News on the screener leaders

Four stories a day, chosen by the screeners: the leaders of Biggest IV change, Regime stress leaders and Gamma exposure leaders, and the market as a whole, each with the publisher's headline, picture and time, and the screener reading that put it on the page.

The market at the close

The market regime from eight models fitted nightly, for the market composite and for SPY, QQQ, IWM and DIA, with each one's stress score. SPY as the options market priced it: implied volatility at 30 days, the term structure from 7 to 90 days, the expected move, the 25-delta skew, the put/call ratio, options volume and open interest.

Options market

Twenty-three screeners, end of day, each with its leader and figure, and the Morning Report as the lead line.

Today at a glance

• High IV rank
• Highest open interest
• Most active options
• Unusual options activity
• Gamma exposure leaders

Regime and dealer positioning

• Model divergence
• Regime stress leaders
• Term structure backwardation
• Put skew leaders
• Delta exposure leaders
• Vega exposure leaders

Day-over-day movers

• Biggest GEX change
• Biggest IV change
• Biggest put/call change
• Biggest regime stress change
• Biggest skew change
• Pre-earnings IV expansion

Trade setups

• Highest volatility risk premium
• Lowest volatility risk premium
• Max pain pinning candidates
• Max pain divergence
• Unusual call activity
• Unusual put activity

The analytics, page by page

Captures of the product's own pages.

• Analysis: Model prices and Greeks for one contract, against its quote.
• Strategy: Multi-leg strategies priced and drawn, with breakevens, the probability of profit and the Greeks.
• GEX: Estimated dealer positioning by strike, with the gamma flip and the walls.
• Market regime: The stress score from the fitted models, its history and the features behind it.
• Stock Charts: Options overlays, custom indicators.
• The FFT scanner: Model-price differences across a chain.
• Portfolio: Holdings, Greeks by underlying and the book's returns.
• Risk: The efficient frontier, optimization, VaR and stress, what-if.
• Backtesting: A strategy run day by day, with its equity curve, drawdown and trades.
• The Asset page: A symbol's end-of-day page.

Markets, end of day

Treasury yields, futures, bond ETFs and Federal Reserve data, end of day, each dated: the yield curve, futures, bond market data, Federal Reserve data.

Access

The end-of-day pages and the Terminal are free. Professional, at $39 a month, adds the full model set and the market-structure pages; a supported broker connection adds live data. Pricing, connections.