Order Flow & GEXGlossary

The analysis of how buy and sell orders are actually being executed in the market in real time — not just price action, but the underlying mechanics of who is hitting the bid vs lifting the ask. Order flow traders read the aggression, size, and intent behind each transaction to anticipate short-term price movement.

The difference between buying volume and selling volume within a candle or time period. Positive delta = more aggressive buyers (market orders hitting the ask). Negative delta = more aggressive sellers (hitting the bid). Delta divergence — where price rises but delta falls — can signal a weakening move or reversal.

A running total of delta over time — the cumulative sum of all buy volume minus sell volume. CVD trending up alongside price confirms buying pressure. CVD diverging from price (price making new highs but CVD declining) signals absorption or a weakening trend, often preceding a reversal.

A specialized chart that shows bid volume and ask volume at every price level within each candle. Instead of just OHLC, you see exactly how many contracts traded at each tick, split by aggressive buyers and sellers. Reveals absorption, imbalances, and precise institutional activity that candlestick charts hide.

The bid is the highest price a buyer will pay; the ask is the lowest price a seller will accept. Market orders execute immediately at the current bid or ask, moving price. Limit orders sit passively on the book. The spread between bid and ask is the transaction cost. Aggressive orders hit the bid/ask; passive orders provide liquidity.

When large passive limit orders absorb aggressive market orders without price moving significantly. High volume at a level with minimal price movement signals absorption — a large participant is defending that price. Bullish absorption occurs when sellers are absorbed at support; bearish absorption when buyers are absorbed at resistance.

Large orders that are broken into smaller visible chunks to hide their true size. Only the "tip" is visible on the order book at any time — as each portion fills, another appears. Signs of an iceberg: repeated large fills at the same price, price stalling despite apparent selling/buying pressure. Used by institutions to avoid telegraphing intent.

A histogram showing how much volume was traded at each price level over a given period. Unlike time-based volume, it shows where the most and least activity occurred. High-volume nodes (HVN) act as support/resistance. Low-volume nodes (LVN) are areas price moves through quickly. The foundation for understanding market-generated information.

The price level with the highest traded volume in the volume profile. The POC represents the fairest price — where the most business was conducted. Price is magnetically attracted to the POC and frequently revisits it. A migrating POC (shifting higher or lower over time) shows directional conviction.

The upper and lower boundaries of the Value Area — the price range where 70% of volume was traded. Within the value area is considered "fair." Above the VAH is premium (sellers may step in); below the VAL is discount (buyers may step in). Price often rotates between VAH and VAL in balanced markets.

HVNs are price levels with heavy volume — areas of acceptance where price consolidates and finds equilibrium. They act as strong support/resistance when revisited. LVNs are thin volume areas — price moves through them quickly because there's little business to conduct there. LVNs often mark the boundaries of value areas.

When multiple consecutive price levels within a footprint candle show one-sided aggression — all buying imbalances or all selling imbalances stacked vertically. Stacked imbalances indicate strong directional conviction and often mark the beginning of a significant move. Price frequently returns to these areas as support or resistance.

Reading the Time & Sales (the "tape") to interpret order flow in real time. Large prints at the ask indicate aggressive buying; large prints at the bid indicate aggressive selling. Tape readers look for clusters of large orders, pace changes, and bid/ask flipping to gauge institutional activity before it shows on the chart.

A real-time display of all resting limit orders at each price level above and below the current price. Also called the "ladder." Large DOM orders can act as support/resistance but can also be spoofed (placed and pulled). Reading DOM requires understanding the difference between genuine liquidity and spoofed orders.

A measure of the total gamma held by options market makers (dealers) across all strikes and expirations. Positive GEX means dealers are long gamma and will buy dips/sell rallies to hedge — this suppresses volatility. Negative GEX means dealers are short gamma and must buy rallies/sell dips — this amplifies volatility and leads to large moves.

