9. The Minute-Level Feed: Data That Didn't Exist

9. The Minute-Level Feed: Data That Didn't Exist

At the end of lesson 8 we wrote out a spec in three points: minute-level frequency, known trade sides, a breakdown by participant. Now let's ask: where does data like that come from?

SPX options trade entirely on a single venue, so their market data covers this market with no gaps. Analysts spent years reconstructing the MM book from circumstantial evidence — from data like this it can be computed. The second-pack indicators are built on minute-level SPX options positioning analytics derived from CBOE market data. Data & analytics by OptionsDepth. For the rest of the course we will simply call this the minute feed. This feed is the foundation of every indicator we will discuss through the end of the course.

What's inside a minute

The feed is built simply — and that simplicity is its strength. Every minute, for every strike and every series, it reports the position of each of four participant groups:

Retail — retail clients: individual accounts, those very buyers of lottery tickets and one-day insurance.

Pros — professional clients: active traders and small funds who trade enough not to count as retail. Retail and the pros regularly end up on opposite sides — we will be watching their tug-of-war in the indicators.

Firms — the proprietary books of brokerage houses, and the institutions that route through them.

Brokers — broker-dealers executing client flow.

This is the net position of each cohort at each strike — not a guess about it, but an account of actual trades: this much built up, this much shed, here is the balance.

One caveat about units, right away, because it shapes everything that follows. Positions here are measured not in contract counts but in risk: they arrive in the indicators already converted into delta exposure in ES-equivalent — and that is not a loss but a gain: counts are incomparable across strikes, risk is comparable. We will unpack this unit in detail in the next lesson.

The fifth participant

An attentive reader will notice: market makers are not on the list. They don't need to be — and this is the most beautiful part of the whole construction. Recall lesson 4: the MM stands on the other side of nearly every client trade. If the four client cohorts together bought a thousand contracts at a strike, someone sold that thousand. The MM position is the sum of the client positions with the sign flipped — at every strike, every minute.

Let's pause and appreciate what this means for our story. In lesson 5, all of GEX analytics rested on the assumption "suppose the clients behaved typically" — the very slack we asked you to remember. The minute feed removes the assumption entirely: the MM book is not guessed from habits — it is computed from known trade sides. The very book that "nobody publishes" has become observable. Minute by minute.

From positions to forces: four exposures

From here the pipeline we assembled in the first part of the course kicks in. Know the book, and you know its greeks. Multiply the MM positions by each option's greeks and sum across strikes — and you get four maps of MM forces, minute by minute:

GEX (gamma exposure) — the gamma map familiar from lesson 5: where hedging brakes price, where it accelerates it. Only now it is not a daily estimate but a minute-by-minute fact.

DEX (delta exposure) — the delta map: how much futures equivalent the MM hold against each strike.

VEX (vanna exposure) — the vanna map: how the MM book will react to a shift in volatility. The very vanna introduced by name in lesson 3 — its hour on stage is drawing near.

CEX (charm exposure) — the charm map: what flow the mere passage of time will generate.

GEX and DEX you can read already; we'll take vanna and charm on in earnest in lesson 11 — first let's show the simpler things on charts.

What the feed does not see

In the tradition of this course — an honest paragraph about the limits, before we allow ourselves to admire.

Positions, not the tape. The feed shows the change in positions over a minute, not every trade. A position opened and closed within the same minute vanishes without leaving a trace — so any activity computed from the feed (repositioned in the flow indicators, lesson 10) is a lower bound on the real thing: everything we see certainly happened, but something happened on top of it.

Facts, not intentions. We know that retail bought a thousand puts at a strike. We do not know why: insurance, a bet, or one leg of a complex structure. The data shows positions — interpretation remains the analyst's job.

SPX, not everything under the sun. No such data exists for oil, gold, or single stocks — and not merely because there is nowhere to get it. Depth like this makes sense where the options tail truly wags the dog, and that is the index complex, with its trillions in notional and half its volume in 0DTE. Why a signal from SPX options can legitimately be read on the chart of the ES futures we covered back in lesson 2 — the arbitrage linkage of the complex; we'll say more about the limits of applicability in lesson 15.

---

So here is the full set of inputs in hand: minute-by-minute positions of four client cohorts, the MM book derived from them, and four maps of forces on top. Let's start unpacking these riches with the simplest question any market begins with: who trades, and how much? Even that question — you will see — sounds entirely different with the new data.