γ
TWGEX
Taiwan market structure · fear & greed watch

Indicator definitions & methodology

What each indicator measures and how it is computed. All figures are a compilation and computation of public market data (TWSE / TAIFEX). Not investment advice.

Smart-money positioning
The combined net position (spot + futures) of foreign investors and dealers, ranked against its own 252-trading-day history and mapped to 1–10. It can be viewed for foreign, dealer, or both combined. Investment trusts — dominated by ETFs/funds whose flows are driven by retail subscriptions — are counted under retail heat instead.
Retail heat
The average of five 252-day percentile ranks — retail spot absorption, change in margin balance, overall turnover, retail futures direction, and investment-trust net spot buying — mapped to 0–10. Retail futures direction is inferred as the zero-sum inverse of the three institutional groups' net futures; investment-trust net buying reflects ETF/fund subscription flows driven by retail.
Retail direction
Retail's net long/short in mini-TAIEX and micro-TAIEX futures (inferred zero-sum from the three institutional groups' combined position, value-weighted), ranked against its own 252-trading-day history and mapped to 1–10 (1 most short, 10 most long). Mini/micro contracts are retail-dominated and better reflect retail's own direction; the full-size contract (high margin, institution-dominated) is excluded.
Market temperature
The average of smart-money positioning and retail heat — the headline "Total" reading — mapped to 0–10; foreign, dealer and retail can each also be read on their own. Switchable between a daily gauge and a historical trend line.
Fear divergence
The gap between retail heat and smart-money positioning, mapped to 0–100. Above 50 means retail is hotter than smart money; below 50 means smart money is hotter than retail; around 50 means the two are in sync. It describes the relative sentiment gap only, not a price forecast.
GEX · Gamma exposure
The total gamma exposure that option market-makers must hedge to stay position-neutral, expressed as the NT$ amount adjusted per one-point index move (millions). Aggregated strike by strike as Black-Scholes gamma × open interest; implied volatility is solved from settlement prices.
Gamma center (pinning)
The strike band where gamma exposure is most concentrated on a given day.
Foreign futures net position
The net open-interest position of foreign & mainland investors in TAIEX index futures (large contract, with mini and micro converted). Positive = net long, negative = net short. Net-short positions often include hedging and do not necessarily imply a bearish view; the direction of change in the net position is usually more informative than its absolute level. This is a description of market state, not a directional forecast.
Volume profile (3-in-1 horizontal)
Vertical volume is daily turnover over time. The selector at the chart's top-right switches what the horizontal profile shows (default Volume; can be turned off): Volume = the distribution of traded volume across price, whose thickest band is the value area; Margin = the daily change (Δ) in outstanding margin balance accumulated into 500-point price bins — where leverage entered or left by price (green = margin net added in that band, red = net reduced), not the market total; Foreign net = the daily change in foreign net TAIEX-futures position (large + mini + micro, value-weighted, longs − shorts) accumulated per price bin (blue = net added longs, red = net added shorts). All three are Y-aligned with the chart's price axis; bar length is relative magnitude.
Crosshair readout
Hover any day on the index chart to read, in the top-left: date, TAIEX, turnover, margin balance, and foreign net position (positive = net long, negative = net short, in large-contract-equivalent lots).
TWVIX · volatility
The selector at the top-right switches between two volatility measures: Implied VIX (default) = an implied-volatility index computed from option settlement prices using the CBOE/TAIFEX methodology (the market's expectation of the next ~30 days' volatility), calibrated against the official VIX (mean absolute error ≈ 0.3); it is a self-computed estimate, not the official TAIFEX VIX itself, and covers 2024 onward. HV21 = the annualised standard deviation of the index's daily returns over the last 21 trading days (realized volatility — volatility that has already occurred), covering the full period. Both are descriptions of market state, not directional forecasts.

· The sign of dealers' gamma position is currently computed from a common assumption and remains to be verified against Taiwan data; its polarity is indicative only.

· GEX includes only at- and out-of-the-money options more than 2 trading days from expiry; deep in-the-money contracts (call strikes below 99.5% of spot, puts above 100.5%) are excluded to avoid double-counting, and a 12-trading-day gamma tenor floor damps the 1/√T blow-up near settlement.

· In retail heat, the margin-balance change is a supplementary input — an increase may reflect either active buying or margin top-ups.

· Retail futures direction is the zero-sum inverse of the three institutional groups' net futures, a proxy for retail (including other non-institutional positions), not retail's own filed data.

· Investment-trust spot flow is counted as retail (ETF/active-fund subscriptions are retail-driven); investment-trust futures are fund hedging and stay on the institutional side. Smart money covers foreign and dealers only.

· TWVIX offers Implied VIX (self-computed, calibrated to the official VIX, MAE ≈ 0.3) and HV21 (realized); the implied VIX is an estimate, not the official TAIFEX VIX itself.

· GEX history begins in 2024, shorter than the index.

· All content is a compilation and computation of public market data; it contains no analysis or advice on individual securities and is not investment advice. See About.

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