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Asset: Indices

Intraday Gamma Models

Written by Fabio Ruggeri on .

In this Guide we will go over our New Intraday Gamma Models. But let’s look at why they are key for any traders.

  • Market Sentiment Analysis: Gamma models highlight shifts in the options market that can significantly affect underlying asset prices. Metrics like Gamma Flip and Net GEX help traders understand the market’s behavior as it transitions from positive to negative gamma environments, influencing volatility and price movement.
  • Actionable Insights: The models track key levels such as Primary Levels, 0DTE Levels, and Secondary Gamma Levels, enabling traders to identify areas of likely market reactions or resistance/support zones.
  • Intraday changes in Top Strikes with Positive GEX Change can pinpoint significant market activity.
  • Risk Management: Understanding gamma exposure helps traders anticipate potential sharp moves or stability in the market, aiding in position sizing and hedging strategies.
  • Positive/Negative Gamma. Knowing whether the market is in a Call Dominated Environment or other conditions allows for better alignment with market trends.
  • Volume and Volatility: By combining gamma analysis with metrics like Volume and Gamma Condition, traders gain a comprehensive view of liquidity and potential pressure points in the market.

Intraday Snapshots

We will provide various intraday snapshots:

  • 7.45 am EST
  • 9.35 am EST
  • 10.30 am EST
  • 11.30 am EST
  • 12.30 pm EST
  • 1.30 pm EST
  • 2.00 pm EST
  • 2.45 pm EST
  • 3.30 pm EST

Intraday Gamma Models will be available for Stocks, ETFs and Indices.

Intraday Gamma Models

Now let’s look at the different models and how you can use them.

Net Gamma Exposure

For Gamma Exposure we will provide two different intraday models:

  • Net GEX All Expirations. This looks at GEX across the full options chain updated intraday
  • Net GEX 0DTE. Here we calculate the Net Gamma Exposure Chart only on 0DTE or WDTE expirations. In the case of Indices or ETFs like QQQ and SPY? we will provide the 0DTE Net Gamma Exposure Intraday for options expiring the same day. For Stocks that do not have 0DTE we will provide the Net GEX Chart for the next weekly expiration.

You can access the models by using the /netgex_intraday and /netgex_0dte command.

Net GEX 0DTE
Intraday Gamma Models 7

Volume

For Volume Change you will be able to access the change in Volume for the 0DTE Expirations. In the case of Indices and ETFs you will see the volume for options expiring the same day. For Stocks you will see the volume change for the next weekly expiration.

Volume 0DTE
Intraday Gamma Models 8

GEX Difference

Another key model is the GEX Difference. Here we will provide two models:

  • GEX Difference vs Last. This command will show you the change in GEX of the current snapshot versus the previous intraday snapshot. In this example we can see the change in GEX from the 10.45 am EST snapshot versus the 9.35 am EST snapshot. Command: /gex_diff_vs_last
GEX Difference vs Last
Intraday Gamma Models 9
  • GEX Difference vs EOD. This command will show you the change in GEX of the current snapshot versus the previous end of day snapshot. In this example we can see the change in GEX from the 7.45 am EST pre-market snapshot versus the 9.35 am EST snapshot. Command: /gex_diff_vs_eod
GEX Difference vs EOD
Intraday Gamma Models 10

Intraday Gamma Levels

We will also provide users with Intraday Gamma Levels for TradingView and the other integrations. Command: /levels_tv_intraday and /tv_list_intraday

Intraday Gamma Levels
Intraday Gamma Models 11

Liquidity Summary

We will then provide a clear Summary of the Liquidity Change by looking at GEX, Gamma Levels, Volumes, GEX Change, Gamma Regime and more.

Liquidity Summary
Intraday Gamma Models 12

Quantower Integration

Written by Fabio Ruggeri on .

In this article you will learn how to set up the Menthor Q Indicators Quantower Integration. You can now access Gamma Levels and Blind Spots Levels on the platform. You can now integrate the MenthorQ data into Quantower directly via API.

