Greek Flow
The vanna, charm or gamma exposure of option hedgers, one bar per strike for one symbol and expiry, with the share trades it implies.
What it answers
Option dealers hedge the options they sell with shares, to keep their book delta neutral. Greek Flow shows that hedging strike by strike, for one symbol and one expiry:
- Gamma exposure (GEX): the shares hedgers trade as the stock moves.
- Vanna exposure: the change in their hedge when implied volatility moves.
- Charm exposure: the change in their hedge as time passes.
How to read it
- 1The Metric chips in the header select Vanna, Charm or Gamma. The widget menu contains Day, Tenor and Layers.
- 2Each bar is the exposure at one strike. Spot marks one strike. FWD marks a second strike when the symbol has a forward curve. A diamond labelled Peak marks the largest bar in size.
- 3The footer shows Net, Peak, Call OI and Put OI, followed by the share counts when the day's data includes them.
Assumed position
The calculation treats every open contract, call or put, as bought by a
customer. The hedger, a dealer or market maker, is on the other side of
every contract, so it is short every option. Each bar is the hedger's own
greek: minus the option's greek times the open interest, with calls and
puts added together. The footer shows the label assumes customers long OI beside the share counts.
Real positioning differs. Where customers have sold options (covered calls, for example), the hedger is long those contracts. At those strikes, the true sign is the opposite of the bar's sign. The bars show the hedge under this one assumption only.
Under this assumption:
- Gamma bars are never positive. A short-gamma hedger adds shares as the stock rises and sells them as it falls. This trading extends price moves.
- Vanna bars are positive at strikes below about the forward and negative above it. Positive vanna means hedgers sell shares as implied volatility rises.
- Positive charm means hedgers sell shares as time passes. Negative charm means they add shares.
Bars and axis
The vertical axis abbreviates thousands and millions (+823.1K, -1.2M).
Exposure is per contract: the greek times the number of open contracts,
without the 100-share contract size. Charm is the change in delta over one
year.
The colour of a bar shows its sign and its size: one colour for positive and another for negative, each in three shades. Under Today, a bar of 10,000 or more in size takes the strongest shade. A bar of 5,000 to 10,000 takes the middle shade, and a bar under 5,000 the lightest. Under Yesterday, all three metrics use one muted scheme with steps at 5,000 and 2,000.
Spot marks the strike nearest the stock price. FWD marks the strike
nearest the forward price: the put-call parity
forward at the forward-curve expiry nearest this one. When the symbol has
no forward curve, the chart draws no FWD line. Under Yesterday, the chart
never draws a FWD line. When the two strikes are the same or adjacent,
one label shows SPOT / FWD.
Greek Flow opens on about 80 strikes centred on Spot. Drag the slider below the bars, or scroll on the bars, to display the other strikes.
Tooltip
Hover a bar to display its strike as a multiple of the stock price, its
delta and its exposure. The tooltip also shows call and put open interest,
implied volatility and volume. A Δ1d line shows the change in exposure
since the previous trading day. The Δ1d line appears only for the expiry
nearest 30 days, the only expiry with a computed day-over-day change.
Footer
- Net: the sum of the exposure at every strike of the expiry, including strikes outside the view.
- Peak: the strike with the largest exposure in size, and its distance
from the stock price (
1.03xis 3% above). - Call OI and Put OI: the Open interest (OI), the total open contracts.
The share counts convert the expiry's exposure into the hedge trade for one move, in shares:
- Gamma hedging flow: shares per
one-standard-deviation daily move in the stock (
sh/1sd). The daily move is the at-the-money implied volatility divided by the square root of 252. - Vanna hedging flow: shares per one point rise
in implied volatility (
sh/vol pt). - Charm hedging flow: shares per day that passes
(
sh/day).
A positive count means the hedger adds shares as the stock, the volatility or the day count rises. A negative count means the hedger sells. When the data has no share counts, the footer shows no count instead of a zero.
The data updates once a day before the open, so Today is the previous trading day's chain.
Controls
The Metric chips are in the header. Every other control is in the widget menu.
- Metric selects Vanna, Charm or Gamma.
- Day selects Today or Yesterday.
- Yesterday draws the prior trading day for the reference expiry only. The reference expiry is the listed expiry nearest 30 days.
- Under Yesterday, any other Tenor shows a notice in place of bars, such
as
Yesterday available for 29d only.
- Tenor selects 7, 14, 21, 30, 45, 60 or 90 days.
- Greek Flow draws the expiry nearest the selected number of days.
- Layers turns on Anom, OI, or both. Both are off by default.
- Anom outlines a bar when its strike is near a volatility surface outlier.
- An outlier is a point more than 2 standard deviations from normal.
- The tooltip shows the Quote anomaly z-score.
- The footer counts the outlined strikes.
- OI draws call open interest up and put open interest down.
- The OI bars are faint and behind the exposure bars.
Use the header search to select the symbol.
| Control | What it does |
|---|---|
| metric | Metric, which exposure the bars draw |
| day | Day, today's chain or the previous day's |
| tenor | Tenor, which expiry the bars draw |
| layers | Layers, the Anom and OI overlays |
Use it with
- Greek Stats Panel uses the Greek Flow Tenor and lists the expiry's totals as numbers.