The rate of change of an option's delta relative to a $1 move in the underlying. High gamma means delta changes rapidly as price moves — options near expiration at-the-money have the highest gamma. For dealers holding large option positions, gamma forces mechanical hedging activity that directly moves futures and equities.

The sensitivity of an option's price to a $1 move in the underlying. A delta of 0.50 means the option gains $0.50 for every $1 the underlying moves. Dealers who sell options must hedge their delta exposure by buying or selling the underlying — this hedging flow is what connects the options market to futures price action.

The sensitivity of an option's price to changes in implied volatility. A vega of 0.10 means the option gains $0.10 for every 1% increase in IV. Long options are long vega (benefit from rising IV). Short options are short vega. Understanding vega is critical for knowing when to buy vs sell options premium.

The daily dollar amount an option loses due to the passage of time, all else equal. A theta of -$5 means the option loses $5 per day. Theta accelerates as expiration approaches — especially for at-the-money options. Option sellers collect theta (positive theta); buyers pay it. 0DTE options have extreme theta decay.

The market's forward-looking expectation of price movement embedded in option prices. High IV means options are expensive — the market expects large moves. Low IV means options are cheap — the market expects calm conditions. IV is derived from option prices (not historical price action) and is the single most important variable in options pricing.

The sharp drop in implied volatility after a known event (earnings, FOMC, CPI) passes. Before the event, IV rises as uncertainty peaks. After the event — even if the move is large — IV collapses because the uncertainty is resolved. Options buyers often lose money even when directionally correct because the IV crush wipes out gains.

When a rapid price increase forces options dealers to buy increasing amounts of the underlying to hedge their short calls. As price rises, their delta exposure grows (gamma effect), requiring more hedging buying, which pushes price higher, triggering more hedging — a self-reinforcing feedback loop. GME and AMC were famous gamma squeeze examples.

The mechanical buying and selling by options market makers to stay delta-neutral on their book. Dealers don't take directional views — they hedge exposure by trading the underlying. In positive GEX environments this creates a stabilizing force (buy dips, sell rallies). In negative GEX it creates destabilizing flow (sell dips, buy rallies) amplifying moves.

The tracking of large, unusual options transactions — particularly sweeps (aggressive market orders) and blocks (large negotiated trades). Unusual call buying above the ask signals bullish institutional positioning. Unusual put buying signals bearish hedging or speculation. Flow analysis tries to identify when smart money is making directional bets via options.

The ratio of put volume to call volume. A high PCR (above 1.0) indicates more puts being bought — bearish sentiment or heavy hedging. A low PCR indicates more calls — bullish sentiment. Extreme PCR readings are often contrarian signals: very high PCR can signal a sentiment extreme (too bearish = potential bounce), and vice versa.

The total number of outstanding options contracts that have not been settled or closed. Rising OI with rising price = new money entering bullish. Rising OI with falling price = new money entering bearish. Falling OI = positions being closed. High OI at specific strikes creates gravitational "pinning" effects near expiration.

The strike price at which the most options contracts (by dollar value) expire worthless — causing maximum financial pain to options buyers. Theory suggests market makers have an incentive to pin price near max pain at expiration to minimize their payouts. Price frequently gravitates toward max pain on expiration days, particularly for SPX 0DTEs.

Options contracts that expire at the end of the current trading day. 0DTE options (particularly on SPX/SPY) have exploded in volume, now representing the majority of daily options activity. They have maximum gamma and theta — small price moves cause massive swings in option value. Dealer hedging of 0DTE positions creates significant intraday volatility events.

The difference in implied volatility between puts and calls at equidistant strikes. In equities, puts typically have higher IV than calls (negative skew) because institutions pay more for downside protection. High put skew signals fear or heavy hedging. When skew flattens or calls trade at premium to puts, it often signals aggressive bullish speculation.

The tendency for price to gravitate toward a high open interest strike price near expiration. As expiration approaches, dealers' gamma hedging activity near heavily traded strikes creates a magnetic effect that pulls and holds price. Pinning is strongest on SPX/SPY on days with massive 0DTE volume and is most reliable in low-volatility environments.