What is Quantower?

Quantower is a comprehensive, multi-asset trading platform designed to cater to both novice and professional traders. It offers a wide array of analytical and trading tools, supporting various asset classes such as equities, futures, options, ETFs, and Forex. Check out the Website.

Indicator Features

Within the Quantower Indicator you have the following features:

  • Integration via API
  • Full Customization of Levels Plots and Labels
  • Access Multiple Levels Type:
    • Gamma Levels
    • Gamma Levels Intraday
    • Gamma Scalping
    • Gamma Scalping Intraday
    • Blind Spots
    • Swing Levels
  • Levels Conversion. You can convert all Levels Type from one asset to the other using Auto or Manual Ratio

How to integrate MenthorQ Levels on Quantower

Integrating the MenthorQ Levels into Quantower is very simple. To do so follow these Steps:

  • Log into your Account Dashboard and go under Integration. Locate the Quantower section and download the indicator.
  • Paste the indicator in the following folder within your computer: C:\Quantower\Settings\Scripts\Indicators
  • Fill up the Activation Form. You will be need to confirm your Machine ID

Check out the Video Tutorial.

Configure the Indicator on Quantower

Once downloaded the indicator go into your Quantower Indicator List and look for the MenthorQ Levels Indicator.

Quantower Indicator
Quantower Integration 17

Step 1. Add your API Key

Scroll down the Indicator Settings and add your API Key. You can retrieve the API Key within the MenthorQ Account Dashboard.

Quantower API
Quantower Integration 18

Step 2. Choose Level Type

You can select what types of Levels you want in your chart and the Gamma Model. You can add Gamma Levels, Swing Levels (when available) and Blind Spots Levels.

For Gamma Levels we have 2 Models:

  • Gamma Levels. Those are the main MenthorQ Gamma Levels.
  • Gamma Scalping. This model allows you to access more gamma levels within a smallare range. Tailored for Futures Traders who are looking at tight areas for scalping.
  • Blind Spots Levels. You can learn more about Blind Spots here.
Quantower Level Type
Quantower Integration 19

Step 3. Customize the Levels Font and Color

You can customize each level font, style and color directly from the Settings Tab.

Custom Settings Quantower
Quantower Integration 20

Thinkorswim Integration

Written by Fabio Ruggeri on .

In this article you will learn how to set up the Menthor Q Indicators for Thinkorswim (TOS). You can now access Gamma Levels and Blind Spots Levels on the platform.

What is Thinkorswim (TOS)?

Thinkorswim is a top-rated trading platform trusted by traders worldwide. Known for its comprehensive tools and user-friendly interface, Thinkorswim is consistently recognized as an industry leader in the trading community. Featuring advanced analytics, customizable charting, and seamless order execution, its integration capabilities allow access to cutting-edge tools like Menthor Q’s actionable insights for enhanced market analysis.

How to integrate MenthorQ Levels on Thinkorswim

Here is how to set up the Thinkorswim indicators on your platform:

Step 1. Download the Indicators

Once you join the Premium Membership you will have access to your Account Dashboard and you can find the Thinkorswim section under the Integration tab.

Step 2. Click on Studies and Edit Studies

Click on the Studies – Edit Studies and once the window opens click on Import.

TOS Import Studies
Thinkorswim Integration 25

Then select the Custom Study you downloaded from the MenthorQ website.

Step 3. Add the Study to the Chart

Once you import it the study will be available on the left side under studies just search for the name and double click it will be loaded into the chart.

TOS add study
Thinkorswim Integration 26

Step 4. Indicato on the Chart

Now once you click apply your indicator will be in the chart.

TOS Gamma Levels
Thinkorswim Integration 27

Step 5. Customize the Settings

To customize the Settings click on Edit Studies and go into the indicator settings. You can customize the Value of the levels, the color of the lines and format and more.

Due to TOS Limitations you would need to manually change the values of the levels you want to plot on your chart from the settings section.

