ConvexValue: Options Flow, Volatility and SPX Hedging Analytics

What is ConvexValue?

ConvexValue is an options analytics terminal built around configurable modules. A workspace can place a stock scanner, transaction tape, volatility chart and options-chain view side by side, with commands or control panels defining each view.

Its central advantage is the ability to move between market-wide activity, a single stock and individual contracts while retaining a consistent research layout. The desktop terminal runs on macOS, Windows and Linux; individual modules can also open in a browser.

The product covers broad stock-options analysis, but its dedicated hedging map and hedging surface are specifically for SPX. That distinction matters when evaluating which displays will be available for a particular instrument.

At a glance

Table of contents

From the scanner to the underlying trades

The flow scanner ranks underlyings by selected options parameters, including premium, contract volume and classified buying or selling. Columns and filters can be configured rather than accepting a single fixed ranking.

A useful filter combines activity with scale. A very large call-to-put ratio on a thinly traded name can be less informative than a moderate imbalance with substantial underlying volume. The scanner’s configurable columns let a user inspect those dimensions together.

Three companion views add detail:

• Time and sales, or tas: Individual option transactions with contract, execution price, bid and ask, size, premium, aggressor classification and Greeks.
• Flowchart: A single underlying’s selected options metrics through the session, alongside price.
• Flowsum: Call and put measures organized by expiration, helping separate a near-term concentration from activity spread across dates.

This progression gives an aggregate a traceable origin. If a scanner identifies unusual call buying, the next step is to examine which expirations and transactions created it, rather than treating the ranking as a complete trade thesis.

Understand the ratio before comparing it

ConvexValue’s documented premium-based flow ratio compares call-buy and put-sell premium with put-buy and call-sell premium. Its volume-based version applies a similar grouping using contracts. The neutral reference is 1, because these are ratios between two groups.

That is different from a normalized share whose neutral point is 0.5. Two platforms can show different-looking numbers while describing similar activity under different definitions.

The buy and sell classifications refer to the estimated aggressor side of the observed trade. They do not identify an investor’s complete position, reveal whether all related trades are visible or establish that a transaction is a newly opened bet. Premium, volume and Greek exposure also measure different aspects of the activity.

Volatility: compare expirations and strikes separately

ConvexValue separates several dimensions of options pricing:

Term structure plots implied volatility by expiration, with prior-day curves available for comparison. A kink in one expiration is a reason to investigate an event within that period.

Skew compares put and call implied volatility at matched delta points across expirations. It helps examine how downside and upside protection are priced relative to one another.

The options line chart can show a selected parameter across strikes for multiple expirations. This provides a different cross-section from term structure.

A high-IV expiration is not automatically a poor purchase, and a low-IV one is not automatically cheap. The question is what uncertainty is being priced and how it relates to the intended holding period. Earnings and economic calendars can help investigate the dates behind the curves.

Implied ranges and probability displays

The implied-probabilities module displays a forward reference, ranges labeled 50% and 70%, and a straddle measure by expiration. Its documentation describes ranges constructed using selected delta strikes.

These displays summarize information inferred from current option prices. They are not ConvexValue’s independent forecast that price will remain inside a band with a fixed real-world frequency. The ranges change as market pricing changes, and the interpretation depends on the underlying options model.

A useful comparison is whether the range widens around an event expiration and whether that widening is also visible in term structure. The two views can describe the same event risk from different angles.

SPX hedging map versus hedging surface

The map module estimates how SPX hedging pressure may vary across price and time through the next close. Colored cells represent modeled pressure; areas near zero form what the product calls a path of least resistance.

The dx view extends the estimated delta and gamma picture into a multi-date surface. These are model estimates of options-related hedging effects, rather than directly observed future stock orders.

Both dedicated views are SPX-only. Broader chain modules can analyze other supported symbols, but selecting a different stock does not transform the SPX hedging model into a stock-specific equivalent.

This is a useful boundary to keep in mind when building a workspace: broad coverage of flow or chain data does not imply identical coverage for every specialized model.

Getting started

Build a small linked workspace before adding more modules.

1. Configure the flow scanner. Choose the activity columns and filters relevant to the question, such as premium or contract volume, and inspect liquidity alongside any ratio.
2. Link a selected underlying. Use the global-symbol feature to coordinate symbol-aware panes, including a flowchart and expiration summary, so selecting a stock updates the related views.
3. Trace the concentration. Locate the relevant expirations in flowsum or a chain view, then inspect time and sales for the individual transactions. Keep the symbol, range and metric consistent across panes.
4. Add the appropriate volatility view. Use term structure for expiration differences or skew for matched-delta comparisons. Confirm the selected expirations before relating the curves to an event or holding period.

The same settings are accessible through control panels, so using the platform does not depend on memorizing commands.

Suppose a stock rises to the top of a call-buying scan. If the expiration summary places most activity beyond an earnings date, while the nearest expiration remains quiet, the observation differs from a same-day momentum bet. That distinction can change what further research is appropriate.

Chain visualization and comparison

ConvexValue also offers strike bars, ridgeline plots and chain heatmaps. The same parameter viewed by strike, expiration or change since an earlier date answers different questions.

For example, open interest shows the outstanding-contract footprint, while volume shows trading activity. Placing them side by side can highlight where activity is concentrated relative to published positions, but volume exceeding OI does not tell the full opening-and-closing history.

Use a consistent symbol, expiration range and parameter when comparing panes. Otherwise, a visually impressive disagreement may simply come from different settings.

Who is it suited to?

ConvexValue is best suited to users who want to build a repeatable options-research workspace and inspect the inputs behind a scanner result. Its flexibility is valuable when there is a clear question for each pane; an overloaded layout can make it harder to distinguish evidence from distraction.

Before subscribing, check supported instruments, data fields, historical access, desktop requirements and the current membership terms on the official site. Evaluate one complete routine, from identifying activity to understanding its contracts and volatility context, rather than judging the terminal only by the number of modules available.

Official sources

• ConvexValue Terminal overview
• Documentation and module directory
• Flow scanner: columns, filters and ratios
• Time and sales
• Volatility term structure
• Implied probabilities
• SPX hedging map
• Global symbol and linked panes