This is a working glossary of the terms used across order flow, volume profile, auction market theory and options positioning. Definitions are written the way I would explain them to someone sitting next to me, not the way a textbook would phrase them.
Terms are grouped by area rather than alphabetically, because most of them only make sense next to their neighbours.
Auction market theory
Auction market theory
The idea that a market is a two sided auction moving in search of a price where business gets done. Price rises to find sellers and falls to find buyers. Full article.
Balance
A state where buyers and sellers broadly agree on price, so trade concentrates and price rotates inside a range. Produces a fat, symmetrical profile.
Imbalance
A state where one side has stepped back, so price travels directionally to find them. Produces a thin, elongated profile. Also used at the level of a single footprint cell to mean one side heavily outweighing the other.
Transition
The handover between balance and imbalance. The highest opportunity and highest risk part of a session, because it is only confirmed after it has begun.
Initiative activity
Buying above value or selling below it. Someone transacting despite an unfavourable price, which implies a motivation unrelated to the current price.
Responsive activity
Buying below value or selling above it. The ordinary behaviour of transacting when price looks attractive.
Acceptance
Price trading outside a previous area and building real volume there, rather than returning. Distinct from a touch, which is a brief excursion that reverses.
Rotation
Price moving back and forth between the edges of a range, characteristic of balance.
Volume profile
Volume profile
A histogram showing how much volume traded at each price rather than in each time period. Full article.
Market Profile
An earlier method organising the session by time at price rather than volume at price, developed by J. Peter Steidlmayer and introduced through the CBOT in 1985.
TPO
Time price opportunity. One unit of a Market Profile, representing that the market traded at a price during a given half hour bracket. Counts the visit, not the size.
POC, point of control
The price with the highest traded volume in a period. The market's own reference for fair value, and a magnet in balanced conditions.
Value area
The price band containing roughly 70 percent of volume, built outward from the POC. Inside it price is accepted, outside it price is being questioned.
VAH and VAL
Value area high and value area low. The upper and lower edges of the value area, and the two most watched levels on a profile. Full article.
HVN, high volume node
A price where an unusually large amount traded, showing as a bulge. Price tends to slow and rotate there.
LVN, low volume node
A thin area where little traded. Price tends to move through quickly, which makes these better targets than entries. Full article.
Composite profile
A profile built across many sessions rather than one. Produces the levels that hold most reliably.
Naked POC
A previous session's point of control that price has not returned to since. Often acts as a magnet on later sessions.
Order flow
Order flow
Reading the actual executed and resting orders rather than indicators derived from past price. Full article.
Footprint chart
A chart showing volume traded at the bid and the ask at every price inside each candle. Called a cluster chart in ATAS. Full article.
Delta
Volume traded at the ask minus volume traded at the bid. Measures which side was the aggressor, meaning which side crossed the spread rather than waiting.
Cumulative delta
A running total of delta across a session, showing net aggression over time. Full article.
Delta divergence
Price making a new extreme while cumulative delta does not confirm it. Indicates the move and the aggression behind it disagree.
Absorption
Heavy aggressive volume trading at a price while price refuses to move, meaning a large passive participant is filling the other side. Full article.
Exhaustion
A volume spike at an extreme with no follow through, indicating the aggressive side has run out of participants.
Stacked imbalance
Several consecutive prices all imbalanced the same way, indicating sustained aggression rather than a single moment of it.
Aggressor
The side that crossed the spread to transact. Buying at the ask or selling at the bid. The opposite is the passive side, resting a limit order and waiting.
Time and sales
A running list of every executed trade with price, size and time. The raw feed a footprint chart aggregates.
The order book
DOM, depth of market
The order book, showing resting limit orders at each price. Intentions rather than facts, since they can be cancelled. Full article.
Level 1 and Level 2
Level 1 is trades plus best bid and offer. Level 2 adds order book depth. Footprint and profile need only Level 1.
Spoofing
Placing large orders with no intention of filling them to create a false impression, then cancelling. Illegal in US futures markets and still observable.
Iceberg order
An order displaying only a small portion of its true size, refreshing as it fills. The opposite problem to spoofing: real size the book conceals.
