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Messagefields14used byStockScreenerState

Fields

The number on the right of each row is the protobuf field number.
gamma_per_one_percent_move_oiDecimal1
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.
delta_per_one_percent_move_oiDecimal2
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.
charm_per_one_percent_move_oiDecimal3
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.
vanna_per_one_percent_move_oiDecimal4
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.
gamma_per_one_percent_move_volDecimal5
Sum(signed gamma * session option volume) times the underlying price squared. Put gamma is negated.
delta_per_one_percent_move_volDecimal6
Sum(source delta * session option volume) times the underlying price squared. Put delta retains its source sign.
charm_per_one_percent_move_volDecimal7
Sum(signed charm * session option volume) times the underlying price times 365. Put charm is negated.
vanna_per_one_percent_move_volDecimal8
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.
gamma_per_one_percent_move_dirDecimal9
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.
charm_per_one_percent_move_dirDecimal10
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.
vanna_per_one_percent_move_dirDecimal11
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.
net_changeDecimal12
Difference between current and previous trading-date daily net gamma. Absent unless both values are available. Live GEX updates do not recalculate this field.
perc_changeDecimal13
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.
ratioDecimal14
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.
Last modified on September 23, 2026