Fields
The number on the right of each row is the protobuf field number.Before a live update, net gamma times open interest times 100, with put gamma negated. After a live update, sum(signed gamma * open interest) times the underlying price squared.
Before a live update, source delta times open interest times 100. After a live update, sum(source delta * open interest) times the underlying price squared. Put delta retains its source sign.
Before a live update, source charm times open interest times 100. After a live update, sum(signed charm * open interest) times the underlying price times 365. Put charm is negated in the live formula.
Before a live update, source vanna times open interest times 100. After a live update, sum(signed vanna * same-date 30-day IV * open interest) times the underlying price. Put vanna is negated in the live formula. The live value is zero when same-date implied volatility is unavailable.
Sum(signed gamma * session option volume) times the underlying price squared. Put gamma is negated.
Sum(source delta * session option volume) times the underlying price squared. Put delta retains its source sign.
Sum(signed charm * session option volume) times the underlying price times 365. Put charm is negated.
Sum(signed vanna * same-date 30-day IV * session option volume) times the underlying price. Put vanna is negated. The value is zero when same-date implied volatility is unavailable.
Dealer-view gamma aggregate with ask-side volume negative and bid-side volume positive, multiplied by the underlying price squared. Mid-side volume is excluded.
Dealer-view charm aggregate with ask-side volume negative and bid-side volume positive, multiplied by the underlying price and 365. Mid-side volume is excluded.
Dealer-view vanna aggregate with ask-side volume negative and bid-side volume positive, scaled by same-date 30-day IV and the underlying price. Mid-side volume is excluded. The value is zero when same-date implied volatility is unavailable.
Difference between current and previous trading-date daily net gamma. Absent unless both values are available. Live GEX updates do not recalculate this field.
Fractional daily net gamma change, calculated as (current - previous) / previous. Absent when the previous value is zero or either value is unavailable. Live GEX updates do not recalculate this field.
Absolute current daily put gamma divided by current daily call gamma. Absent when either side is unavailable or call gamma is zero. Live GEX updates do not recalculate this field.
