Data Handling

Market Data

Gamma Sonar sources options market data from ThetaData (thetadata.net) under a commercial data license. This data includes:

• Real-time and end-of-day options greeks (gamma, delta, vanna, charm, implied volatility)
• Options open interest data
• Index spot prices for SPX, VIX, RUT, and related indices
• Options trade prints from the consolidated OPRA feed

This data is licensed for use within the Gamma Sonar platform. Users may not redistribute, export, or resell market data obtained through the Service.

Proprietary Calculations

Gamma Sonar performs the following proprietary calculations on raw market data:

• Gamma Exposure (GEX): computed from live options greeks every 60 seconds on major indices and every 5 minutes across all tickers during market hours
• Gamma-Weighted VWAP (GVWAP): volume-weighted average price weighted by gamma exposure
• Flow Pressure Index (FPI): measures directional pressure from options flow
• Structural Stress Score (SSS): regime transition detection engine
• Hedging Velocity: theoretical vs. actual dealer hedge pace

The formulas and methodologies behind these calculations are proprietary trade secrets of Gamma Sonar LLC and are not disclosed to users.

Data Accuracy and Limitations

While we make reasonable efforts to ensure accuracy, users should be aware of the following limitations:

• GEX calculations use options greeks that are model-dependent and may differ from other providers
• Open interest data reflects the prior day close and is updated intraday with estimates
• Data may be delayed or unavailable during market disruptions or data vendor outages
• Historical data is provided for informational purposes and has not been independently audited
• Regime classifications and signals are based on mathematical models and are not predictive of future market conditions

Data Storage

User account data including email, subscription status, and preferences are stored securely via Clerk and our database infrastructure. Market data is processed in real-time and cached temporarily for platform performance. We do not store individual users' trading activity or positions.

Data Deletion

Upon account deletion, your personal account data will be permanently deleted within 30 days. Market data and platform analytics are retained in aggregated, anonymized form.

Contact

For data-related questions, contact us at contact@gammasonar.com.