Research · Option Chain Forensics
Forward-looking OI, GEX, DEX and VEX changes before the breakout, reconstructed from retained intraday snapshots for expiration 2026-07-31. Both names gapped after earnings inside this window — the question this report answers is what was visible in the chain on the session before each move.
The retained chain for AMZN and MSFT starts at 2026-07-29. Both tickers have their earliest retained option-chain snapshot on that date, and the historical exposure archive holds nothing for either name in this window. 2026-07-23 -> 07-28 is absent from the retained dataset, not omitted from the analysis. Coverage is three sessions - 07-29, 07-30, 07-31 - with 40+ intraday snapshots each (~12-minute cadence, 09:30-16:00 ET).
Why only three days. Hot-store retention for equity options is three trading sessions. The expected cold-archive backstop did not contain these earlier AMZN/MSFT equity chains, so this public report treats the missing 2026-07-18 -> 07-28 chain history as unavailable. That limitation is part of the evidence, not a cosmetic omission.
Snapshots after 16:00 ET are also excluded. The feed keeps repricing contracts against the after-hours underlying while the 5-minute spot series stops at the close; mixing the two fabricates exposure jumps.
Both releases landed after the close, inside the retained window. The session immediately before each release is labelled T-1 — that is the "before the move" evidence.
One row per session, frozen at the last regular-hours snapshot. Open interest does not change intraday — it reflects positions built during the previous session. Volume and premium are the live flow for the day itself. Highlighted rows are the last session before each release.
OTM Call OI% — call OI at strikes ≥ spot × 1.03, as a share of all call OI. Call premium — rebuilt as Σ (volume increment × price at that snapshot × 100); a VWAP-style approximation, not tape premium. RR5 / RR10 — risk reversal, IV(call at +5% / +10%) − IV(put at −5% / −10%); positive means upside vol is priced richer than downside, an inversion that is rare in single-stock options. The last five columns are outcome measures — what the following session did, and the hedging demand its gap created. They are shown here for calibration and were not knowable at the timestamp of the row.
Select a session. Ladder charts cover spot ± 22%; every series carries a text label as well as a colour.
ATM band is spot ± 2%. OTM_CALL is above spot, OTM_PUT below. Zones are assigned against that day's spot, so a strike changes zone after the gap — that reassignment is itself part of the exposure migration. Values in millions of dollars.
Every section above isolates expiration 2026-07-31. This table aggregates all expirations at each session close, to show whether the pre-gap tilt was concentrated in the weekly or ran through the whole term structure.
Dealer positioning is a convention, not observed inventory: GEX signs calls positive and puts negative in the industry-standard way. Premium is reconstructed from ~12-minute snapshots and cannot separate buyer-initiated from seller-initiated trades. Two events across three sessions cannot support a significance test. For research purposes only — not investment advice, and not an indication of future price direction. This report was prepared from retained read-only research snapshots; no production data was modified.
