Traders' net greeks
What traders bought and sold each session in the 50 names with the most option volume, as delta, gamma, and vega in dollars: how it's estimated, how to read it, and what isn't counted.
Traders' net greeks (/SPX/net-greeks) answer one question after each close: across the session's busiest option names, what did traders buy and sell? Each figure is the delta, gamma, or vega traders added (bought) or took away (sold) over the session, in dollars, estimated from the side of every trade.
The table
One session's 50 underlyings with the most option volume, every expiration counted, in volume order. Pick an earlier session in the header; two years are kept.
| Column | What it is |
|---|---|
| # | The name's rank by option volume that session |
| Volume | Every contract traded that session |
| Delta $ | The net traders' net delta in dollars |
| Gamma $ per 1% | The net: how much traders' delta changes for a 1% move |
| Vega $ per vol pt | The net: how much traders' positions gain or lose for one point of implied volatility |
+ means traders bought on net, − that they sold. Green cells are bought, red cells sold, and a stronger shade is a larger figure for that column, so the largest stand out and small figures stay plain. Hover a figure for its calls and puts; turn on Calls and puts in the header to see them as columns. Press a column's header to sort by it; press a ticker for its card. On a wide screen the 50 names sit in two halves side by side. The top 50's totals are on the first line over the table.
Read the tickers first. The totals add large opposite figures together (SPX's gamma sold can all but cancel SPY's gamma bought), so a small change in one name can flip the total's sign.
Reading each greek from the traders' side
These are the traders' positions, not dealers'. On the positioning pages, gamma exposure is the dealers' side of the same trades, so the signs run the other way.
- Delta $ (delta × 100 × price × net contracts). +$500M means traders added as much upside exposure as buying $500M of the stock: calls bought, puts sold, or both. Negative is the reverse: calls sold or puts bought.
- Gamma $ per 1% (gamma × 100 × price² × 1% × net contracts). Positive means traders bought options, and their delta grows with a move either way: +$200M per 1% is $200M more delta after a 1% rise. Negative means traders sold options and are short that convexity.
- Vega $ per vol pt (vega × 100 × net contracts). Positive means traders bought volatility: +$10M gains $10M if implied volatility rises one point. Negative means they sold it.
Calls and puts are kept apart (in each figure's tooltip, or as columns with Calls and puts on), so you can see whether delta came from calls bought or puts sold.
What's counted
- Counted: single-leg trades with a side, in contracts expiring after the session, over the whole trade date (the evening and overnight trades in index options included). A cancelled trade takes back the trade it cancels.
- The side: a trade at or above the ask, or above the mid, is bought; at or below the bid, or below the mid, is sold. At the mid exactly, or with no quote, it adds nothing. The line over the table says how much of the counted volume had a side ("94% of single-leg volume sided").
- Left out: trades in spreads and packages (a leg's side isn't reliable on its own), contracts expiring that session (0DTE: they're gone at the close), and floor, cancelled, and out-of-sequence trades. Their shares of the volume are on the same line ("Not counted: 28% spreads and packages, 39% single-leg 0DTE").
- The greeks are each contract's at the close, at the close's price.
Why it's an estimate
The side of a trade isn't reported: it's worked out from where the trade printed against the quote, and a trade between the bid and the ask can be either. Nor can a trade say who made it, so a market maker's trade counts like anyone else's, and whether a trade opened or closed a position doesn't matter (bought − sold is the same either way). The figures show which way the money leaned, not exact positions.
The next session's part
Each figure's tooltip gives its part from contracts expiring the next session: "of which +$8.19B expires Friday" on a Thursday's table, "Monday" on a Friday's. With Calls and puts on it has its own column after each net. It's already in the net, not added to it. One-day contracts carry most of a session's gamma, so this part often explains a large gamma figure, and it can be larger than the whole when later expirations net the other way. The line over the table says how much of the counted volume expires then. The card's tooltip shows it as "Expiring Fri".
A ticker's card
Under each ticker's net premium drift (/SPY/drift), the card shows that ticker session by session over 1M, 3M, 6M, or 1Y: a bar for each session's net delta, gamma, or vega, up for bought and down for sold, and the range's sums over it. A session the ticker wasn't among the day's 50 busiest names is hatched "Not in top 50". For tickers followed live, today's running count of net contracts sits under it; its dollars come after the close.
When each session's table appears
Each session's table comes after its close and fills in through the evening: a session still being prepared says how many of its 50 tickers are in so far. Today's session joins a ticker's card the same way ("Today's session joins after the close").
Traders' net greeks are on Pro.