For equities we assume all calls & puts are bought (dealers are short), and this places dealers in a negative gamma situation. Our goal here is to identify equities with large options positions and/or when these are set to expire. This may produce a change in dealer hedging activity and/or identify key support/resistance areas.
NOTE: This data is provided for informational purposes only.
- Total Calls: sum of all call interest
- Total Puts: sum of all put interest
- Call Gamma: sum of all call gamma
- Put Gamma: sum of all put gamma
- Net Gamma: call gamma + put gamma
- Call Delta: sum of call delta
- Put Delta: sum of put delta
- Net Delta: call delta + put delta
- Hedge Wall – strike where model detects a largest change in gamma. Can mark pivot/pin area.
- Lower Hedge Band – Where downside gamma reduces (stock may lose downside volatility)
- Upper Hedge Band – Where upside gamma flattens (stock may lose upside volatility)
- Key Gamma Strike – “Pivot” strike where volatility may increase/decrease
- Key Delta Strike – Lots of large hedging flow may be linked to this strike, particularly as it goes in the money.
- Top Call OI – which strike has the most call open interest
- Top Put OI – which strike has the most put open interest
- Gamma in Next Expiration – pct of total gamma expiring in next exp
- Delta in Next Expiration – pct of total delta expiring in next exp
- Highest Gamma Expiration Date – exp. date with most gamma concentration
- Highest Delta Expiration Date – exp. date with most delta concentration