Traders' net greeks

Also called Net greeks, net delta, net gamma, net vega, buy-side net greeks, net change in delta gamma and vega

What traders bought and sold over a session, as the delta, gamma, and vega they added or took away, in dollars; + means traders bought.

Traders' net greeks add up, for one session, the greeks of the options traders bought minus those they sold:

net contracts = contracts bought − contracts sold
delta $       = Σ delta × 100 × price × net contracts
gamma $ / 1%  = Σ gamma × 100 × price² × 0.01 × net contracts
vega $ / pt   = Σ vega × 100 × net contracts

Each trade's side comes from where it printed against the quote (quote side), so the figures are an estimate. Bought new, sold to close, written, or bought back: bought minus sold covers all four, so opening and closing don't need telling apart.

Reading it

• + delta $: traders added upside exposure (calls bought or puts sold). −: they added downside exposure.
• + gamma $: traders bought options and gained convexity. −: they sold options.
• + vega $: traders bought volatility. −: they sold it.

It's the traders' side. Dealers are on the other side of many of these trades, which is why gamma exposure on the positioning pages carries the opposite sign.

In Theta Vantage

Traders' net greeks (Pro) shows the 50 names with the most option volume each session, with calls and puts apart, the part expiring the next session, and each ticker's sessions under its drift. Spreads and packages and 0DTE contracts are left out.