convexity ladder
Net gamma exposure of classified positions — risk measurement, structural levels, and volatility regimes.
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Access this data from the options profile greeks endpoint (greek gamma).
The Convexity Ladder displays the net gamma exposure of intraday classified option positions. Long calls and long puts represent long customer gamma; short calls and short puts represent short customer gamma.
Convexity Profiles
- Positive Convexity (Right): Customers are net long convexity and benefit from large price movements. Dealers are short gamma and must hedge in the direction of the trend.
- Negative Convexity (Left): Customers are net short convexity and benefit from range-bound price action. Dealers are long gamma and hedge counter to the trend.
The Convexity Ladder measures price acceleration risk rather than simple direction. Concentrated negative convexity strikes directly below spot identify potential liquidity vacuums. If spot breaks through these levels, dynamic dealer hedging forces rapid downside continuation.
Market Regime Interactions
The market impact of convexity levels depends on the volatility regime:
1. Falling Volatility Regime (Standard Market Environment)
- Positive Convexity: Acts as a barrier that dampens spot price movement.
- Negative Convexity: Accelerates price movement through the strike zone.
2. Rising Volatility Regime (Elevated Uncertainty)
- Positive Convexity: Allows price to trend rapidly through the strike zone.
- Negative Convexity: Acts as a magnet or barrier where price tends to stall.
In both regimes, zero-convexity transition points between positive and negative zones act as key inflection pivots.
Volatility Environment Diagnostics
The overall distribution across strikes indicates broader market sentiment:
- Broad Negative Convexity: Indicates deep liquidity and active premium selling.
- Broad Positive Convexity: Indicates elevated expectations of upcoming volatility (common ahead of economic releases or earnings).
Intraday Pinning Dynamics
Into the market close, 0DTE strikes with large negative customer convexity (dealer long gamma) act as price magnets due to accelerating Charm decay and Vanna collapse.