Hermēs DocumentationOrderflow — DEX / GEX / Convexity + Net Metrics + AggDEX
Three lenses on every incoming order (direction · gamma · vol), three summary metrics for whole-book posture, one cumulative line for intent
One-line positioning
GEX Profile shows you what the map looks like. Orderflow shows you who's walking on it, where to, and how heavy. The first is terrain. The second is foot traffic. You need both to know who you're playing against and how big the stakes are.
Concept map
The orderflow system has seven indicators organized into three layers:
Per-order (3) → DEX Orderflow · GEX Orderflow · Convexity Orderflow
Current totals (3) → Net GEX · Net Convexity · Combined matrix
Cumulative (1) → AggDEX (Call/Put split)- Per-order bars — each bar = "the order that just hit." Big bars = conviction events.
- Current totals — collapse all strikes into one number → snapshot of where the whole book sits right now.
- Cumulative — running integral from open → traces intent over the day.
Lens 1: DEX Orderflow (direction)
What it is
Each option order is translated into share-equivalent size. Each bar = "that last trade was equivalent to buying/selling X shares of underlying."
It puts option flow into stock-language so you can compare it directly to spot tape.
How to read it
| Bar | Literal meaning |
|---|---|
| Positive (up) | Net bullish flow — equivalent to buying X shares |
| Negative (down) | Net bearish flow — equivalent to selling X shares |
Veteran mantra
Big bars mark intent, not direction.
- A big positive bar isn't necessarily bullish: it might be size-buying conviction OR a forced short cover (panic).
- A big negative bar isn't necessarily bearish: it might be size-shorting conviction OR a forced long stop-out (capitulation).
Both readings flag the same thing — a pivot is near. Pair the big bar with the next 1-3 minutes of price action to assign direction.
Where in HermesGEX
| Component | Field |
|---|---|
| HuntingFlow top OrderflowPanel | DEX / Agg, DEX / Net, Flow/s DEX |
| Gamma Chart subpanel | DEX Orderflow bars overlay |
Example
09:35 on ES_SPX prints a +1800k DEX bar while price is still drifting lower. Two paths:
- Path A — price flips up over the next 2 minutes → that was real conviction buying into weakness → local bottom.
- Path B — price keeps drifting down → that was a trapped long finally giving up → often also a local bottom (sell-side exhaustion).
Both paths point the same way despite opposite mechanics. Treat the big DEX bar as an event flag; let price confirm direction.
Lens 2: GEX Orderflow (gamma)
What it is
Each order's marginal contribution to the GEX Profile. Not share count — gamma delta.
If GEX Profile is a still photo, GEX Orderflow is where the photo is changing right now.
How to read it
| Bar | Literal meaning |
|---|---|
| Positive (up) | Call gamma stacking → a call wall above is thickening |
| Negative (down) | Put gamma stacking → a put wall below is thickening |
Veteran mantra
A growing wall doesn't push price toward it. A wall is a reverse-risk marker.
- Call wall growing → more dealer hedging pressure overhead → signals local top is near
- Put wall growing → more dealer absorption underneath → signals local bottom is near
- One exception: when a wall is forcefully breached → released hedge gap → explosive directional move (squeeze / cascade)
Big GEX bar = high-conviction money placing a bet = a pivot is incoming.
GEX Orderflow specifically captures high-gamma trades — these are higher risk, higher payoff. The traders behind them almost always have a strong directional view.
Where in HermesGEX
| Component | Field |
|---|---|
| OrderflowPanel | Flow/s GEX, Exposure GEX |
| Levels Reading Board | Watch which strike row is thickening |
| Insight Rail | Gamma Flip / Confluence Heat cards as cross-confirm |
Example
NQ_NDX spot at 21850, 13:20 prints a big positive GEX bar. Check Levels Reading Board: the 22000 call wall steps from ★ to ★★ — the market is physically building a ceiling at 22000.
Tactical takeaway:
- Don't fade short of 22000 (the wall hasn't fully stacked yet).
- When price touches 22000, read the reaction: repeated tests that fail to push down → fakeout brewing, prepare for upside breakout. Instant rejection → real top confirmed.
Lens 3: Convexity Orderflow (volatility)
What it is
For each order: was vol being bought or sold? I.e. did this trader pay implied vol, or collect it?
How to read it
| Bar | Literal meaning |
|---|---|
| Positive (up) | Options being bought → market expecting MORE vol |
| Negative (down) | Options being sold → market expecting LESS vol |
Veteran mantra
Sustained negative bars = a grinding day. Sustained positive bars = a burst day.
