike × time-of-snapshot grids over the past N days. Worth considering for v2.

### Compass
2D scatter for multiple tickers:
- X-axis: bullish (green/left) vs bearish (red/right) positioning
- Y-axis: expensive options pricing (top) vs cheap (bottom)
- Quadrant of interest: **lower-left = cheap + bullish** ("upside at low cost")
- 3/5/10-day historical lookbacks available

We don't currently cover enough tickers for this to make sense (4 underlyings vs SpotGamma's 3500+). If we ever extend to single-name equities (TSLA, NVDA, etc.) it'd become useful.

### Volatility Dashboard
Four views they have:
1. **Fixed strike matrix** — IV per strike × per expiration
2. **Term structure** — IV across time-to-expiration (curve)
3. **Volatility skew** — IV across strikes for a given expiration
4. **VIX term structure** — implied vol of VIX itself across maturities

Our build already has ATM IV per bucket. We could add a **term structure view** trivially: plot ATM IV at 0DTE / 7DTE / 30DTE side-by-side. If 0DTE IV >> 30DTE IV (event-vol-elevation), that's a calendar-spread setup.

### Calendar Spread playbook (#27)
When **near-term IV is elevated** (e.g., earnings priced in) and forward IV adjustment shows market expects a big move:
- **Sell** the expensive near-term option
- **Buy** the longer-dated option at the same strike
- If the expected move *doesn't* materialize, near-term decays fast while long-term holds value
- Risk-capped by definition

We don't trade options, but useful framing for understanding why event-vol structure matters.

### VRP (Volatility Risk Premium)
Difference between implied vol (what options are priced at) and realized vol (what actually happened). Persistent positive VRP = options structurally overpriced = premium-selling has edge.

For our build: would need historical price-history pull (Schwab `/marketdata/v1/pricehistory` or DataBento OHLCV) to compute rolling realized vol, then compare to ATM IV. Not free but achievable.

## Concrete additions to schedule

**Priority 1 (cheap):**
1. Add `bs_charm()` to `options_metrics.py` alongside gamma/delta/vanna
2. Add **Implied 1-Day Range** card to `dashboard_visual.py` — formula: `range = spot × ATM_IV × √(1/252)`. Display lower/upper. Statistic: 78% of sessions close inside.
3. Rename or alias "Gamma Flip" → "Vol Trigger" in the dashboard labels (or show both).

**Priority 2 (medium):**
4. **Term structure mini-chart**: plot ATM IV across 0DTE/7DTE/30DTE/60DTE/90DTE bucket on a single line chart. If we expand to longer DTE buckets in the chain pull, we get this almost for free.
5. **Statistical context** in the regime banner: "Vol below trigger → vol is ~40% higher than above" (cite the SpotGamma stat).

**Priority 3 (live data — deferred):**
6. HIRO (live MBO required)
7. Synthetic OI (live MBO)
8. TRACE heatmap (live MBO)

## Open questions / things to research further

- **Are the published statistics actually replicable?** Their 83%/88%/89%/93% numbers are marketing material. Worth backtesting against our own level history once we have a few months stored.
- **Their "Vol Trigger" calculation methodology** — is it cumulative-GEX-crossing like ours, or the model-based "spot-where-zero" approach? Documentation is silent. We're close but not exact.
- **"Charm Pressure"** in TRACE seems to weight charm × OI × something. Need to figure out the exact aggregation.
- **HIRO units** — "$175M HIRO reading" — what does the absolute number mean? Per-second flow? Cumulative since open? Unclear from the playlist.

---

# Part 2 — "Futures Trading Toolkit" playlist (67 videos, 37 net new)

> Source: https://youtube.com/playlist?list=PLfl6dp83-o6T7rv6d8IntVIaeLnZ1Rmp7 — scraped 2026-05-26. Deeper SpotGamma walkthroughs, 35 of which weren't in playlist 1.
> Raw transcripts: [[../youtube transcripts/SpotGamma - Futures Trading Toolkit (67 videos)]].

## Tradeable rules & statistics (the actionable additions)

### The "1% rule" (Equity Hub #8)
> Selling covered options beyond a wall expires worthless the majority of the time. Reversal plays near walls have edge.

- **Within 1% of call wall**: selling covered calls *above* the wall = high hit rate (statistical claim, no exact %).
- **Within 1% of put wall**: selling covered puts *below* the wall = high hit rate.
- **Reversal trade**: go long when stock is within 1% of put wall; go short when within 1% of call wall.
- They emphasize: "trade with fixed risk and limit position sizing — lean on a high hit rate of small wins."

This is a CLEAN, MECHANICAL setup we could code as an alert: "when ES is within 1% of the call wall, flag for short / sell-covered-call setup."

