Optionflow: from first contract to dealer positioning
Options basics, the Greeks, volatility and dealer gamma, read as context for futures order flow. 10 modules, each its own book, all open. The syllabus and goals are here now; lesson texts are being written from source material.
Book IOPF1 · Open
Orientation & option contracts
Goals
Calls, puts, payoffs, the option chain, the Nasdaq-100 complex and what option data can tell a futures trader.
Lessons
Calls, puts and the four payoffs · in preparation
Strike, expiry, moneyness, intrinsic and extrinsic value · in preparation
Spreads and combinations · in preparation
Reading an option chain · in preparation
The Nasdaq-100 option complex, settlement and pin risk · in preparation
The data map: observed, delayed, modelled · in preparation
What option data can and cannot tell a futures trader · in preparation
Book IIOPF2 · Open
Pricing, forwards & strike mapping
Goals
Pricing models and implied volatility, put-call parity, and mapping option strikes to NQ and ES prices.
Lessons
Pricing models and implied volatility · in preparation
Forward, carry and put-call parity · in preparation
Mapping strikes to NQ and ES · in preparation
Book IIIOPF3 · Open
The Greeks and the hedging race
Goals
Delta, gamma, theta, vega and the second-order Greeks, and why gamma against theta decides who wins the hedge.
Lessons
Delta and NQ-equivalent exposure · in preparation
Gamma: convexity, and why it explodes near expiry · in preparation
Theta, vega and the gamma–theta trade · in preparation
The hedging race: P&L = ½ΓS²(σ²realised − σ²implied) · in preparation
Second-order Greeks: vanna, charm, volga · in preparation
Book IVOPF4 · Open
Volatility as a ruler, not a compass
Goals
Realised and implied volatility, VIX and VXN, the implied move, skew and term structure: size the day, do not call direction.
Lessons
Realised volatility: measure it properly · in preparation
VIX and VXN · in preparation
The implied move from the option chain · in preparation
The variance risk premium · in preparation
Term structure, VIX1D, VVIX and event days · in preparation
Skew, smile and the risk reversal · in preparation
Book VOPF5 · Open
Dealer hedging mechanics
Goals
Who the dealers are, why long gamma dampens and short gamma amplifies, and why the sign is an assumption.
Lessons
Who the dealers are and why they hedge · in preparation
Long gamma dampens, short gamma amplifies · in preparation
The sign problem: who holds what? · in preparation
From OI to GEX, NQ contracts per point, and why DEX is inventory · in preparation
Book VIOPF6 · Open
Reading exposure maps
Goals
GEX by strike, flip and zero gamma, walls, pinning and vanna/charm: what each object is and what the evidence says.
Lessons
GEX by strike vs the repriced curve, and why the map goes stale · in preparation
Flip, zero gamma and "centroid": three different objects · in preparation
Walls: the hedging argument and the evidence · in preparation
Pinning and max pain · in preparation
Vanna and charm exposure, and the calendar stories · in preparation
Book VIIOPF7 · Open
What the evidence says, SPX and NQ
Goals
Published research on gamma, momentum and 0DTE, the expiry calendar, and what the lab measured on NQ.
Lessons
Gamma sign, market-maker gamma and intraday momentum · in preparation
0DTE: growth, who trades it, and the impact debate · in preparation
The expiry calendar and mechanical flows · in preparation
What the lab measured on NQ, and what it could not · in preparation
Book VIIIOPF8 · Open
Reading the options tape
Goals
Prints, aggressor side, sweeps and blocks, opening vs closing and premium flow, read with the dealer mirror.
Lessons
Prints and aggressor side · in preparation
Sweeps, blocks and multi-leg prints · in preparation
Opening vs closing, PCR, premium flow and the dealer mirror · in preparation
Book IXOPF9 · Open
Options context in the desk plan
Goals
Combine gamma context with footprint and CVD, and size stops from implied volatility.
Lessons
Gamma context + footprint and CVD: confirmation without fantasy · in preparation
Sizing and stops from implied vol, and event days · in preparation
Book XOPF10 · Open
Build it, test it: module project
Goals
Build GEX from a chain, test an option level against a placebo, and grade a week of options context.
Lessons
Build GEX yourself from a chain · in preparation
Applying the placebo method to an option level · in preparation
Module project: a week of options context, graded honestly · in preparation
Meanwhile: Orderflow Module M9 (Options Flow Capstone) already has full lessons on gamma, walls and expiry dynamics.
