A plain-language definition first, followed by the scientific boundary that prevents misuse.
It aggregates gamma weighted by contracts, multiplier and price inputs across the chain. Positive or negative sign describes a modeled regime, not an actual dealer book. Read it with OI timestamp, volatility and sensitivity range.
It frames theoretical hedge demand as price moves. It is not proof of executed hedges and changes with price, time, volatility and position assumptions.
HEDVARA presents a range rather than a magic level because it moves with chain updates and assumptions. Sensitivity may rise nearby, but a volatility event or reversal is never guaranteed.
It combines Dollar-Delta and Dollar-Vega imbalance with sweep behavior, permanent impact, cancellations and liquidity resilience. It cannot identify an institution or prove intent and requires walk-forward calibration.
Fair Basis Residual is observed basis minus modeled fair basis. A wider residual may indicate temporary pressure or dislocation, but depends on quote quality, synchronization and dividend estimates.
IV is not a certain forecast. It should be read across maturity, skew and term structure, not as an isolated number.
Gamma and theta can accelerate into expiry while liquidity changes quickly. Timing, source health and risk discipline matter more than any single level.
