Market Positioning Charting
Our Market Positioning charts show you the net position of other traders on a delta, gamma, theta, and vega basis. This information is crucial for determining what other traders are doing and can be used to your advantage. Large positions can have a momentum to them as dealers on the other side need to continually re-hedge the risk as markets move. For example, if investors build a sizable short put position, dealers that are long the puts will need to buy more and more stock to delta hedge if markets decline. As a result, this kind of market dynamic can create a volatility dampening effect in the short-run and is important information for an options trader to have and incorporate into their strategies.
Outstanding Delta Notional
This chart shows the net delta position of options traders on a particular underlier. Delta-adjusted notional is calculated as the delta of the option times the underlying's price times the open interest of contracts times the number of shares represented by a single options contract.
This chart shows how the net delta position of options traders will change for a $1 movement in the underlying's price. For example, a large positive gamma would indicate that dealers on the other side of those positions will need to sell a large amount of shares as the stock price rises and buy them back as the stock price falls. This volatility dampening effect can have a big impact on how the stock moves if the gamma position is extremely large relative to historical levels.
This chart shows the total premium that options buyers are paying on a daily basis to hold their positions. Unusually large spikes in this value can indicate a rush to purchase protection and can signal oversold levels. For example, in the chart below for the S&P 500 ETF (SPY), outstanding theta spiked significantly just before the market reached a local bottom.
This chart shows the net vega position of options traders which represents the P&L they will realize if the implied volatility of the underlier moves up 1%.