Hermēs DocumentationRe-Mark Levels Across Expiration
Compare near and later expirations without assuming today's walls persist unchanged tomorrow.
A level depends on the contracts included in its calculation. After expiration, the same strike may no longer be prominent.
Use distribution profiles, expiration exposure in institutional data, and term structure. Near/next/aggregate buckets are not interchangeable with individual expiry dates in a heatmap.
Before the close
- Is the concentration mainly near expiry, or also present in later expirations?
- Are you comparing Gamma, Delta, Vanna or OI? Keep rankings separate.
- Do adjacent expirations emphasize different prices?
- Have price and IV changed enough to make an earlier screenshot unrepresentative?
Use only the dates and scopes the panel supports. Aggregate buckets cannot automatically be decomposed into every expiry, and subtracting mismatched views does not measure expiration hedge flow.
Next valid session
Reload current structure and identify retained, weakened and relocated areas. New trades, closing positions, price and IV also change exposure; do not attribute every change to expiration roll-off. Less expiring Gamma does not by itself predict tomorrow's direction.
Exercise
Save matched before/after screenshots. List retained, disappeared and newly visible levels alongside time, scope and spot differences. Leave causal attribution unresolved when the data cannot support it.
Related: OPEX Playbook · 0DTE.
When a Dark-Pool Level Meets a Gamma Wall
Compare dark-pool history and current structure without treating executed trades as resting support.
Multiple Symbols Can Share the Same Evidence
Use the zero-gamma correlation matrix without confusing structural co-movement with return correlation or diversification.