orderflow
convexity orderflow
Cross-referenced against dex orderflow to read whether participants are wagering on more or less near-term volatility.
api
Get this data from the orderflow latest endpoint.
= long orderflow × gex - short orderflow × gex
Description
- The intended use of convexity orderflow is to cross reference it against dex orderflow. A transaction with positive dex but negative convexity is a short put. If the same transaction has positive convexity, it must be a long call. In this way, one can monitor the optionsprofile without looking at the ladder chart.
- More generally, convexity orderflow indicates when participants are wagering on more/less near-term volatility:
- Positive convexity means that participants are expecting more volatility (buying options).
- Negative convexity means that participants are expecting less volatility (selling options).
- Sell-offs are often marked by consistent positive convexity orderflow (as there is demand for volatility). Whereas grinding days and squeezes often feature consistently negative convexity orderflow.