Regime — the price-only market-state read
Two regime diagnostics that need no dealer-positioning feed — both are derived from S&P 500 price alone. Signal 1 reads the dealer-gamma state from the size of the typical daily move plus how much of that movement actually went anywhere. Signal 2 prices volatility carry with two independent estimators and suppresses any "vol is rich" reading when they disagree, because a premium that only one estimator can see is an artifact of the estimator, not a premium. Both are conditioning variables: they say what state the market is in and how price tends to behave in it. Neither is an entry trigger, and nothing on this page names a side.
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Where we are now
Signal 1 · Gamma regime from realised range
the size of the typical day, against the two ranges Lakha quotes for each dealer-gamma stateRealised range vs the dealer-gamma zones — S&P 500, % per day
rolling median |daily move|— drag to resize —
Regime state map — move size against path efficiency
both dimensions, one picture— drag to resize —
Signal 2 · Volatility carry, dual estimator
implied against realised, measured two independent ways — the disagreement is the filterImplied against realised — three estimators, both horizons (annualised vol points)
÷16 = % move per day— drag to resize —
Estimator spread — range-based realised divided by close-to-close realised
the false-positive filter— drag to resize —
Volatility carry — implied minus realised, priced against both estimators (vol points)
both estimators, both horizons— drag to resize —
All of it at a glance
every metric as its own-history percentile, on one shared colour ramp — the companion to the line charts aboveRegime tape — every metric against its own history, over time
rows × time— drag to resize —