orderflow
net convexity
A single measure of option buying vs option selling.
api
Get this data from the orderflow latest endpoint.
= total customer long gex - total customer short gex
Description
- Net convexity is a measure of option buying vs. option selling.
- Positive (high) net convexity means that participants are expecting more near-term volatility than is currently priced into the market.
- Negative (low) net convexity means that participants are expecting less near-term volatility than is currently priced into the market.
- Due to the inverse correlation between underlying price and implied volatility, low convexity is mildly constructive on underlying price. Very high net convexity, which indicates high demand for options, usually only occurs during times of panic.