# Session extremes and option-level mapping

**DL-14 · Dealer Logic · Core**

**Lesson question:** Are nearby lines economically comparable?

Original fictional examples; educational writing, not live market data, orders or production approval.

## By the end

- Explain the mechanism in the lesson question.
- Reproduce the worked comparison and recognize its failure case.

**Prerequisites:** DL-01

A session high and an option strike can be close for several reasons, including coincidence. Before interpreting confluence, check whether the lines use the same instrument and price scale.

Cash-index strikes, ETF prices and futures quotes cannot be overlaid numerically without conversion.

## Understand the mechanism

Futures/cash basis changes the relationship between two linked levels. ETFs have their own scale and distribution effects. Raw numerical proximity can therefore be a data mistake rather than a shared risk location.

After conversion, still observe rejection or acceptance. Two lines derived from the same input are not independent confirmations.

## Walk through the process

Label instrument, session, time and conversion. Distinguish fixed prior extremes from developing current ones. If the dealer estimate is stale, keep that uncertainty visible.

A mapped line remains conditional on the mapping assumptions and does not become guaranteed support.

## Evidence boundary

The arithmetic is original conditional teaching material, not a measurement of current dealer positions. The cited Cboe research is historical product-specific evidence, not a live inventory feed. Model outputs should remain distinguishable from observed market facts.

## A worked example

In a fictional one-for-one price relationship, cash is 100 and the future is 101, giving basis +1. A cash option strike of 102 maps approximately to futures 103 at that snapshot.

If basis changes to +0.40, it maps to 102.40. The graph varies the assumed basis. It illustrates conversion, not a live cross-product trading level.

## Graph: Session extremes and option-level mapping—worked comparison

**Horizontal:** Assumed futures/cash basis (points)  
**Vertical:** Mapped futures reference (points)

Fictional data from the written example. The chart organizes the comparison; its shape is not a forecast.

Complete numerical data are embedded in `scripts/dealer-logic/DL-14.js` and displayed as an accessible table in the HTML lesson.

## What would invalidate the reading?

An unadjusted strike overlay can create false confluence. Treating a developing high as a completed reference adds another inconsistency.

## Check your understanding

### Where does cash strike 102 map under the simple +1 basis assumption?

**Answer:** Futures 103.

**Why:** The one-for-one and fixed-basis assumptions must be stated.

### What is the critical failure to avoid?

**Answer:** An unadjusted strike overlay can create false confluence. Treating a developing high as a completed reference adds another inconsistency.

**Why:** Explain this risk before treating the example as a decision rule. A correct calculation does not guarantee a favorable market outcome. **Critical risk check.**

## Takeaway

Return to the question: Are nearby lines economically comparable? State the observed facts, the assumptions and the failure condition separately.

## References and provenance

The cited references support definitions and conventions. The teaching prose, tickets and numerical scenarios are original; they are not attributed as historical market observations.

- [OIC Greeks](https://www.optionseducation.org/advancedconcepts/understanding-options-greeks)

- [Cboe 0DTE positioning study, May 2025](https://www.cboe.com/insights/posts/0-dt-es-decoded-positioning-trends-and-market-impact)