SpotGamma’s Opening Setup is a four-page report delivered every morning before the market opens. This report is built to answer three questions in a five-minute read: what the option trades did major institutions make yesterday, what the impact of these trades could look like, and where options are cheap or expensive today.

Overnight, SpotGamma's pipeline scans the entire previous session of U.S. options activity examining option positions across thousands of tickers. Opening Setup identifies all major positions, filters down to genuine new positions that were opened, and then layers in volatility statistics, dealer-positioning data, and pre-market pricing.

How can you use Opening Setup?

Opening Setup is designed to deliver quick insights to traders in two areas:

1. Positioning gauge: The information in Opening Setup is calibrated roughly the next two weeks. This provides traders with a general market outlook based on options positioning.

2. Screened trade setups: Opening Setup shows large and interesting positions taken the previous day. For example, the report flags trades that screen as unusually large or inexpensive.

Page 1 — The Market Briefing

The first page of Opening Setup summarizes the current market feel based on options positioning, combined with relevant news from the past 24 hours.

Market Sentiment gauge (top left)

This gauge is displayed as a speedometer-style dial showing the SG Flow Signal — a 0–100 score. A higher gauge reading means more supportive conditions for stocks over the next two weeks.

There is one special state: DIP WATCH. When the signal stays constructive (55 or above) on a morning when the S&P 500 is down sharply, the report flags the day rather than downgrading the score. In backtesting, days where the options market is positioned as bullish despite a market drop are often followed by above-average two-week returns. This suggests a possible dip to watch rather than a larger or longer-term correction.

We suggest using the Market Sentiment gauge as a regime check before you make decisions. Traders may find it beneficial to lean into constructive setups when the gauge is high, size down or hedge when the gauge is low, and pay extra attention on DIP WATCH days when price and options flow disagree.

Market Snapshot (top right)

This snapshot shows pre-open prices and overnight changes for the S&P 500, SPY, VIX, gold, and the 10-year Treasury yield. This section includes overnight futures and extended-hours moves, since the report is generated before the bell. Arrows are colored by what the move means for stocks, so a falling VIX shows green.

The Market Snapshot provides context for everything else on the page: the same flow signal reads very differently on a +1% morning than on a −2% one.

Signal Breakdown (middle)

This is the transparency panel showing the individual components that make up the Market Sentiment Gauge by weight, with a bar representing each component.

One gauge sits alongside these but is deliberately not in the score: the Expected Movement gauge (CALM / NORMAL / WILD), driven by the SPX Gamma Index. Dealer gamma predicts the size of coming moves, not their direction — when dealers are "long gamma" their hedging cushions the market (CALM); when they're "short gamma" their hedging amplifies moves (WILD). There is a summary line adjacent to this that provides further color, based on social-sentiment and recent headlines.

Within the Signal Breakdown, a score of 60 driven by VIX stress is a different market than a 60 driven by put pressure. And WILD versus CALM tells you whether to expect larger swings (which favor strategies that profit from movement) or a quiet grind (which favor strategies that profit from calmer markers).

Market Thesis (bottom)

This section covers the overarching narrative featuring an Algorithm Scan Summary with the data footprint in plain numbers. As an example, this could read as "23,000 positions, 2,400 tickers, $4.1B premium scanned" followed by a thesis that connects the dots:

• Dominant sector and positioning themes: what options are being bought, in which sectors, how far out-of-the-money, and whether they are likely short-dated hedges versus long-dated bets
• S&P dealer-gamma backdrop with key hedging levels: The ±1σ prices where dealer behavior shifts, and cross-references to the trade setups and large trades elsewhere in the report.

The Market Thesis serves as a two-minute read that turns the numbers into a story. The key levels act as concrete prices you can put on a chart to anticipate price behavior throughout the next several days.

Page 2 — Setups & Large Trades

Setup Profiles (four cards, top)

Opening Setup scans through 25,000+ options traded the prior examining the volatility surface in depth. Four specific categories surface the most extreme reading in each direction:

Each card carries the ticker's IV Rank, Skew Rank, live price context (1-week high/low, 5-day range, yesterday's change), and a one-line strategy profile, such as "call-spread profile screens inexpensive."

The Setup Profiles reveals statistical extremes by showing the four names where the options market's pricing is most stretched. These highlight potentially the largest mispricings on the vol surface and describe what kind of structure fits."

Top Large Options Activity (the whale table)

This section displays the eight largest new options positions of the prior session, one row per ticker, sorted by premium first. This is designed to filter out noise based on premium, open-interest, and probability screens while simultaneously reconstructing multi-leg spreads into single trades. The Top Large Options Activity includes the following data points:

• Ticker
• Side (Long/Short)
• Trade (Call/Put)
• Premium (in $ millions committed)
• 1D Chg (the stock's move)
• Odds (model-estimated probability the position profits at expiration, from Black-Scholes)
• Dir (net Bull/Bear read of the position)
• IV R/P (IV Rank / Percentile)
• Skew
• Context

The Context column will flag what makes each trade noteworthy.

The Top Large Options Activity can be used as an idea source based on conviction from institutional trades, as a sentiment read on specific names you already hold, and as a heads-up for impactful positions in the market. A ticker carrying both EARNINGS and HIGH SKEW tells you large traders likely see meaningful event risk.

Page 3 — Vol & Earnings

Most Active Options

This shows the ten most actively traded option names of the prior session, each with its front-month implied volatility, its IV Rank and Percentile (where today's IV sits against the past yea), the one-day IV change, and a Practical Read with a verdict such as "elevated or "low — options are cheap." Three stat boxes on top call out the average IV, the highest-IV name, and the biggest single-day IV mover.

This section can inform traders whether they are overpaying: the same option strategy is a very different proposition at the 90th IV percentile (rich — favors selling premium) versus the 10th (cheap — favors buying it).

Options Flow – Upcoming Earnings

A card for each notable name reporting soon, showing the option-implied earnings move (how big a post-earnings jump the options market has priced in), the stock’s last three actual post-earnings reactions, and a data-driven note outlining if the market is pricing in more or less movement than the stock has historically delivered.

As an example, if the options market is pricing a 9% move in a stock that historically moves 4%, that suggests rich premium currently. Selling options structures could potentially screen better.

Page 4 — Glossary

The last page is a full metric glossary of every index, rank, and tag defined, with the day's actual values shown inline: