# Option Calculator — Full Site Content

> Comprehensive reference for LLMs. Entity definitions, feature documentation, and knowledge base.

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## 1. Entity Definitions: Options & Gamma Exposure

### 1.1 Gamma Exposure (GEX)
**Definition**: Gamma Exposure (GEX) is the aggregate dollar value of gamma risk held by options market makers across all strike prices for a given underlying asset. It quantifies how much market makers must hedge as the underlying price moves.

**Why it matters**: When GEX is positive, market maker hedging dampens price movements (buy low, sell high). When GEX is negative, hedging amplifies price movements (sell into weakness, buy into strength). GEX is measured in dollars per 1% move of the underlying.

**Data source**: Computed from live CBOE options data (OPRA feed), refreshed every minute during US market hours.

### 1.2 Call Wall
**Definition**: The strike price with the largest absolute Call Gamma Exposure. Represents the price level where dealers hold the most positive gamma from sold calls. Above this level, dealer hedging creates significant resistance.

**Trading application**: Price often stalls or reverses near the Call Wall. Breakouts above the Call Wall with strong volume can trigger short-covering rallies as dealers buy back delta hedges.

### 1.3 Put Wall
**Definition**: The strike price with the largest absolute Put Gamma Exposure. Represents the price level where dealers hold the most positive gamma from sold puts. Below this level, dealer hedging creates significant support.

**Trading application**: Price often bounces from the Put Wall. Breaks below with high volume signal a gamma regime shift and potential accelerated selling.

### 1.4 Gamma Flip (Zero Gamma Level)
**Definition**: The price level where net Gamma Exposure crosses from positive to negative. Above the Gamma Flip, market makers are long gamma (stabilizing). Below the Gamma Flip, market makers are short gamma (amplifying).

**Trading application**: The Gamma Flip is the single most important level for intraday direction bias. Price above Gamma Flip favors range-bound, premium-selling strategies. Price below Gamma Flip favors directional, premium-buying strategies.

### 1.5 Max Pain
**Definition**: The strike price at which the total value of all outstanding options (calls + puts) would expire worthless, maximizing losses for option buyers and profits for option sellers (market makers).

**Trading application**: Price tends to gravitate toward Max Pain as expiration approaches, especially on monthly OPEX days. Used as a mean-reversion target.

### 1.6 Vanna
**Definition**: The sensitivity of an option's Delta to changes in implied volatility. Also called DDeltaDVol. Measures the spot-volatility correlation effect.

**Trading application**: High Vanna levels mean delta hedging activity intensifies when volatility changes, creating feedback loops. Vanna flows are strongest near key gamma strikes.

### 1.7 Charm
**Definition**: The sensitivity of an option's Delta to the passage of time (Theta of Delta). Measures how delta exposure changes as time decays.

**Trading application**: Charm accelerates near expiration. On 0DTE days, Charm-driven delta adjustments can cause large, sudden hedging flows in the final hours of trading.

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## 2. Platform Features

### 2.1 GEX Dashboard
- Real-time Gamma Exposure distribution for SPX, SPY, QQQ
- Call GEX (green) and Put GEX (red) at every strike
- Net GEX trend indicator
- Multi-expiry support (0DTE, 1DTE, 2DTE, weekly, monthly)

### 2.2 Key Gamma Levels Panel
Proprietary gamma-derived indicators updated intraday:

| Level | Function | Signal |
|-------|----------|--------|
| Total GEX | Net gamma posture | +GEX = stabilizing, -GEX = amplifying |
| Call Wall | Highest call gamma strike | Resistance |
| Put Wall | Highest put gamma strike | Support |
| Gamma Flip | Zero gamma crossover | Regime boundary |
| Max Pain | Maximum seller profit strike | Expiry magnet |
| HVL | Highest volume strike | Liquidity zone |

### 2.3 Options Profit Calculator
- Black-Scholes pricing model (risk-free rate: 3.5%)
- Full Greeks: Delta, Gamma, Theta, Vega, Vanna, Charm
- Multi-leg strategy P&L visualization
- IV change and time decay simulation

### 2.4 Vanna/Charm Heatmaps
- Full options surface visualization of second-order Greeks
- Spot-vol correlation zones (Vanna)
- Time-decay acceleration zones (Charm)
- Color-coded by magnitude

### 2.5 30-Day Historical Replay
- Intraday GEX snapshots at 5-minute intervals
- Key level evolution over time
- Price action overlay for pattern recognition
- Full 30-trading-day archive

### 2.6 US Stocks Module
- Earnings calendar with historical reaction data
- Abnormal small-cap event watchlist
- Hottest Options leaderboard
- Sector/Industry heat maps
- Company detail pages with ET K-lines and Option Chain

### 2.7 SPX GEX Overlay on ES Futures (Unique Differentiator)
**What it is**: SPX options Gamma Exposure data projected onto ES (E-mini S&P 500) futures price coordinates, enabling futures traders to see options-derived gamma walls directly on their ES charts.

