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0DTE Notional ($B)

What it is

0DTE Notional ($B) — registry key zero_dte_notional_b.

Notional captures dealer-hedging amplification capacity, not market direction. Used for transitions + situational awareness; not in health score.

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

No validated skill horizon is on file for this metric — read it as context / a data carrier, not a validated edge. Stamps are added only when a gated research verdict lands.

Source

Source module: vol_structure
Data source: live_only

Fetched directly from app/sources/vol_structure.py; see source code for the upstream API call and any provider-specific handling.

How it’s computed

0DTE notional dollar volume in $B: (call_vol + put_vol) × 100 × SPY_spot / 1e9. Contract multiplier 100; spot from brokerage data session underlying.last. See app/sources/vol_structure.py:195.

Where it surfaces

• API field: zero_dte.notional_b on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: intraday_signals row (per-cycle snapshot)
• Surface: /signals/history time series
• Surface: /signals/sparklines (UI sparklines)
• Surface: change markers in the rendered report
• Sparkline aliases: zero_dte_notional

Bands / thresholds

Classifier direction: higher_is_better.

Health-score / alignment role

Display-only — has bands for surface labeling but does not contribute to the health score (scoring is handled by a companion metric).

Release cadence

• Publishes: intraday

See also

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