- First 30 min, CVR Orderflow is all negative → vol sellers dominate → expect a slow grind → don't pay premium for directional plays.
- First 30 min, CVR Orderflow is all positive → vol buyers dominate → expect a volatile directional day → directional options have a fair risk/reward.
Advanced: read IV / RV imbalance live via convexity spikes
No heavy volatility math needed — Convexity Orderflow plots the "implied-vs-realized (IV/RV) imbalance" directly:
- Calm trend (IV ≈ RV): dense negative bars below (selling vol / providing liquidity) → the trend is continuing healthily
- Imbalance trigger (IV suddenly diverges from RV): a huge positive bar erupts (big money force-buys vol) → vol sellers panic-cover → this is the fuel for a reversal
Confirm direction with the GEX Orderflow yellow bar (mnemonic):
- Positive-convexity spike (reversal trigger) + yellow bar down (downside got expensive) → can't fall further → go long
- Positive-convexity spike (reversal trigger) + yellow bar up (upside got expensive) → can't rise further → go short
Note: on event days a positive-convexity spike is usually protective hedging, not a reversal — see Event-Day Playbook.
Where in HermesGEX
| Component | Field |
|---|---|
| OrderflowPanel | Flow/s CVR, Exposure CVR |
| TacticalHUD | Vol regime subpanel |
Power tool: DEX × Convexity 4-quadrant identification
DEX alone or CVR alone is only one face. Watching them together lets you reverse-engineer what kind of trade just happened — without ever opening the order book.
| DEX | Convexity | Inferred trade type | Meaning |
|---|---|---|---|
| + | + | Long Call | Direct directional bet with real money; most expensive bullish expression; highest conviction tier |
| + | − | Short Put | Bullish but unwilling to pay; "wins if it doesn't fall"; mild bullish |
| − | + | Long Put | Direct downside bet or hedge with real money; high conviction |
| − | − | Short Call | Bearish but collecting premium; "wins if it doesn't rise"; mild bearish |
Example
HuntingFlow at 09:42 shows: DEX +1200k AND CVR +320 → infer: Long Call → that's somebody paying real premium to bet on a big upside move → if a price impulse follows, magnitude tends to far exceed a Short Put-driven move of equivalent DEX.
Flip it: DEX +1200k but CVR −180 → infer: Short Put → still bullish flow, but soft expression — don't expect explosive upside.
This single technique is the highest leverage tool in the orderflow toolbox. Remember it and you've earned your subscription back.
Net metric 1: Net GEX
What it is
The entire GEX Profile (all-strike call/put GEX) compressed into one number:
Net GEX = Σ(call GEX) − Σ(put GEX)How to read it
| Net GEX | Whole-book regime |
|---|---|
| High positive | Long Gamma → mean-reverting / range-bound universe |
| Near zero | Critical / Gamma Flip zone → unstable |
| High negative | Short Gamma → trending / expansive universe |
Four scenarios — Profile shape × Net GEX
| Net GEX | Profile shape | Reading |
|---|---|---|
| High +, distributed | Multiple call walls overhead | Overhead resistance diluted → easy upside melt (squeeze) |
| High +, single peak | One dominant call wall | A nail overhead → rally hits it and reverts |
| High −, distributed | Multiple put walls below | Floor diluted → easy cascade lower |
| High −, single peak | One dominant put wall | A basket below → drop hits it and bounces |
Where in HermesGEX
| Component | Field |
|---|---|
| Header NET chip | Net GEX live value |
| Gamma Chart main view | Profile shape — distributed vs single-peak |
| TacticalHUD | NET timeseries + Gamma Flip alerts |
Net metric 2: Net Convexity
What it is
The whole book's bought vol minus sold vol:
Net Convexity = Σ(customer long GEX) − Σ(customer short GEX)It measures whether the market is hoarding options or distributing them.
How to read it
| Net Convexity | Meaning | Implied signal |
|---|---|---|
| Extremely + | Customers scrambling for options | Fear / event anticipation — alert |
| High +, price flat | Insurance buying with nothing visible happening | "Someone knows something" — raise guard |
| Mildly − | Calm vol selling | Actually constructive (vol↓ price↑) |
| Extremely − | Aggressive vol selling environment | One black swan can blow up the book |
The inverse-correlation insight
Price and implied vol move opposite by nature: price drops → fear → vol up; price rises → calm → vol down. Therefore:
- Mildly negative Net Convexity = casual vol selling = implied vol drifts down = slow-bull baseline
- Extremely positive Net Convexity = scramble for vol = implied vol spiking = price likely about to fall or already falling
Internalize this and you can use Net Convexity as a fear thermometer.