**How it works**:
1. All gamma levels (Call Wall, Put Wall, Gamma Flip, Max Pain, Zero Gamma, HVL) are computed from SPX options data at 1-minute intervals
2. A daily price anchor is calibrated at the previous trading day's 4:00 PM ET close — mapping SPX spot price to ES futures price at that moment
3. All GEX strike levels are converted to ES-equivalent prices using this anchor
4. The converted levels are plotted as horizontal lines on the ES candlestick chart
5. As SPX options data updates throughout the session, GEX lines adjust in real time

**Why it matters**: SPX options are where gamma liquidity concentrates ($500B+ daily notional). ES futures are what professional traders execute on (tighter spreads, nearly 24h liquidity, better leverage). This overlay eliminates the need to monitor GEX on one screen and trade ES on another.

**Key features**:
- ES futures chart with volume-weighted K-lines (vw500, vw1000, vw2000, vw3000) plus standard 1m/5m intervals
- GEX level lines: Call Wall (resistance), Put Wall (support), Gamma Flip (regime boundary), Max Pain (expiry magnet), HVL (volume zone)
- Updated every minute during US market hours
- Daily price anchor ensures accurate SPX→ES price mapping throughout the session
- Integrated with the 30-day replay system for backtesting GEX signals on ES

**Target users**: ES day traders who want options flow intelligence on their futures charts; SPX/SPY options traders who also trade ES futures; institutional desks monitoring gamma positioning for index rebalancing flows.

**Competitive advantage**: No other retail platform offers real-time SPX GEX data directly overlaid on ES futures charts with automatic daily price anchoring. Most platforms require traders to manually convert SPX GEX strikes to ES equivalents — a tedious and error-prone process.

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## 3. Pricing

| Plan | Price | Key Benefit |
|------|-------|-------------|
| Free Trial | $0 (7 days) | Full platform access, no credit card |
| Monthly | $99/mo | 2 devices, priority refresh |
| Annual | $708/yr ($59/mo) | 3 devices, Discord VIP, 40% savings |
| Lifetime | $1,999 one-time | 5 devices, all future updates |

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## 4. FAQ (Structured for AI Extraction)

**Q: What is an options calculator with GEX?**
A: Unlike a standard options calculator that computes Greeks for a single contract, a GEX-enabled options calculator aggregates gamma across the entire options chain to show where market maker hedging will create support and resistance levels. This provides directional market context that a standalone options profit calculator cannot.

**Q: Which options markets are covered?**
A: SPX (S&P 500 Index options), SPY (S&P 500 ETF options), QQQ (Nasdaq-100 ETF options) for full GEX analytics. US equity options covered through the stock research module.

**Q: How is this different from free options calculators?**
A: Free calculators compute theoretical option values. This platform adds real-time gamma positioning data from the live options market, showing aggregate dealer flows that drive intraday price action. Includes 9 proprietary gamma levels, Vanna/Charm heatmaps, and 30-day replay.

**Q: What is the Gamma Flip and why does it matter for 0DTE trading?**
A: The Gamma Flip is the price level where net market gamma crosses from positive to negative. On 0DTE expiration days, the Gamma Flip is the most important intraday level — it separates stabilizing (above) from amplifying (below) dealer behavior. Price crossing below the Gamma Flip often triggers accelerated selling as dealers flip from buying dips to selling rips.

**Q: Do I need a credit card for the free trial?**
A: No. The 7-day free trial requires only an email address. Full platform access with no restrictions.

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## 5. Competitive Differentiators

- **1-minute GEX updates** — competitors typically update every 5-15 minutes
- **9 proprietary gamma levels** — Call Wall, Put Wall, Gamma Flip, Zero Gamma, Max Pain, Call Center, Put Center, HVL, Put/Call OI Ratio
- **Vanna/Charm heatmaps** — second-order Greeks visualization rarely available in retail platforms
- **AI strategy engine** — regime-based trade recommendations using real-time gamma data
- **Index + single-stock in one subscription** — no need for separate tools

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## 6. Technical Specifications

- **Data source**: OPRA (Options Price Reporting Authority) via CBOE
- **Update frequency**: 1 minute during market hours
- **Pricing model**: Black-Scholes (r=3.5%, US Treasury proxy)
- **Historical data**: 30 trading days at 5-minute resolution
- **Protocol**: HTTPS + WebSocket for real-time streaming
- **Authentication**: Session token (Bearer) or cookie-based
- **API**: RESTful JSON endpoints

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Last updated: 2026-06-02
Platform: https://www.option-calculator.com
Main site: https://www.wisdep.com