TOS Settings
Thinkorswim Integration 28

0DTE Live Trading Sessions

Written by Fabio Ruggeri on .

Menthor Q Provides Live Sessions with our Traders as well as Sessions Recording.

Trading Academy Live Sessions
0DTE Live Trading Sessions 30

SPX Daily Plan

Check out one of our Live Recorded Sessions with our Traders.

0DTE Options Term Structure

Written by Fabio Ruggeri on .

In this guide we look at 0DTE Options Term Structure. When trading Zero Days to Expiration (0DTE) options, understanding the term structure of options volatility is very important. 

The term structure refers to the relationship between the implied volatility (IV) of options with different expiration dates. It provides a snapshot of how the market expects volatility to evolve over time, which is particularly relevant for 0DTE traders who are focused on the immediate price movements of an underlying asset.

In a typical term structure, implied volatility tends to vary depending on the time until expiration. For instance, options with longer expiration dates might have lower implied volatility compared to those that are set to expire soon. This variation occurs because short-term options are more sensitive to upcoming events or news that could affect the underlying asset’s price.

For 0DTE traders, the term structure offers valuable insights into how the market perceives risk on the expiration day. By analyzing this structure, traders can identify opportunities to capitalize on price movements or protect themselves against potential volatility.

term structure spx
0DTE Options Term Structure 32

Term Structure and SKEW

Take a look at our Video Tutorial on how to leverage Term Structure for Options Trading.

How to Analyze Term Structure for 0DTE Options

Understanding the term structure is essential for making informed decisions in 0DTE trading. Here’s how you can leverage it.

1. Identifying Implied Volatility Spikes

One of the key benefits of analyzing the term structure is identifying spikes in implied volatility for 0DTE options compared to longer-dated options.

A spike in IV for 0DTE options suggests that the market is anticipating a significant price movement on the expiration day. This could be due to various factors, such as an impending economic report, earnings release, or geopolitical event.

For traders, a higher IV in 0DTE options presents both opportunities and risks. On one hand, it indicates that there might be substantial price swings, which can be profitable if you’re positioned correctly. On the other hand, it means that options are more expensive, which can increase the cost of entering trades. Understanding these dynamics helps traders decide whether to buy or sell options based on their risk appetite and market expectations.

2. Arbitrage Opportuinities

Differences in IV between 0DTE options and those expiring shortly after can present arbitrage opportunities.

For example, if 0DTE options are priced with unusually high implied volatility compared to options expiring a day or two later, a trader might consider selling the 0DTE options while buying the slightly longer-dated options. This strategy allows traders to take advantage of the temporary mispricing and lock in profits as the market corrects itself.

MenthorQ’s tools can help identify these discrepancies in the term structure, providing traders with real-time data to spot and execute on these opportunities swiftly.

3. Risk Management

The term structure also reveals the risk premiums embedded in 0DTE options. If the term structure shows a sharp rise in IV for 0DTE options, it indicates that the market is demanding a higher risk premium due to anticipated events or uncertainty. Traders can adjust their risk management strategies accordingly, possibly by hedging their positions or reducing exposure.

By monitoring the term structure, traders can better understand the risks they are taking on when trading 0DTE options and adjust their strategies to mitigate potential losses.

0DTE Options Trading Strategies

Written by Fabio Ruggeri on .

In this Guide we will go through 0DTE Options Trading Strategies. The key to success lies in understanding and managing the inherent volatility of these instruments. Unlike traditional options, which might have weeks or months before expiration, 0DTE options are set to expire on the same day they are traded. 

This creates a unique set of circumstances where the option’s value is primarily driven by the price movements of the underlying asset, with almost no time value left.

Volatility plays a significant role in 0DTE options trading. As these options have no remaining time value, they become extremely sensitive to changes in the underlying asset’s price. 

