Glossary

Every term that appears on the Helios dashboard or in our writing, defined for both institutional and retail readers. I indicates institutional emphasis, R indicates retail-trader-relevant context.

0DTE — Zero Days to Expiration

An option expiring the same trading day. 0DTE volume on SPY now exceeds 50% of total daily SPY options flow. Short tenors mean dealer gamma risk concentrates intraday, producing fast regime shifts. R If you trade 0DTE, regime context matters more than direction alone.

1DTE — One Day to Expiration

An option expiring the next trading session. Used for both overnight hedging and short-tenor speculation. The 1DTE term structure of dealer GEX is often more stable than 0DTE.

AI Commentary

LLM-generated, plain-English explanation of why a Helios signal fired. Includes the underlying mechanical reason (regime + walls + flow context) and an interpreted trade plan. Available on Tier 2 and above.

Charm ∂Δ/∂t

The decay of delta as expiration approaches. Charm-driven flows are most pronounced on Fridays into expiry and produce predictable end-of-day dealer hedging.

Conviction

A 0–1 confidence score Helios attaches to each signal, combining regime stability, flow alignment, distance to walls, and historical base rates. Below 0.4 = low conviction (we typically don't publish a trade plan).

Dealer / Market Maker

The counterparty on the other side of every options trade. Dealers warehouse risk and hedge it dynamically in the underlying. Their hedging activity is the mechanical force Helios measures.

Delta (Δ)

The first-order Greek. Rate of change of option price with respect to underlying price. A 0.50 delta call moves $0.50 for every $1.00 move in the underlying. R Treat delta as the option's "share-equivalent" directional exposure.

DEX — Net Dollar Delta Exposure

Aggregate dealer dollar-delta exposure. Net DEX positive = dealers net long the underlying via their options book; negative = net short. Visible on the Tier 3 dashboard.

Floor / Lower Wall

The strike below current spot with the largest concentration of dealer GEX. Acts as mechanical support — moves into this strike are typically faded by dealer hedging.

Gamma (Γ)

The second-order Greek. Rate of change of delta with respect to underlying price. Concentrated near at-the-money strikes and decays away from spot. Gamma is what makes options non-linear and what forces dealers to continually re-hedge.

GEX — Gamma Exposure

Dollar-weighted gamma at a given strike or in aggregate. I Computed proprietarily but conceptually rooted in the standard gamma × open interest × 100 × spot² formula. Positive net GEX = dealers are long gamma (volatility-dampening). Negative = dealers are short gamma (volatility-amplifying).

GF Flip — Gamma Flip Regime

The transition zone where net GEX changes sign. Crossing through Zero Gamma forces dealers to reverse the direction of their hedging — historically one of the most directionally powerful setups Helios identifies.

Hedge / Hedging

An offsetting position in the underlying that neutralizes risk from the options book. Dealer hedging is continuous and proportional to gamma — small price moves require small hedges, large moves require large hedges. The DIRECTION of those hedges is the signal.

IV — Implied Volatility

The market's forward-looking volatility estimate, derived from option prices. Changes in IV (vega) can drive dealer flows independent of price.

Magnet

The strike with the largest GEX magnitude near current spot. Acts as a "gravity" level — dealer hedging tends to pull price toward this strike, especially into expiry. Visible on the dashboard's price map.

Net GEX

Aggregate net gamma exposure across all strikes. Positive = market in a positive-gamma regime (mean-reverting); negative = negative-gamma regime (trending/squeezing). The single most important top-level reading.

NG — Negative Gamma Regime

Period when dealers are net short gamma. They must BUY into rallies and SELL into dips, which AMPLIFIES moves. Squeeze and breakout setups originate here.

OBI — Order Book Imbalance

The skew between bid-side and ask-side liquidity at the top of the order book. Helios uses smoothed OBI as a microstructure tilt indicator.

OI — Open Interest

The number of outstanding option contracts at a given strike + expiration. Critical input to GEX calculation.

OPRA — Options Price Reporting Authority

The consolidated tape for all listed US options trades and quotes. Helios's GEX model is fed by OPRA-derived data.

OpEx — Options Expiration

Typically the third Friday monthly, plus weekly Fridays. Concentrated OI at OpEx strikes produces "pin risk" — price gravitates to high-OI strikes as gamma decays. R Avoid taking new directional positions Friday morning at OpEx unless you're trading the pin specifically.

PG — Positive Gamma Regime

Period when dealers are net long gamma. They must SELL into rallies and BUY into dips, which DAMPENS moves. Mean-reversion and fade setups originate here.

Pin Risk

The tendency of price to gravitate to high-OI strikes near expiry as gamma decays toward zero. The strike with maximum OI within a tight band of spot is the "pin." Helios's pin-risk activation flag fires when conditions support a pin.

Regime

Helios's top-level classification of current market structure. Primary states: POSITIVE_GAMMA, NEGATIVE_GAMMA, GF_FLIP (transition), BOOTSTRAP (insufficient data).

Score

A 0–100 confidence index Helios attaches to each regime classification. Combines the strength of the gamma reading, structure stability, flow alignment, and a proprietary stability filter. score >= 70 is "high confidence."

Spot

The current price of the underlying (e.g. SPY). All Helios calculations are anchored to live spot.

Theta (Θ)

Time decay. The negative rate of change of option value with respect to time. Concentrates into expiry. R Long-options strategies bleed theta; short-options strategies collect it.

Vanna

The cross-Greek measuring change in delta with respect to IV. Vanna-driven flows are significant near macro events (CPI, FOMC) where IV shifts produce delta shifts even without price movement.

VEX — Vega Exposure

Aggregate dealer vega exposure. Tracks how dealer P&L responds to IV changes. Tier 3 dashboard reading.

VWAP — Volume-Weighted Average Price

Average price weighted by intraday volume. Used as a context anchor — distance-to-VWAP is a reliable mean-reversion indicator in PG regimes.

Wall (Upper / Lower)

A strike with significant concentration of dealer GEX. Upper walls act as resistance (price stalls near calls being hedged); lower walls act as support (price bounces near puts being hedged). Strength is rated NONE / WEAK / MEDIUM / MASSIVE.

Zero Gamma (ZG)

The price level where net dealer GEX = 0. Above ZG, dealers are typically positive gamma (dampening); below, negative gamma (amplifying). Crossing ZG is a regime-changing event. Helios publishes three variants: ZG (all expirations), ZG 0DTE, and ZG 1DTE.