Regime Classifier: Nine-State Structural Model

The Nine Regimes

COMPRESSION — Dealers long gamma, dampening moves. Price near the flip in positive territory. Moves tend to be contained; dips and rallies both meet hedging flow that pushes back.

TRENDING LONG — Positive GEX with dealers buying dips. Structure leans bullish; the cushion is intact but the bias is up.

TRENDING SHORT — Negative GEX with dealers selling rallies. Structure leans bearish; bounces meet supply.

CASCADE RISK — GEX near the flip with forced-unwind risk. Negative gamma plus proximity to the structural inflection — the environment in which moves tend to accelerate.

ESCAPE VELOCITY — Price above the call wall. Structural resistance overhead has been cleared; acceleration is more likely than rejection.

PINNED — Charm and vanna flows pinning toward max pain. Price tends to stall near the dominant strike as expiry approaches.

TRANSITION — The regime is changing and structural stress is elevated. The prior state's expectations no longer hold; the next state isn't confirmed.

NEGATIVE GAMMA — Dealers net short gamma; moves are amplified. Wider intraday ranges are the structural expectation.

VOLATILITY EXPANSION — An IV spike is overwhelming the gamma structure. Levels are less reliable anchors while vol is repricing.

Hysteresis

The classifier uses hysteresis — a delay buffer — to prevent flickering between regimes on minor price oscillations. A regime change must be sustained for multiple compute cycles before the label updates. This means the displayed regime may slightly lag real-time conditions, but it avoids the noise of constant switching.

Important Context