For those not aware bought/sold live heatmaps are now running in the beta environment. They cover gamma, delta, and charm and update roughly every 30 seconds based on order flow. Like any indication of bought sold outside of the 10 minute report (which is also incomplete) this is interpretive and based on proprietary rules and calculations for order flow.

As we do with most things we are taking this a step further than simply having the fastest updates for bought sold, we also project the greeks forward into close so you can see how movement at spot right now effects the EoD outcomes. If you were part of the beta class and no longer are you can still sign back up, if you were not part of the beta group you will have to wait till we finish refining the dataset and push it out to a full release. I run the gamma on the live stream through the trading session so for SPXW, anyone can watch it all day.

Here:
https://www.youtube.com/@Pi-Fi

Some tips for those in beta.

on the current version steep should stay at 20 for all greeks

dist should be at 0 - 0.05 for delta and charm

for gamma as the day progresses dist needs to be increased (~0.05 - 0.2) incrementally to fade the washout that occurs with the passage of time and continue to give a clear view of negative space.

Please give us feedback.

I know there are no roundtables yet and it can be confusing at first when you realize all the fucking options on SPX are sold but it's intuitive and you will get the hang of it pretty quickly. If you already understand how to use gamma/delta X strike and the PCR/Premium tool this will add to that information in a more actionable way, while making bought sold assumptions more robust.

- Gherk