A small move in the underlying asset can result in a large percentage change in the option’s price, making 0DTE options highly attractive for traders looking to capitalize on short-term market movements. However, this high sensitivity also means that 0DTE options can be quite unpredictable, requiring traders to adopt a structured and disciplined approach.

Key Strategies for Trading 0DTE Options

To navigate the volatility of 0DTE options effectively, traders must employ a combination of strategy, risk management, and the right tools. Here are some key strategies that can help traders maximize their success when trading 0DTE options.

1. Scalping and Day Trading

Given the extremely short timeframe of 0DTE options, scalping and day trading are popular strategies. These approaches involve making quick trades to capture small price movements throughout the day.

Since 0DTE options are highly responsive to changes in the underlying asset’s price, scalping allows traders to take advantage of these rapid shifts. However, this strategy requires a keen eye on the market and the ability to take quick decisions.

2. Selling Credit Spreads

Another effective strategy for 0DTE options is selling credit spreads. This involves selling an option and simultaneously buying another option with the same expiration date but a different strike price. The goal is to collect the premium from the sold option while limiting potential losses with the purchased option.

Selling credit spreads is particularly useful in a high-volatility environment, as it allows traders to benefit from the rapid time decay of the sold option while managing their risk exposure.

3. Iron Condors

Iron Condors are a more advanced strategy that involves selling a put spread and a call spread with the same expiration date, but different strike prices. This strategy is well-suited for 0DTE options because it allows traders to profit from a range-bound market, where the underlying asset’s price stays within the expected range.

The iron condor strategy benefits from time decay, which is accelerated in the final hours of trading, making it an attractive option for traders who anticipate low volatility near expiration.

4. Hedging with Futures or ETFs

Hedging is an essential component of any trading strategy, especially when dealing with the high volatility of 0DTE options. Traders can hedge their positions by using futures contracts or ETFs (Exchange-Traded Funds) that track the underlying asset.

For example, if you’re trading 0DTE options on the S&P 500, you could use the SPY ETF or ES Future to hedge against adverse price movements. This approach helps protect your capital while still allowing you to participate in the potential upside of 0DTE options.

MenthorQ Tools for 0DTE Traders

At MenthorQ, we understand the complexities of trading 0DTE options, which is why we provide a suite of tools designed to help you navigate this volatile environment.

Our platform offers advanced models, allowing you to track key indicators such as gamma levels, skew, and term structure for 0DTEs Options.

1. Tracking Gamma Levels

Gamma is a measure of the rate of change in an option’s delta, which represents the sensitivity of the option’s price to the underlying asset’s price. 0DTE options have high gamma, meaning their price can become very reactive to small changes in the underlying asset’s price.

You can easily integrate MenthorQ Gamma Levels with your favorite platforms. Check out our Integrations.

You can access our Primary and Secondary Levels as well as our 0DTE Levels. You can then monitor our 1D Expected Move Indicator that can provide insights on the daily expected volatility of the asset.

Check out our Backtesting Result of the 1D Exp Move Indicator.

Gamma Levels Stocks 2
0DTE Options Trading Strategies 36

2. Analyzing SKEW

Skew refers to the difference in implied volatility between options at different strike prices. By analyzing the skew, you can gauge market sentiment and identify whether traders are paying a premium for puts or calls as the expiration approaches. This insight can be invaluable for setting up trades that take advantage of market biases or mispricings. Read more about the MenthorQ Skew.

We offer 3 types of Skew: 0DTE Skew, 1 Month Skew and 3 Months Skew.

0DTE Skew
0DTE Options Trading Strategies 37

3. Understanding Term Structure

The term structure of options volatility provides a view of how implied volatility is distributed across different expiration dates. For 0DTE traders, focusing on the term structure helps in understanding the market’s expectations for volatility on the expiration day. Our tools at MenthorQ allow you to analyze this structure and make informed decisions about whether to hold or sell your 0DTE options. Learn More about Term Structure.

vix term structure
0DTE Options Trading Strategies 38

Combining Strategy, Risk Management, and Tools

Successfully trading 0DTE options requires more than just understanding the underlying mechanics; it demands a disciplined approach that combines strategy, risk management, and the right tools. By integrating these elements, you can better navigate the volatile nature of 0DTE options and increase your chances of achieving consistent, profitable trades.

