The 0DTE Pinning Score: How We Measure a Pin Before It Happens
Pinning is real on some days and absent on others. A score is only useful if you can see why it is high and check afterwards whether it was right. Here is the recipe.
The short version
The pinning score is a 0-100 heuristic for the same-day expiry. It rises when a large share of the gamma sits within half a percent of spot, when the biggest strike and max pain are close to spot, when the session is far advanced, when the book is long gamma, and it is cut sharply on days with a major scheduled release. Every component is displayed next to the score, and the score is logged so we can check it against what price actually did.
The five components
- Gamma concentration: the share of absolute gamma exposure at strikes within ±0.5 % of spot, on the expiry being scored. Thirty-five percent or more scores full marks.
- Peak proximity: distance from spot to the strike with the largest net gamma. Zero distance scores 1; one percent away scores 0.
- Max-pain proximity: distance from spot to the strike that minimises option holders' payout. Same scale.
- Time: on the expiry day the component rises as the session advances, because the gamma of at-the-money options grows into the close. One day out scores half; further out, a quarter.
- Regime: a long-gamma book scores full; a short-gamma book scores a third, because dealers then amplify rather than dampen.
The weighted sum is multiplied by an event factor: 1 on a quiet day, 0.7 when a medium release is scheduled, 0.3 on a day with a high-importance release such as CPI, payrolls or an FOMC decision. Pins do not survive a data surprise, and the calendar is the cheapest information we have.
How the inputs are built
The chain comes from public delayed quotes, priced with our own volatility surface; the calendar comes from the Federal Reserve and the Bureau of Economic Analysis schedules, with the labour releases placed by their usual rule and flagged as estimated. Nothing in the score uses proprietary flow data, so it can be recomputed by anyone with the same public inputs.
What we will check
A score that cannot be wrong is decoration. We store each day's score and magnet strike and will report, on the level statistics page, how often the close landed within one strike of the magnet when the score was above 70, between 45 and 70, and below 45. If the three buckets do not separate, the score will be changed or removed. The same discipline applies to every level we publish: hold rates first, then trades, then the honest verdict.
How to use it today
Treat it as a description of the afternoon's gravity. A high score with a magnet two points above spot is not a reason to buy; it is a reason to expect that a break of the call wall into the close is less likely than usual, and to size accordingly. A low score on an FOMC day says the opposite: do not lean on any strike. The score is on the terminal, on /structure and in every levels response, next to the hedging flow it is built from.
Educational content. Nothing here is a signal, investment advice or a prediction. Every number is a description of option-market structure or of public official data at a point in time.