Z3 — Momentum Signal
Z3 measures the statistical significance of a 3-bar directional move. When |Z3| ≥ 1.2, price has accelerated beyond random noise.
Positive Z3 = bullish push. Negative Z3 = bearish push. Scale is clamped at ±8.
Δσ — Volatility Change
Δσ = σ at the fire bar minus σ three bars prior. Tells you whether realized vol is expanding or compressing as Z3 fires.
Δσ < 0 = compression — price accelerating while vol shrinks. Higher quality signal.
Δσ > 0 = expansion — vol blowing out with the move. Lower conviction.
Gamma Lift
Lift = γ at the fire bar ÷ γ three bars before. Shows how much options gamma accelerated at the Z3 moment.
Lift > 1 = gamma spiked — options become more convex, P&L accelerates faster per dollar move.
Lift < 1 = gamma compressed at fire.
Score & Duration
Score = |Z3| × |Δσ| when compressing. Zero on expansion. Ranks the quality of each fire — higher is better.
Duration = how many consecutive bars Z3 stayed above 1.2 from this fire. Longer duration = more sustained momentum.
Charts
Volatility Curve — realized σ across the session. Dots mark Z3 fire bars. Hover for full breakdown.
Z3 · Δσ Overlay — Z3 line with ±1.2 threshold bands. Vertical bars show Δσ at each fire. Hover dots or the Z3 line for bar-level data.
Color Guide
● Gold — Z3 fire with compression (Δσ < 0). High quality.
● Gray — Z3 fire with expansion (Δσ > 0). Lower quality.
● Green — gamma lift above 1 / bullish Z3.
● Red — gamma dropped / bearish Z3.
★ Gold rank — top fire by score in the session.