At MenthorQ, we are committed to provide traders with the resources they need to succeed in this dynamic trading environment. Our platform provides the data, insights, and tools necessary to refine your strategies and improve your trading outcomes.

0DTE Gamma Levels and Skew

Written by Fabio Ruggeri on .

What Are 0DTE Gamma Levels?

Understanding the concept of Gamma is crucial, especially when dealing with Zero Days to Expiration (0DTE) options. Gamma is a second-order Greek that measures the rate of change in an option’s delta relative to movements in the underlying asset’s price. 

For 0DTE options, gamma levels are particularly significant because these options are highly sensitive to even the smallest changes in the underlying asset’s price. As the expiration approaches, gamma tends to increase, meaning that the delta can change rapidly. 

This makes 0DTE options extremely reactive and, therefore, both an opportunity and a risk for traders. A high gamma level indicates that an option’s price can swing dramatically with small price movements in the underlying asset, which can result in substantial gains—or losses—within a very short time frame.

How to use MenthorQ 0DTE Gamma Levels and Net GEX

Tracking gamma levels is crucial for anticipating significant price movements and managing risk effectively.

How to Use MenthorQ’s Gamma Levels:

  • What are Gamma Levels. Watch the Video Tutorial
  • Net GEX Analysis: Our Net GEX chart provides insight into the short-term sentiment within the options chain. Green indicates a higher presence of call gamma, while red signifies more put gamma. This tool acts as an early warning system, helping you anticipate potential market shifts.
    Watch our Podcast on Gamma Levels and Net Gamma Exposure
  • Identifying Reaction Zones: Use our tools to monitor the distance between the current spot price and significant reaction zones. Understanding these zones can help you make more informed trading decisions. Learn About Reaction Zones
Net Gamma Exposure 2
0DTE Gamma Levels and Skew 45

Net Gamma Exposure (Net GEX) and Market Sentiment

Net GEX is a proprietary metric that shows the net exposure of gamma in the market. 

  • A positive Net GEX value indicates that call gamma dominates, which often suggests bullish sentiment.
  • A negative Net GEX value signals that put gamma is more prevalent, pointing to bearish sentiment.
  • By tracking Net GEX, traders can understand market expectations and adjust their positions accordingly.

We also provide Gamma Exposure Levels on 0DTE, Weekly and Monthly Expirations. You can access this data in one single chart grid.

0DTE Multi Expirations
0DTE Gamma Levels and Skew 46

Bot Commands: To access this charts you can use the /netgex or /netgex_multiexpiry command

Market Reaction Zones

Another crucial aspect of tracking gamma levels is identifying reaction zones—price levels where the underlying asset is likely to experience significant movement due to concentrated options activity.

At MenthorQ, we provide tools that help traders pinpoint these reaction zones, allowing for more precise entry and exit points. Reaction zones can serve as early warning signals for potential price reversals or accelerations, helping traders to position themselves advantageously.

Analyzing Open Interest and Volume

Open Interest and Volume are critical metrics for understanding the dynamics of 0DTE (Zero Days to Expiration) options trading. Open Interest represents the total number of outstanding options contracts that have not been settled, providing insight into the liquidity and activity levels of specific options.

  • High Open Interest in 0DTE options can indicate significant market interest and potential for substantial price movement as traders adjust positions rapidly throughout the trading day.
  • Volume, on the other hand, reflects the number of contracts traded within a given period. For 0DTE options, high volume signals active trading and can lead to increased volatility, as these contracts are highly sensitive to market movements.
  • Together, Open Interest and Volume offer valuable information about market sentiment, potential price action, and the underlying forces driving short-term options trading.

