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Traders' net greeks
After each close, the delta, gamma, and vega traders bought and sold in the 50 names with the most option volume, in dollars, with calls and puts apart and each name's sessions over a month to a year.
Traders' net greeks
What it shows
One row per name, in volume order: the net delta in dollars, gamma in dollars per 1% move, and vega in dollars per vol point. + means traders bought on net, − that they sold, and the shading grows with the figure, so the largest stand out. Calls and puts are a toggle away. The top 50's totals sit on one line over the table.
Each figure's part from contracts expiring the next session, which often carries most of a session's gamma.
How it's estimated
Each single-leg trade is bought or sold by where it printed against the quote, and its greeks are the contract's at the close. Spreads and packages and contracts expiring that day are left out, and the table says how much of the volume each was.
A ticker over time
Under each ticker's net premium drift, its sessions over 1M, 3M, 6M, or 1Y: a bar a session for delta, gamma, or vega, and the range's sums.
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Learn more
In the docs: Traders' net greeks.