orderflow
aggregate dex
Cumulative share-equivalent delta pressure generated by options market transactions throughout the session.
api
Access this data from the orderflow latest endpoint.
Formulas & Series Breakdown
- Aggregate DEX (Cyan): Cumulative net delta pressure across calls and puts.
- Call Aggregate DEX (Green): Cumulative call delta flow (
long call - short call). - Put Aggregate DEX (Red): Cumulative put delta flow (
short put - long put).
Market Dynamics & Flow Interpretation
Aggregate DEX measures cumulative session delta pressure:
- Short Volatility Regime: Negative Call AggDEX combined with positive Put AggDEX indicates broad volatility selling throughout the day.
- Underlying Characteristics:
- SPX: Primarily functions as a volatility-selling and portfolio-hedging instrument in low-volatility regimes. Uptrends often exhibit negative Call AggDEX and positive Put AggDEX.
- SPY: Trades with higher directional participation. Divergences between SPY spot price and SPY AggDEX provide reliable trend continuation and exhaustion signals.
- High-Volatility Regime (VIX > 20): SPX index options shift toward directional trading patterns, mirroring single-stock and ETF flow behavior.