We provide different charts for Open Interest and Volume within the Membership. These are the Bot Commands:

  • /voloi – provided the Volume and Open Interest data for All Expirations
  • /voloi_0dte – provides the Volume and Open Interest data for 0DTE Expiration
  • /voloi_1dte – provides the Volume and Open Interest data for the next Expiration
Volume Open Interest
0DTE Gamma Levels and Skew 47

What Is the 1D Expected Move Indicator?

This tool forecasts the next day’s price movement by analyzing implied volatility, providing a projected trading range that is invaluable for intraday trading and risk management. Learn More.

How to Use the 1D Expected Move Indicator Daily Trading Band: Use the projected price range to identify key support and resistance levels for the trading day, guiding your 0DTE strategies.

QQQ 1D Move
0DTE Gamma Levels and Skew 48
  • Learn How to Use the 1D Expected Move Indicator. Watch Now
  • Bactesting Results of 1D Expected Move Indicator. Learn More

Bot Commands: /keylevels

Positive and Negative Gamma

It is very important for Traders and Investors to understand the difference between Positive and Negative Gamma when trading any asset, because these gamma conditions can significantly impact their investment strategies and risk exposure.

  • In Positive Gamma the Market is Long Gamma and we can expect lower volatility
  • In Negative Gamma the Market is Short Gamma and we can expect higher volatility

We can use the Option Matrix to identify whether the market is in a positive or negative gamma environment, helping you gauge potential price stability or volatility based on the aggregated positioning of options traders.

Option Matrix NEW
0DTE Gamma Levels and Skew 49

Watch our use cases videos:

  • How to prepare for a Market Sell Off and Increased Volatility. Watch Now
  • Positive and Negative Gamma. Learn More

Bot Commands: /matrix, /matrix_v1 and liq_snapshot

TradingView Bots Commands: /tv_list, levels_tv, /tv_toptk, tv_futures, tv_bonds

Analyzing 0DTE Skew

What Is Skew and Why Is It Important?

Skew refers to the difference in implied volatility (IV) between options at different strike prices. In 0DTE trading, skew analysis helps you gauge market sentiment and identify potential trading opportunities.

In a perfectly balanced market, the Implied Volatility across different strikes would be similar. However, in reality, this is rarely the case. Skew occurs when there is a noticeable difference in Implied Vol, indicating that traders are willing to pay more for options on one side of the market—either puts or calls—based on their expectations of future price movements.

For 0DTE options, skew becomes an even more critical factor. As the expiration date approaches, any existing skew can intensify, leading to significant price disparities between options with different strike prices.

Skew 1
0DTE Gamma Levels and Skew 50

How to Analyze Skew with MenthorQ

  • Market Sentiment: Use skew analysis to understand whether traders are leaning towards calls or puts as expiration approaches, providing insight into market expectations. Watch Video
  • Strategy Optimization: Identify and capitalize on overpriced options using strategies like iron condors.
  • Watch the Iron Condor Strategy Video: Watch Now

We provide 3 types of Skew:

  • /skew – 1 month Skew
  • /skew_0dte – 0DTE Skew
  • /skew_3m – 3 Months Skew

Options Screeners

Written by Fabio Ruggeri on .

Stocks Screeners allow investors to filter and search for specific stocks or securities that meet predefined criteria. These criteria can be based on various factors, including fundamental, technical, and other quantitative parameters. Stock screeners allow investors to filter and sort through a vast universe of stocks quickly and never miss an opportunity.

With the Menthor Q Screeners you can now receive a daily list of stocks matching quantitative parameters. By leveraging our quantitative models you can now find the most relevant assets and enhance your research.

Why use Menthor Q Screeners?

Together with Gamma Levels, the Options and Momentum Screeners are a powerful tool to:

✅ Screen for Stocks leveraging quantitative factors coming from the options market

✅ Screen based on primary Key Levels and market positioning

✅ Identify stocks that are experiencing market momentum

✅ Combine the power of Technical Analysis and Option Data to enhance your trading