US options open interest originates from OPRA (Options Price Reporting Authority), the regulatory-mandated processor that consolidates data from every US options exchange under SEC oversight.
| Quantity | Source | Timing |
|---|---|---|
| Call wall, Put wall, Gamma flip, Net GEX, Signals | Computed by Mellow | Computed from the shown open interest and spot |
| Option Open Interest (OI) | OPRA (Options Price Reporting Authority), the regulatory-mandated processor for US options — OCC (Options Clearing Corporation) settlement | Shown from 09:30 ET of the next session (US options) |
| Option Implied Volatility (IV) | Mellow's market-data provider, IV calculated from option prices by a pricing model; historical IV computed by Mellow from option closing prices using Black-Scholes | Calculated hourly, shown only as direction, percentile and levels, never per-option IV |
| Spot price, Daily bars | Mellow's market-data provider | Delayed (few-minutes) as Mellow intentionally avoids support for intraday (high-frequency) trading to keep data and infrastructure costs low enough to stay affordable for retail traders with mid-long investment horizon |