Hermēs DocumentationOptions Trader Playbook
The options trader's four-step loop in Hermēs — pick the regime with IV Rank + VRP, map 8 regimes to structures, build and verify legs in the Strategy Lab, and manage risk with position sizing and Greeks attribution.
How does an options trader make money with Hermēs?
The options trader's profit loop is four steps: pick the regime → choose the structure → build and verify → manage risk. Hermēs uses dealer hedging flow (GEX walls, regime, Vanna/Charm) as the starting point for "where the structure comes from," then turns it into a concrete multi-leg structure with probability of profit — from read to order on one screen. This chapter is about making money with the desk; for a feature-by-feature reference see the Options Desk Guide.
This chapter targets Ultra subscribers (full Options Desk). For foundations, read Options & Market Makers and Volatility & Hedging Flow first.
Step 1 · Pick the regime: sell or buy premium?
Judge whether volatility is cheap or rich before you talk direction. In the Vol Intelligence panel, read two numbers:
| Reading | Meaning | Bias |
|---|---|---|
| IV Rank | where current implied vol sits over the past year | > 70 very high → sell premium; < 30 very low → buy premium |
| VRP (variance risk premium) | ATM IV − realized vol (HV) | positive and high → structural edge for sellers; negative → panic pricing, sell with caution |
Core mantra: IV Rank decides whether you're the buyer or seller; the GEX regime decides which structure; implied probability decides where the strikes go. You need all three.
VRP is positive over the long run — the structural income source for option sellers. But when VRP turns negative (IV below realized vol), the market is underpricing risk in a panic, and naked premium selling gets sharply riskier.
Step 2 · Choose the structure: 8 regimes → structure map
Hermēs classifies the environment into one of 8 dealer regimes, each mapping to a structure class:
| Regime | Description | Suggested structure |
|---|---|---|
| Positive-gamma pinning | dealers long gamma, vol dampened | sell range structures · iron condor |
| Vol overheated | IV at historic highs, mean-reversion pressure | sell premium · condor / vertical spread |
| Bullish flow dominant | strong call flow, dealers forced to buy | bull put spread · keep long Delta |
| Bearish flow dominant | strong put flow, dealers forced to sell | bear call spread · keep short Delta |
| Negative-gamma accel | dealers short gamma, vol amplified | directional breakout · avoid naked selling |
| Vol compression | IV at historic lows, big move latent | long straddle · await catalyst |
| Neutral / wait | mixed signals, no direction | wait or small test position |
Where do the strikes come from? Derived from GEX walls: the Call Wall is the short strike for selling calls, the Put Wall for selling puts, and Zero Gamma is the bull/bear divide. The top-bar ⚡ Strategy Guide maps regime + walls into 2–3 candidate structures in one click, each with a confidence score, suggested strikes and theoretical PoP.
Step 3 · Build and verify: the Strategy Lab's four tabs
Load a candidate into the Strategy Lab and verify layer by layer across four tabs:
Builder
Pick a preset (condor / butterfly / vertical / straddle / strangle / single leg) or add legs by hand. Adjust spread width, strikes, IV, DTE. It computes live: max profit / max loss / breakeven / net debit or credit / theoretical PoP / expected value (EV = PoP × max profit − (1−PoP) × max loss).
Payoff
Expiry P&L curve + T+0 current curve + entry and breakeven verticals. Stress-test with the scenario matrix (Spot × IV): −20% crash / +20% squeeze, IV −50% compress / +50% expand — see how the structure behaves in extremes so it doesn't "look safe static, blow up on a move."
Live P&L
After entry: live mark-to-market P&L, upper/lower breakevens, a stop-trigger line (by max-loss %), live Greeks and their change vs entry, and the P&L curve. Session-level hypothetical tracking; no broker connection.
Greeks attribution
Decompose current P&L into Delta / Gamma / Theta / Vega contributions (first-order), with the Theta burn rate (daily decay, how many days current profit can support). You'll know whether today's P&L came from direction or from time.