### HIRO reversion rule (HIRO #4)
> "Once these flows shut off, the stock reverts back toward its original starting position **around 70% of the time**" — measured on SPY.

- HIRO flatlines or reverses → **fade the move**.
- Microsoft example: morning bullish HIRO spike → flow flatlined at ~10:15 AM → stock trended lower the rest of the day.

This is THE entry trigger SpotGamma keeps coming back to. Whenever we eventually add HIRO ([[07 - Future Work]] #4), the alert is *"HIRO direction change after sustained move"*.

### Gamma decay at expiration (Equity Hub #13 — NVDA example)
> Dealers long ~$X gamma at strike K creates a pinning effect → stock sticks to K. After expiration, gamma exposure can drop **65%** → pin releases → realized vol rises.

- **Pre-expiration**: premium-sell strategies (sell options while pin holds).
- **Post-expiration**: long volatility strategies (vol expands once gamma support disappears).

We could add an alert: "warn N days before any expiration that contributes >X% of total gamma exposure for the symbol."

### Tracking walls over multiple days (Equity Hub #6)
> Walls moving HIGHER over subsequent days = bullish; LOWER = bearish.

This is structural-shift detection. Requires keeping a **rolling history of wall strikes per symbol per day** — a use case for the historical level snapshot store deferred in [[07 - Future Work]] #5.

## Daily workflow they recommend (Equity Hub #5)

A 4-step morning routine. Maps directly onto how we'd USE our visual dashboard:

1. **Composite view** — check if options are actually driving the stock today (darker shading = larger options influence). Call-dominant = stability; put-dominant = volatility.
2. **Put & Call Impact chart** — look for where gamma curves *flatten*. Flat curves = reduced market-maker activity = lower volatility zones.
3. **10-day history** — upward move in call wall / put wall / hedge wall = bullish bias; downward = bearish.
4. **Live price vs SG levels** — how far is current price from each key level? Where's the path of least resistance?

In our build: the visual dashboard covers steps 1, 2, 4 already. Step 3 (10-day history) needs a level-history store.

## New concepts not in playlist 1

### Hedge Wall
Mentioned alongside Call Wall and Put Wall in Equity Hub #5, #6, #9. Not explained explicitly in the playlist but context suggests it's *the strike where dealer aggregate delta hedging is most concentrated* — distinct from gamma walls. Worth digging into SpotGamma docs to confirm; we may already approximate it with our "Top Net Delta strike" rank if we add one.

### Absolute Gamma level
Mentioned in Equity Hub #9. "Within 2% of the absolute gamma level" + between call/put walls + above hedge wall = iron-condor setup conditions. Looks like the strike with highest *unsigned* gamma magnitude (calls + puts combined). We could add this as a metric — it's a small variant of our current call/put walls.

### Forward IV adjustment (Volatility Dashboard #3)
> Shows where IV *should* be based on time decay, historical stats, and upcoming economic events.

This is a model overlay on the term-structure curve. When the forward-adjusted curve sits *above* the standard curve at a date, the market is pricing in an unusually large move at that point — calendar-spread setup. Not trivial to replicate without their proprietary calc but the concept is clear: subtract baseline term-structure decay to surface event-driven spikes.

### Yellow-highlight mispricing (Volatility Dashboard #1)
> "Show highlights" function: yellow border around strikes with IV anomalously high/low relative to adjacent strikes and expirations.

A 2D anomaly detector across the strike × expiration grid. Worth implementing as: flag (strike, expiry) cells where IV is >2σ from neighbors. Could feed into premium-selling setups.

### VIX term structure (Volatility Dashboard #5)
- Forward VIX futures prices across 9-month horizon, default
- Today (green) overlaid against yesterday (gray)
- Identifies "future inflection points" — when market expects vol expansion or contraction
- Helps "assess magnitude of future inflection points"

This is its own data pull (need VIX futures curve, e.g., DataBento `VX.FUT` parent) — not free but doable.

### Skew display options (Volatility Dashboard #4)
Three axes for volatility skew chart:
- IV vs **$ strike** (default)
- IV vs **delta** (better for cross-symbol comparison)
- IV vs **% distance from current price** (better for percentage-move thinking)

We could add the delta- and %-distance axes to our future term-structure chart.

### TRACE multi-day projection (TRACE #3)
> "Forward daily snapshots of the heatmap and strike plot for up to 5 days ahead, accessible from the calendar dropdown."

This means SpotGamma pre-renders heatmaps for upcoming sessions. They project where dealer positioning *will be* on (T+1, T+2, ... T+5) based on current OI + expected gamma decay. Useful for swing traders.

For our build: we could do a degenerate version — show 5 future days of expected levels, assuming today's OI persists and only gamma curves change with calendar time. Not as good as their full model but a meaningful start.

