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Pct to gamma flip

What it is

Pct to gamma flip — registry key pct_to_flip.

Gamma-flip positioning carrier (Phase 2 LITE, 2026-06). Signed distance from spot to the gamma flip — POSITIVE above (long-gamma / calmer), NEGATIVE below (short-gamma / amplification). A more-negative value is the vendor-archive-validated higher-drawdown-risk side (below-flip OOS IC -0.506 vs fwd 20d maxdd) but is captured FORWARD only, NOT yet wired into the drawdown-risk lens — no usable live flip history to reproduce the IC (reconstruction infeasible; see WS_gamma_flip_reconstruction.md). Deterministic positioning carrier — NOT scored, NOT a predictor.

Data-pyramid tier

T1 — Signal. This metric sits at the signal layer of the platform’s six-tier data pyramid (T0 raw inputs → T5 actionable read). The tier reflects how far the value is from a raw measurement — not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

Horizon: 10-20d — the window this metric’s measured skill speaks to. A horizon stamp is an evidence claim, not a trading signal.

Evidence: Continuous flip-depth: vendor-archive below-flip vs forward 20d maxdd OOS IC -0.506 (index lane); R7 F8 short-horizon amplification OOS 2.06x/2.02x at 1d (index lane only). Live series accruing since 2026-06 (W6) - live IC re-test required before lens wiring.

Source

Source module: capture
Data source: computed

Derived metric — produced inside the platform (app/signals/capture.py or equivalent) rather than fetched as a raw upstream value. See the How it's computed section below for the formula.

How it’s computed

pct_to_flip = (spy_close - gamma_flip) / spy_close, where gamma_flip is the live SPY zero-gamma level (spy_zgl). Signed: positive when spot is above the flip, negative below. Computed at capture-time by app/signals/gamma_flip.py:compute_gamma_flip.

Where it surfaces

• API field: positioning.gamma_flip.pct_to_flip on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: /signals/sparklines (UI sparklines)

Health-score / alignment role

Data carrier — no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

• Publishes: intraday

See also

• /kb/api/get-signals-latest — API endpoint that serves this field.