The combined matrix: Net GEX × Net Convexity
Either total alone has blind spots. Together they spell out 4 archetypal day scripts:
| Net GEX | Net CVR | Full picture |
|---|---|---|
| High + | High + | Calls concentrated AND being bought → bullish stampede / squeeze fuel |
| High + | High − | Calls concentrated AND being sold → sellers building a ceiling, vol suppressed → local top near |
| High − | High + | Puts concentrated AND being bought → real fear + accelerating downside risk |
| High − | High − | Puts concentrated AND being sold → sellers fading the dip → downtrend may stall |
Tactical: Net GEX tells you which side the gear is on. Net Convexity tells you whether the gear is being pushed or pulled. Same direction = strongest signal.
Cumulative ruler: AggDEX (Aggregate DEX)
What it is
DEX Orderflow shows you a single moment. AggDEX is the running sum from open to now. A whole-day scoreboard.
Crucially it's usually split into Call AggDEX and Put AggDEX as separate curves — much more informative than the combined value.
How to read it
| Call AggDEX | Put AggDEX | Meaning |
|---|---|---|
| − | + | Calls net sold + puts net bought → broadly hedging / shorting vol |
| + | − | Calls net bought + puts net sold → broadly long vol + directly bullish |
| + | + | Both call and put net bought → big event expected, direction undecided |
| − | − | Both net sold → bilateral vol selling → expect a dull day |
Different instruments have different "default normal"
| Instrument | Low-vol baseline (VIX under 20) | Deviation meaning |
|---|---|---|
| ES_SPX | put AggDEX slightly + (put selling) + call AggDEX slightly − (call selling), mildly negative overall | Baseline is "hedging / vol selling dominates." Deviation = directional money entered. |
| NQ_NDX | More directional than ES_SPX, baseline closer to zero | Significant + or − is itself the signal. |
| Single stock | Closer to "naked directional," strong AggDEX-price correlation | Price ↑ + AggDEX ↓ is the prime fade signal. |
Veteran mantra
Read AggDEX for divergence, not absolute value.
- Price prints new high + AggDEX rolling over → rally has no backing, prep to fade
- Price prints new low + AggDEX turning up → sell pressure weakening, prep for reversal
- Price and AggDEX same direction → positioning backs the move, trend healthy
Where in HermesGEX
| Component | Field |
|---|---|
| OrderflowPanel | DEX / Agg (live cumulative net DEX) |
| Gamma Chart subpanel | AggDEX cumulative curve |
Mechanical filter: Max Change GEX × Net GEX "traffic light"
The indicators above help you find signals; this filter helps you veto bad trades. It tracks the dynamic change of GEX flow over the past 1 / 5 / 10 / 15 / 30 minutes (Max Change GEX) alongside the sign of Net GEX, giving you a mechanical traffic light — a cure for "catching knives against the trend."
| Light | Meaning | Discipline |
|---|---|---|
| All red + Net GEX negative | 1–30m Gamma change all red, shorts fully dominant | Absolutely no longs; the only exception is price already slammed into the max negative Gamma extreme |
| All green + Net GEX positive | All green, strong bullish momentum | Absolutely no shorts unless price already hit the max positive Gamma ceiling |
| Red→green / green→red flip | Color reversal at the extreme | The side that built the position is closing for profit → reversal confirmation |
Underlying logic: all timeframes the same color means institutional money isn't a one-off pulse but a wave after wave of one-sided pouring. Due to Gamma's acceleration effect, dealers are forced to sell more as it drops / buy more as it rises — you'd be fighting billions in mechanical hedge flow. Don't trade against it until it hits the extreme wall and starts flipping color.
This is a veto, not an entry.
"All red" only tells you "no longs now" — it does not tell you "go short now." Its sole purpose is to filter out counter-trend bad trades; a full entry still needs the extreme level + price-volume confirmation.
