Reading the market regime before prices move

Skip to content
Last close 20:10 UTC
QQQ 725.20 +1.06%
IWM 276.48 +0.26%
RSP 216.64 +0.37%
VIX 16.78 -3.07%
SVIX 28.61 +1.78%
VXX 17.39 -1.03%
SMH 556.70 +1.90%
SOXX 510.80 +2.16%
XLF 56.04 +0.58%
XLE 68.17 +0.30%
GLD 378.95 +0.35%
Brent 126.55 +0.61%
WTI 101.91 +1.04%
Dollar index 121.40 -0.14%
US2Y 4.79% +2 bps
US5Y 4.94% 0 bps
US10Y 5.12% −3 basis points
US20Y 5.47% −6 basis points
US30Y 5.42% −6 basis points
Bitcoin 84,313.36 +0.26%
FINVIRO · NAVIGATION 2026
Subscribe → My account
Dark theme
Arabic
After hours

Methodology

METHODOLOGY
A transparent technical document How every number you see here is calculated

Finviro numbers are calculated in-house from official primary sources, not republished from a middleman provider. This page lists the source of every number, its formula, its limits, and what we refuse to show and why · so everything we publish can be checked, not just taken on trust.

  • Gamma regime SPYPositive
  • Net liquidity$5,872.1BOct 14, 2026
  • Recession risk · 12 months10.7%2026-09
  • Verified closed trades21536.7% win rate
01

Where does the data come from?

Company fundamentals U.S. Securities and Exchange Commission

US Securities and Exchange Commission. Ratios are read from the company's own official periodic filings, and every number we publish can be matched against its filing.

Liquidity, rates and macro Federal Reserve System

US Federal Reserve. Official monetary and economic series on their published schedule · weekly or monthly depending on the series.

Yields and auctions U.S. Department of the Treasury

US Treasury Department. Bond yields, auction results and the Bid-to-Cover ratio.

Options positioning Listed U.S. options chains

Listed US options chains: Open Interest (OI), volumes and implied volatility for every strike and expiration. Today on SPY: 1,834 contracts in the calculation.

02

Each indicator's formula, and its current output

Gamma positioning (GEX)

The amount of hedging a market maker must carry out for a 1% move in the price.

GEX = Σ ( sign × gamma × OI × 100 × spot² × 0.01 )
sign positive for a Call, negative for a Put gamma contract gamma OI Open Interest 100 contract multiplier spot current price

Result: positive means hedging against the move, which dampens volatility; negative means hedging with the move, which amplifies it.

Current output · SPY
Net gamma
+3.04 billion
Regime
Positive · dampening
Price
$773.09

Call Wall and Put Wall

The largest Call gamma cluster above the price (a possible ceiling), and the largest Put gamma cluster below it (a possible floor).

Strict structural note

Each wall is computed from its own side of the book, not from the net profile. The net profile's sign is “calls minus puts”, so a Strike crowded with puts always comes out negative, and “the largest positive below price” becomes impossible on index books: the support vanishes or the calculation picks a stray strike. Separating the two sides fixes both cases.

Current output · SPY
Call Wall
$775.00
Put Wall
$769.00
Price between them
Yes · in range

Gamma Flip (Zero Gamma)

The price at which net gamma becomes zero.

Found by repricing the gamma of every contract at a series of hypothetical prices until total gamma flips from positive to negative. Above it, the backdrop dampens volatility; below it, the backdrop amplifies it.

If there is no flip within a reasonable range around the price, we write "no nearby flip point" and do not print zero · a zero here is a lie that looks like a number.

Current output · SPY
Gamma Flip
$770.00
Where the price sits
+0.40%
Reading
Above it · dampening backdrop

Federal Reserve net liquidity

The cash actually available to the financial system, and a direct driver of risk assets.

Net Liquidity = Fed Total Assets − Treasury General Account − Reverse Repo

That is: the Fed's total assets, minus the Treasury General Account, minus reverse repos. When it rises, the backdrop supports risk assets; when it falls, fuel is being drained.

Current output · Oct 14, 2026
Total assets
$6,755.6B
Minus Treasury account
$−883.4B
Minus reverse repos
$−0.2B
= net liquidity
$5,872.1B
4-week change
$+7.9B

Recession risk (Recession Probability)

A statistically estimated probability, not an editorial opinion.

A probit model fitted by maximum likelihood on actual NBER recessions (NBER) since 1961, with two inputs: the yield spread between 10-year and 3-month Treasuries, and growth in residential building permits. Reference: Estrella & Mishkin (1998).

Current output · 2026-09
Recession probability within 12 months
10.7%
Confidence interval
7.6% – 14.4%
10Y − 3M yield spread
+1.05%
Out-of-sample model accuracy (AUC)
0.867

Why an estimated model? Because a formula with fixed, hand-written weights looks precise but is a matter of taste. Estimating on real recessions makes the numbers testable.

Portfolio and signal performance (TWR)

Time-weighted return, benchmarked against GIPS.

TWR = ∏ (1 + R_t) − 1
The public record now
Closed trades
215
Win Rate
36.7%
Range
From Jun 8, 2026 to Oct 21, 2026

It removes the effect of deposits and withdrawals, so it measures the trader's decisions, not the size of their capital. Most important: it is tracked forward only, with no rebuilding of past history, because a rebuilt record always leans in favor of whoever builds it.

03

What we refuse to show, and why?

Statistical significance alone is not enough

In a live run, the largest "liquidity burst" reached a z-score of z = 4.38 · strong statistical significance. But the matching move was only +0.23%: a number no trader would feel. It looked huge only because the minutes that day were very quiet, so the Standard Deviation (σ) was small. Decision: we added a material size floor as a share of the session range, so noise is not shown as an event.

Today on SPY: the largest burst that passed the test z = 3.13 with a move of +0.2% · 3 events cleared both floors.

Correct in the math, wrong in meaning

When the Call Wall was calculated from the net profile, the calculation on one index picked up a cluster of $297 located 9.2% below the price · a stray strike, not real support, and it then became the floor for a daily verdict. The math was correct and the result had no trading meaning at all. Decision: the wall books were separated, and floors were added that ensure meaning, not just a valid formula.

We never fill a gap with a number

When the calculation produces no value (no flip point within a reasonable range, or data that has not yet arrived from the source), we say so in plain words and collapse the item. We never put a zero in place of the unknown, because a zero reads as a precise measurement when it is really an absence. This page follows the same rule: every "current output" above disappears when its data is missing and is replaced with "Unavailable".

04

The clear limits of what we offer

  • Positioning, not prediction. A gamma wall is a checkable fact about where hedging sits now, not a forecast of where the price goes tomorrow. The level holds whether the trade wins or loses.
  • Gamma is a quantity, not a dollar amount. When gamma is shown without the contract multiplier, it is a relative size measure for comparison and is not written with a $ sign.
  • Recession is a probability. An economic recession and a stock market drop are different events, and one can happen without the other. The model measures only the first.
  • Macro lag. Macro data is delayed by nature (weekly or monthly), so we always show the date of the latest reading next to the indicator.
  • All times are in UTC, and US session windows are derived from the New York time zone, not hard-coded.
  • Educational and analytical content, not personal investment advice.

Found a number that doesn't match its source? Tell us right away.
A public correction is part of a strict method, not an exception to it.

Report a data error