### TRACE GEX bars detail (TRACE #2)
> Strike plot on left, updates every 1 min during RTH, every 10 min pre-market. 0DTE-only Greeks toggle to isolate next-expiration impact.

Our `chart-gex` bar in the visual dashboard is statically rendered. A live-refresh version is in deferred work, but the **0DTE-isolation toggle** is a UI feature we could add right now since we already bucket by DTE.

### Tape scanners (Tape #2)
The four top-row scanners they expose:
- **Top Options Volume** — names with highest volume since prior close
- **Top Daily Gamma Notional** — stocks where total $-gamma exposure changed most day-over-day
- **Top Daily Movers** — notable price movement
- **Largest Daily Trades** — institutional-size block trades

The "Top Daily Gamma Notional" one is interesting — it's a daily delta of our metric. If we maintained a level-history store, this scanner falls out for free.

### Composite view colors (Equity Hub #3)
- **Green zones** = calls dominate, low volatility (positive-gamma area)
- **Red zones** = puts dominate, higher vol
- **Outer blue line darkness** = recent options trading intensity
- **Risk reversal chart**: put/call positioning

This is essentially a per-strike sign-and-intensity heatmap. We have the underlying data (call_gex, put_gex per strike); rendering it as a green-red gradient overlay above our bar chart would be a nice visual upgrade.

### Pie-chart flow summary (Tape #3)
Five pie charts: total contracts, total premium, delta breakdown, gamma breakdown, vega breakdown — all split into puts vs calls. Quick at-a-glance directional bias.

For our build: we already have all the underlying sums. A 5-pie summary panel below the existing K/V is a low-effort add.

## Updated implementation roadmap

Combining playlist 1 and 2 findings, ranked again:

**Priority 1 (cheap, do now):**
1. **Charm BS calc** (playlist 1) — adds 4th greek; ~20 lines
2. **Implied 1-day range card** (playlist 1) — ATM IV × spot × √(1/252); 1 calc, 1 UI row
3. **Vol Trigger label/alias** (playlist 1) — terminology match
4. **Absolute Gamma strike metric** (playlist 2) — `argmax_strike(|call_gex| + |put_gex|)` — 5 lines
5. **0DTE Greeks toggle in TRACE-style strike plot** (playlist 2) — UI filter, data already there
6. **5-pie flow summary panel** (playlist 2) — visualization only, sums already computed
7. **"Within 1% of wall" alert in dashboard** (playlist 2) — derive boolean per cell, show with badge

**Priority 2 (medium effort):**
8. **Term-structure mini-chart** (ATM IV across DTE buckets) (playlist 1)
9. **Composite green/red zone overlay** on the GEX bar chart (playlist 2) — new chart type
10. **VRP scanner** (Vol Risk Premium = IV - RV) (playlist 1) — needs price-history pull for realized vol
11. **Forward IV adjustment** — needs event-calendar source + decay model (playlist 2)

**Priority 3 (needs new infra):**
12. **Level-history snapshot store** — enables walls-moving-over-time detection (playlist 2 + [[07 - Future Work]] #5)
13. **5-day forward TRACE projection** — needs the level-history store first (playlist 2)
14. **VIX term-structure chart** — separate DataBento `VX.FUT` pull (playlist 2)

**Priority 4 (deferred per [[07 - Future Work]]):**
15. HIRO real-time oscillator (live MBO)
16. Synthetic OI intraday (live MBO)
17. Full TRACE heatmap (live MBO)
18. 70%-reversion alert on HIRO flatline (depends on HIRO)

## Updated cheat sheet of SpotGamma statistics

| Stat | Source | Value |
|---|---|---|
| Call wall holds resistance (S&P, sessions) | Key Levels #5 | 83% |
| Call wall holds close (S&P) | Key Levels #5 | 88% |
| Put wall holds support (S&P) | Key Levels #6 | 89% |
| Put wall holds close (S&P) | Key Levels #6 | 93% |
| Daily vol below vs above Vol Trigger | Key Levels #7 | ~40% higher below |
| Sessions closing inside implied 1-day move | (earlier video) | 78% |
| SPY reverts after HIRO flatline / reverse | HIRO #4 | ~70% |
| Gamma drop after monthly opex (NVDA example) | Equity Hub #13 | 65% |

## See also
- [[00 - Overview]]
- [[02 - Concepts (ELI5)]]
- [[07 - Future Work]] — implementation roadmap
- [[../youtube transcripts/SpotGamma - 101 Playlist (32 videos)]] — playlist 1 raw transcripts
- [[../youtube transcripts/SpotGamma - Futures Trading Toolkit (67 videos)]] — playlist 2 raw transcripts