Delayed derived options structure
TAPE·PIN
Not a scanner · Not max pain from volume
tape 2026-09-18 · published 2026-09-20T14:49:11.657872-04:00

Methodology

Expected move

ATM call close plus ATM put close on the option day file, after the 16:00 ET cash close plus 180 minutes. Not bid/ask mid. Not a 0.85 haircut. Not an earnings implied move unless that expiry is independently known to be earnings, which this site does not assert.

Volume walls

Highest session contract volume by strike on the front live expiry (DTE at least 1). This is tape, not open interest, and not max pain.

Gamma exposure

A dealer-gamma model from a delayed options snapshot: open interest times gamma under a standard market-maker sign convention. Flip, call wall, and put wall are model output. They are not a dealer book.

History

Each delayed session is archived as compact daily rows: spot, weekly expected move, put/call volume, volume walls, and gamma snapshot. It is not tick history and not OCC max pain.

Max pain

Classic OCC max pain needs open interest by strike. The Massive option day aggregate file used here has no OI field, so max pain is missing and those URLs are noindex until that changes.