Probability verification is the key step: in the Vol Intelligence → Implied Distribution tab, use the Breeden-Litzenberger market-implied distribution to check where your breakevens land — green = probability weight of the profit zone, red = loss zone. If theoretical PoP and market-implied P(profit) diverge by more than 10 points, that gap is information (usually from skew and fat tails).
Step 4 · Manage risk: sizing, Theta, stops
Set the max loss first, then the contract count — not the other way around.
- Position sizer: enter a risk budget ($) and max loss per contract; it returns suggested contracts and required capital. Make "risk per trade ≤ 1–2% of account" a hard constraint.
- Theta-decay calendar: the seller's friend, the buyer's enemy. Seller structures confirm positive Theta (time earns premium); buyer structures must budget "daily burn vs whether the catalyst arrives in time."
- Stop discipline: exit when the Live P&L stop-trigger line hits — don't hold because you're "almost back to breakeven." IV crush and gamma acceleration make losses non-linear.
Seller vs buyer, two full flows
| Stage | Seller (high IV Rank) | Buyer (low IV Rank) |
|---|---|---|
| Regime | IV Rank > 60, positive VRP, positive gamma | IV Rank < 30, vol compression, negative gamma latent |
| Structure | condor / wide strangle / vertical | long straddle / single-leg directional |
| Strikes | short legs outside GEX walls | ATM or slightly ITM, near a catalyst |
| Main gain | positive Theta + IV mean-revert (short Vega) | direction + IV expansion (long Vega) |
| Main risk | wall break, gamma acceleration | Theta burn, catalyst no-show |
| Exit | take 50–70% of premium and close | catalyst realized or stop; don't fight Theta |
The options view of 0DTE and OPEX weeks
- 0DTE: gamma and charm effects sharpen in the hours before the close. Positive-gamma pinning days favor tight condors / butterflies around the magnet strike (Ab1); negative-gamma days avoid naked selling in favor of defined-risk spreads. See 0DTE options.
- OPEX weeks: monthly settlement concentrates dealer positioning at expiry, strengthening pin / release effects. Use the "OPEX week" template to read the per-expiry GEX matrix and pin probability; sellers collect premium at the pin, then watch for the release move as walls expire. See the OPEX Playbook.
FAQ
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Frequently asked questions
What is the options trader's core workflow in Hermēs?
A four-step loop. First, use IV Rank and VRP to decide whether to sell or buy premium. Second, map one of 8 dealer regimes to a concrete structure (condor, spread, straddle). Third, build the legs in the Strategy Lab and verify breakevens with the scenario matrix and the market-implied probability distribution. Fourth, manage risk with the position sizer, Greeks attribution, and the Theta-decay calendar.
What structures should I use when IV Rank is high?
High IV Rank (>70) means option premium sits near a one-year high; historically dealers and option sellers profit from selling that premium, favoring iron condors, wide strangles and vertical spreads. Low IV Rank (<30) means premium is cheap, favoring long straddles or single-leg directional plays that bet on a catalyst-driven expansion.
How does theoretical PoP differ from market-implied probability?
Theoretical PoP (Black-Scholes) assumes a lognormal distribution and constant vol — a fast closed-form approximation that ignores skew and fat tails. Market-implied probability (Breeden-Litzenberger) is derived from the second derivative of option prices across strikes and reflects the market's real pricing of skew, fat tails and event premium. When the two diverge by more than 10 points, the gap itself is information.
Options Desk
Complete guide to the Hermēs Options Desk — Bloomberg-style 23-window workbench for the GEX → Strategy → Implied Probability closed-loop workflow
Equity Options Playbook
Trade single-name and ETF options with Hermēs — find institutional direction with UOA whale flow, read sector and VIX lead with the correlation matrix, locate levels with single-name GEX (distinct from index GEX), and manage IV crush through earnings.