Daily SOP — using all six together
Pre-market → Open → Mid-day → ClosePre-market (last 30 min before open)
| Watch | Indicator | Decides |
|---|---|---|
| Today's regime | Net GEX | Range day vs trending day |
| Today's mood | Net Convexity | Calm vol-selling day vs panicky vol-buying day |
First 30 min of session
| Watch | Indicator | Decides |
|---|---|---|
| Who's establishing | First big DEX Orderflow bars | Dominant directional intent |
| Day's rhythm | Convexity Orderflow continuity | Grind day vs burst day |
Mid-day
| Watch | Indicator | Decides |
|---|---|---|
| Real type of each big print | DEX × Convexity quadrant | Reverse-engineer big bars in real time |
| High-conviction pivots | Big GEX Orderflow bars | Flag potential pivot zones |
| Intent vs price | AggDEX vs price | Catch divergence early |
Final hour
| Watch | Indicator | Decides |
|---|---|---|
| Is the day's script holding | Net GEX Profile shape | Distributed = squeeze/cascade still in play; single-peak = revert target locked |
| Should you fade late momentum | AggDEX vs price divergence strength | Strong end-of-day divergence = high-quality fade |
Knowledge ↔ HermesGEX component map
| Concept | HermesGEX component / field | Use |
|---|---|---|
| DEX Orderflow (per-order direction) | OrderflowPanel Flow/s DEX | Big bars flag conviction; price reaction confirms direction |
| GEX Orderflow (per-order gamma) | OrderflowPanel Flow/s GEX + Levels Reading Board | Locate the strike that's thickening |
| Convexity Orderflow (per-order vol) | OrderflowPanel Flow/s CVR | Continuity determines grind vs burst day |
| DEX × CVR 4-quadrant ID | Cross-reference three Flow/s fields | Reverse-engineer trade type from a single big print |
| Net GEX (regime total) | Header NET chip + Gamma Chart | Set today's regime |
| Net Convexity (fear temp) | OrderflowPanel Exposure CVR | Set today's mood |
| Net GEX × Net CVR matrix | NET chip + Exposure CVR fields | Assemble the full daily script |
| Call/Put AggDEX (cumulative) | OrderflowPanel DEX / Agg + subpanel curve | Hunt for divergence |
| Gamma 0DTE breakdown | OrderflowPanel Long Γ / Short Γ | Dealer net positioning |
| One-DTE cross-check | OrderflowPanel 1DTE block | Sanity check on 0DTE-driven decisions |
Common misuse / warnings
1. Treating a positive DEX bar as a direct buy signal.
A positive DEX bar might be conviction longs OR forced shorts covering. DEX alone = coin flip. Confirm with price reaction or same-direction Convexity before acting.
2. Chasing long when a Call Wall thickens.
Opposite. A thickening Call Wall = sellers building a ceiling = signals local top. Walls are reverse-risk markers, not accelerants.
3. Reading AggDEX by absolute value.
AggDEX's absolute level means different things across instruments and vol regimes. Only read divergence, never the number.
4. Going short on extreme positive Net Convexity.
Extreme positive Net Convexity does warn of incoming fear, but the biggest risk of fading on a vol spike is that vol peaks before price drops. It tells you "raise guard," not "short now."
5. Using Orderflow without the Profile.
Orderflow is foot traffic. Profile is terrain. Watching only foot traffic = guessing destinations by watching pedestrians. Always anchor with GEX Profile first, then read entries/exits via Orderflow.
Progress check
After this chapter, you should be able to:
- Glance at OrderflowPanel's top row and within 60 seconds call out today's regime / mood / whether conviction money has shown up
- See a big DEX bar and instantly classify it via DEX × CVR into one of the 4 trade types
- Monitor AggDEX vs price for divergence and catch fade setups early
- Assemble Net GEX × Net Convexity into one of 4 archetypal day scripts
Risk disclaimer
Orderflow is a microscope, not a crystal ball.
- All "trade type inferences" are probabilistic, not deterministic identifications
- A big print might be a hedge leg with no directional intent
- Systemic events (CPI / FOMC / geopolitical) can temporarily nullify all orderflow signals
Use it to track money flow. Don't use it as your trigger.
Frequently asked questions
What is the difference between the GEX profile and orderflow?
The GEX profile is the terrain — a static map of where dealer gamma concentrates. Orderflow is the foot traffic — it shows who is acting on that map right now, in which direction, and how heavily, through per-order DEX, GEX, and convexity bars.
What does DEX orderflow show?
DEX orderflow translates each option order into share-equivalent size, so option flow reads in stock language. Positive bars are net bullish flow (like buying X shares); negative bars are net bearish flow (like selling X shares).
What is AggDEX?
AggDEX is the cumulative DEX line from the open, split into call and put components. It traces the day's directional intent — the running integral of order flow rather than any single trade.