OptionsDepth: Dealer Exposure, Heatmaps and SPX Positioning

What is OptionsDepth?

OptionsDepth is an options positioning and exposure platform focused on SPX and VIX. Its purpose is to show how different market participants are positioned and how their exposure may respond to changes in price, implied volatility and time.

Its defining feature is the use of exchange participant-tagged data. According to the official FAQ, the analytics use Cboe participant information rather than classifying transactions solely from their location relative to the bid and ask. This supports separate views of market-maker and customer activity.

For a trader, the useful distinction is between knowing that options traded at a strike and studying which participant category carries the associated exposure. OptionsDepth combines that positioning information with exposure models, heatmaps and strike-by-expiration analysis.

At a glance

Table of contents

What makes its data different?

An options trade always has two sides. A large amount of activity does not, by itself, reveal whether market makers are long or short the relevant risk. A model that gives every call one sign and every put another is making a simplifying assumption about that distribution.

OptionsDepth instead describes a participant-tagged approach. That is useful for investigating a specific participant’s book, but the exposure displays still require interpretation. Gamma, charm and vanna translate positions into sensitivities; a sensitivity is not an instruction that forces every firm to execute the same hedge at the same instant.

The current focus is also deliberately narrow. The FAQ identifies SPX and VIX options, not an unrestricted universe of US equities. This makes the platform more directly relevant to index-options research than to screening hundreds of individual stocks.

The main tools

Market Makers’ Exposure

The Market Makers’ Exposure module presents modeled exposure as heatmaps and three-dimensional surfaces. Candlestick overlays connect the modeled landscape with observed price action.

Its projections address three different drivers:

• Gamma: How delta exposure may change as the underlying price moves.
• Charm: How delta exposure may change as time passes.
• Vanna: How delta exposure may change when implied volatility changes.

A gamma surface can help identify areas where the modeled hedging response changes materially. A charm surface adds the time dimension, which becomes particularly relevant as short-dated contracts approach expiration. Vanna adds another condition: a price-only interpretation may change if implied volatility moves significantly.

The forward-looking aspect is a projection of exposure under modeled conditions. It should be read as a conditional landscape rather than a forecast that price will visit a particular zone.

DepthView

DepthView organizes contracts across strikes and expirations. Users can filter the participant category, calls or puts, expiration range and exposure type.

This is useful when an aggregate view raises a more specific question. Is most of the exposure concentrated in today’s expiry? Is a large number caused by one strike or distributed across several maturities? Does the picture change when customers and market makers are examined separately?

DepthView offers position, delta, gamma, charm and vanna views. Keeping the selected metric visible matters: the same contract can contribute very differently to its delta and gamma displays.

Positional Insights

Positional Insights provides breakdowns by strike or expiration, along with delta exposure over time. It can help move from a snapshot toward a comparison of how the positioning picture developed.

An expiration breakdown is particularly useful when near-term and longer-dated positions point in different directions. Collapsing everything into a single number can conceal that distinction.

Net mode versus Flow mode

These modes answer different questions.

Net mode displays the aggregate exposure of the selected participant book and contract set. It is a view of the current modeled state.

Flow mode compares exposure between two selected time points. It is useful for identifying what changed over a chosen interval.

A change in exposure can reflect changing sensitivities as well as changing contracts. For example, movement in the underlying can change gamma even when a position has not been newly opened. Avoid treating every change in a Greek exposure chart as fresh cash buying or selling.

For consistent comparisons, hold the participant, exposure metric, expiry filters and units constant. Otherwise, a display change may simply reflect a different query.

Getting started

1. Open a defined position view. Begin with SPX or VIX in DepthView and choose the participant category explicitly, such as market makers or customers. Use Net mode for the selected book’s aggregate state.
2. Narrow the contract set. Select the expiration range and calls, puts or both, then choose the exposure metric. Record the units before comparing strike concentrations.
3. Inspect the exposure landscape. Use Market Makers’ Exposure for the corresponding gamma view, checking its reference time. Add charm or vanna only when investigating time or volatility sensitivity.
4. Compare a time interval. Switch to Flow mode to examine a defined window while keeping participant, metric, expiry filters and units consistent. Use historical snapshots to confirm what the earlier view actually showed.

As a hypothetical example, a trader might see a substantial gamma area near spot, then discover that much of the exposure sits in the current expiry. That changes the question from “Will this level matter all week?” to “How might its relevance change as these contracts expire?” The benefit is a more precise research question, not a predetermined trade.

Updates, history and API access

The current FAQ describes intraday visualization snapshots at one-minute intervals and a 30-day intraday lookback for visualization and API use. Older promotional sections on the website still refer to a slower update interval, so verify the current subscription’s cadence in the platform rather than combining descriptions from different product generations.

API access requires particular attention. The FAQ describes it as a separate paid add-on for Pro Max, with requests consuming API units. A dashboard subscription should not automatically be assumed to provide unlimited programmatic access.

The Data Shop is another route for historical datasets. Check the fields, dates, granularity and usage rights before planning a backtest or a data pipeline around a particular purchase.

Who is OptionsDepth best suited to?

The strongest fit is an SPX or VIX options trader who already understands the Greeks and wants participant-specific positioning context. An index-futures trader may also find the research useful, while remembering that index levels and futures prices are not identical scales.

The platform asks more of the reader than a basic level overlay. Its value depends on maintaining consistent filters, distinguishing projected sensitivities from observed transactions, and evaluating several dimensions of the same position.

Before choosing a subscription, use the official pricing page and confirm instrument coverage, refresh intervals, historical access, export requirements and API entitlements. The most useful initial evaluation is one instrument, one recurring question and a documented process for checking whether the answer improves preparation.

Official sources

• OptionsDepth overview
• Coverage, data source, history and API FAQ
• Market Makers’ Exposure
• DepthView
• Positional Insights
• Current plans