How Owl Mastery computes its levels and signals

Owl Mastery publishes daily gamma exposure levels, a 1-day range, four price signals and key stats for US stocks and indexes. This page lists every formula behind them, when the data updates, and the assumptions that limit what the numbers can tell you.

When the data updates

• Once a day, after the US close. Owl Mastery computes each stock's figures after the US market closes, and they stay the same until the next update. Nothing updates while the market is open.
• The latest snapshot only. The site serves the most recent figures for each stock. It keeps no history of levels, so it cannot show how a level has moved over past days.
• Dated figures. The levels carry the date of the options data they come from, and the price figures carry the date of the stock's last daily bar.
• A failed update keeps the old figures. If one stock's update fails, its previous figures stay up until the next successful update. Check the date before you rely on a number.

Gamma exposure by strike

For each strike, gamma exposure is stated in dollars of delta (hedging) exposure per $1 move in the underlying, summed across expiries. Calls count as positive and puts as negative, and net exposure is call + put. The figures come from the open interest in the options data behind each day's levels.

Signed-in users see a chart of the strikes within 10% of the last close. Owl Mastery computes the levels below over every strike, not only that window.

Gamma levels

Signed-in users also see two more sets of strikes. Front expiry repeats call resistance, gamma wall, HVL and put support for the nearest expiry alone. Top strikes are the first three of ten ranked strikes that are not already a level, ranked by |net GEX × net DEX| with five strikes inside the 1-day range first.

How the 1-day range uses IV30

IV30 is the implied volatility of the listed expiry closest to 30 trading days out, an annualized figure. Dividing it by the square root of 252, about the number of US trading days in a year, turns it into a one-day figure. The range is then spot ± spot × IV30 / √252, a one-day move at IV30. It is an estimate of a typical day, not a limit, and price can close outside it.

Signals

Owl Mastery computes the four signals from each stock's one-year daily bars. Each keeps its latest value and its last 30 values. A signal has no value when the stock has too few bars for its formula, except From 52W high, which uses the bars it has when fewer than 252 exist.

Price, change, performance and key stats

• Change is close - previous close, and change in percent is (close / previous close - 1) × 100.
• Performance for each of 1M, 3M, 6M, YTD, 1Y and 5Y is (last close / first close - 1) × 100 over that range's daily bars.
• Key stats are the last bar's open, high, low and volume, the previous close, the mean volume of the last 20 bars, and where the close sits between the lowest low and the highest high of the one-year bars.

Assumptions and limits

• Assumed dealer positioning. Counting calls as positive and puts as negative treats dealers as long the calls and short the puts that their customers trade. Open interest does not show who holds each side, so real dealer positioning can differ.
• Open interest is counted once a day. Positions opened and closed within one day, including many same-day expiry trades, never appear in it.
• A snapshot. Gamma changes as price, time to expiry and implied volatility change. The exposure at the close can differ from the exposure during the next session.
• Levels can coincide. Two levels can fall on the same strike. Call resistance and the gamma wall always do, because both pick the strike with the largest gamma times open interest, with puts counted as negative, so the levels table shows them in one row.
• Not every stock has levels. A stock without options data shows its price and signals but no gamma levels.
• Not forecasts. Hedging flows are one force among many. News, earnings and broad market moves can outweigh them, and no level or signal says where price will go.

The numbers are educational information, not investment advice. The disclaimer covers this in full, and the SPX page shows every level and signal for the S&P 500.

Sources

• J. Welles Wilder Jr., New Concepts in Technical Trading Systems (1978), the book that introduced the relative strength index and the smoothing Owl Mastery's RSI uses.
• The Options Clearing Corporation, Characteristics and Risks of Standardized Options, the options disclosure document that explains how listed options work and the risks they carry.