Liquidity heatmap
A rendering of the order book over time rather than as a snapshot, so you can see how long orders have rested and how they behaved as price approached.
Liquidity sweep
Price pushing through an obvious level where stops cluster, triggering them, then reversing. Full article.
Options positioning
Gamma
How much an option's delta changes as the underlying moves. For a dealer it means the hedge keeps going out of date and has to be adjusted continuously.
GEX, gamma exposure
An estimate of how much underlying dealers must buy or sell per point of movement, aggregated across strikes. Full article.
Positive gamma
Dealers net long gamma, hedging against price movement by selling rallies and buying dips. Suppresses volatility and tends to produce balance.
Negative gamma
Dealers net short gamma, hedging with price movement by buying rallies and selling dips. Amplifies volatility and tends to produce trends.
Gamma flip, zero gamma
The price where aggregate dealer gamma crosses from positive to negative, separating the two volatility regimes.
Call wall and put wall
Strikes with the largest call or put gamma concentration, which tend to act as resistance and support respectively while dealers are long gamma there.
0DTE
Options expiring the same day. They concentrate gamma into the current session, which intensifies whichever regime is already in place. Full article.
Pinning
Price being drawn toward a heavy strike into expiry, caused by dealers long gamma hedging against movement in both directions.
Basis
The difference between a futures price and the underlying cash index. Matters here because SPX derived options levels must be adjusted by the basis before being plotted on an ES chart.
Futures and contracts
ES, NQ, CL, GC
E-mini S&P 500, E-mini Nasdaq 100, crude oil and gold futures. The most commonly day traded CME contracts.
MES and MNQ
Micro versions of ES and NQ at one tenth the size, with correspondingly smaller margin requirements.
Tick
The minimum price increment for a contract. On ES it is 0.25 index points.
Roll
Moving a position from an expiring contract month to the next one. Futures expire quarterly, so this is a recurring task.
RTH and ETH
Regular trading hours and extended trading hours. Which one you profile changes your levels, so consistency matters more than the choice.
Non-professional status
A market data classification for individuals trading their own capital who are not registered with a regulator. Costs a fraction of professional rates. Full article.
Comparison terms
Order block
In ICT terminology, the last candle closing against the direction of a strong move, marked on the basis that institutions positioned there. Compared here.
Fair value gap
A three candle pattern where the first and third candles do not overlap, indicating price moved quickly through the range. Compared to low volume nodes.
Supply and demand zone
A price area drawn from candle structure where one side is presumed to have overwhelmed the other, leaving unfilled interest. Full article.
VWAP
Volume weighted average price. Unlike most indicators it incorporates actual volume, and it is widely watched by institutional participants.
Lagging indicator
Any tool calculated from past price, such as RSI or MACD. It can reorganise information already in the price series but cannot add to it. Compared here.
Frequently asked questions
What does POC mean in trading?
Point of control, the price level with the highest traded volume in a given period. It represents where the most business was done and acts as a reference for fair value, attracting price in balanced conditions.
What is delta in order flow?
Volume traded at the ask minus volume traded at the bid. It measures which side was the aggressor, meaning which side crossed the spread rather than waiting. Positive delta means aggressive buyers dominated.
What is absorption?
Heavy aggressive volume trading at a price while price refuses to move, which means a large passive participant is filling the other side with resting orders. Heavy selling that fails to push price down indicates a large buyer absorbing it.
What is the difference between a footprint chart and a cluster chart?
They are the same thing. ATAS uses the term cluster chart, while most other platforms and educational material use footprint chart. Both show volume at the bid and ask at every price inside a candle.
What does 0DTE mean?
Zero days to expiration, meaning options expiring the same day they are traded. They concentrate gamma into the current session, which intensifies whichever volatility regime is already in place rather than adding volatility on its own.
What is basis in futures trading?
The difference between the futures price and the underlying cash index. It matters for options analysis because levels calculated on SPX index options sit at different prices on an ES futures chart, and the basis is the adjustment between them.
What is a naked POC?
A point of control from a previous session that price has not traded back to since it formed. These often act as magnets on later sessions, because the market has unfinished business at a price where heavy volume once traded.