Historical Delta & Gamma Exposure
This feature tracks the aggregate Greeks exposure across all options to understand market maker positioning and potential price impacts.
Delta Exposure Analysis
What It Shows
- Net Delta Exposure: Total delta across all strikes
- Call Delta: Aggregate call delta exposure
- Put Delta: Aggregate put delta exposure
- Delta Imbalance: Difference between call and put delta
Trading Insights
- Positive net delta suggests upward pressure
- Negative net delta indicates downward pressure
- Large imbalances can signal directional moves
Gamma Exposure (GEX) Analysis
Key Metrics
- Total Gamma Exposure: Dollar-denominated gamma across strikes
- Positive Gamma: Market maker long gamma (volatility suppression)
- Negative Gamma: Market maker short gamma (volatility expansion)
- Gamma Flip Point: Strike where gamma changes sign
Market Impact
- High positive gamma: Price stability, mean reversion
- High negative gamma: Increased volatility, trending moves
- Gamma flip points act as pivot levels
Historical Patterns
Time Series Analysis
- 2-year historical gamma and delta trends
- Correlation with price movements
- Identification of extreme positioning
Sparkline Metrics
- Rolling averages and trends
- Statistical rankings (percentile, Z-score)
- Quick visual pattern recognition
Practical Applications
- Volatility Forecasting: Gamma positioning predicts volatility regimes
- Support/Resistance: High gamma strikes act as price magnets
- Trend Analysis: Delta flows indicate directional bias
- Risk Assessment: Extreme positioning signals potential reversals
Note: Greeks exposure data represents aggregate market positioning. Individual trading decisions should consider multiple factors. This is not financial advice.
