What it measures
The tracker builds on a model of dealer hedging pressure, derived from the visible option chain, and then looks at how that pressure is distributed across strikes and how the distribution changes between snapshots.
| Measure | Definition | What it tells you |
|---|---|---|
| Flow share | The absolute modeled net flow at a strike divided by the sum of absolute flow across the visible strikes. | Where modeled pressure is concentrated right now. |
| Flow centroid | The flow-weighted average strike: the sum of strike times absolute flow, divided by total absolute flow. | The centre of current modeled pressure, not just the single biggest strike. |
| OI centroid | The open-interest-weighted average strike. | Where inventory sits. Comparing it with the flow centroid separates old inventory from fresh pressure. |
| Magnet strike | The strike carrying the largest absolute modeled flow in the visible window. | A likely engagement area, not a precise pin. |
These are platform heuristics, not exchange fields. They depend on the visible chain and the model's inputs, so they can miss repositioning that is off-screen or over the counter.
The views
- Migration heatmap. Shows how strike-level flow share changes across intraday snapshots. Persistent concentration that moves toward spot is more informative than one bright square, which can come from a temporary trade or a stale input.
- Centroid path. Plots spot, the OI centroid, the flow centroid and the magnet strike through time. If the flow centroid leads the OI centroid, fresh pressure may be moving before the slower open-interest picture catches up.
- Rotation leaders and migration table. Show which strikes gained or lost the most share and net flow in the latest transition, with columns such as flow share, delta share, net VEX, delta net VEX and total OI.
A routine for using it
- Start with the question: is new concentration building back near spot, or is the opening structure being abandoned?
- Check the centroid path. A flow centroid pulling away from the OI centroid suggests fresh risk is forming in a different place.
- Open the rotation table and focus on the largest gains near the current spot, where the next decision zone is most likely to form.
- Confirm with price acceptance and volume around the magnet. A magnet with no trading interest is a modeled level, nothing more.
- Re-check late in the session, since a valid midday magnet can be irrelevant by the close after an expiry roll.
Limits
Migration is modeled. It assumes visible chain inventory is a useful proxy for dealer risk transfer, and dealers can net, cross-hedge and rebalance rapidly, so migration should be read as an exposure map, not a forecast of literal order flow. A spot move can overshoot a magnet in a fast market. Use the tracker comparatively, asking where pressure is moving and whether it is moving toward or away from spot. The same modeled pressure underlies the Flow Regime Dashboard, gamma exposure and delta exposure tools.