Γ Greeks & flow — one thing at a time
Six buttons: Gamma · Delta · Vanna · Charm · Vega · Flow. Press one and the page reads only that: what it is, what it says today, how it moved beside the price, where it sits by expiry and by strike.
Gamma — because the price moved · Delta — how much stock the book stands for · Vanna — because implied volatility moved · Charm — because a day went by · Vega — how much rides on volatility · Flow — what traded today.
New words? Glossary → Greeks. The top strip works as on every ticker page.
In 30 seconds
- Press Γ Gamma. Read the three plain sentences at the top.
- Look at Today: each card has a bar showing where today sits among this ticker's own last 60 sessions.
- Open Over time to see the line beside the close.
- Press the next button. Repeat.
You can link straight to a button: /viewer/greeks.html?g=vanna.
The six buttons
Γ Gamma — "do dealers calm moves, or stretch them?"
Gamma is how fast the dealers' hedge has to change when the price moves. Added up it is GEX: the dollars of stock dealers must trade for a 1 % move.
| Reading | Meaning |
|---|---|
| above zero — long gamma | Dealers sell into rises and buy dips: moves are dampened, ranges tend to hold. |
| below zero — short gamma | Dealers buy rises and sell falls: moves are stretched, in both directions. |
| γ flip | The price where the sign turns. The close above it is the calm side. |
Lines you can draw: all expiries, 0–14 days, 15–45, 46–180, 181 +, per contract, and "sessions in this regime" (how long the sign has held).
Δ Delta — "how much stock the open options stand for"
Delta is how much an option moves when the stock moves $1. Added up, in dollars, it is DEX.
- Calls add, puts subtract. Above zero = carried by calls; below zero = by puts.
- Delta follows the price by construction — a rally makes every call's delta bigger — so read where it sits against its own history, not its move on the day.
- The δ flip is the price where the book's delta crosses zero.
Lines: whole book, near the money (±5 %), call/put share near the money, tilt. For the full delta study see Delta Tilt.
Va Vanna — "what a change in implied vol makes dealers trade"
Vanna is how the dealers' delta changes when implied volatility changes. In dollars it is VEX.
| Reading | Meaning |
|---|---|
| above zero | Falling implied vol makes dealers buy stock; rising vol makes them sell. |
| below zero | The other way round — falling vol makes them sell. |
It matters most right after an event, when implied vol drops in one step.
Ch Charm — "what the passing days make dealers trade"
Charm is how the dealers' delta changes as time passes, with price and implied vol unchanged. In dollars it is CHEX.
| Reading | Meaning |
|---|---|
| below zero (the usual state) | Delta decays and the passing days make dealers buy stock back. |
| above zero | Time makes them sell. |
It is strongest in the last days before a large expiry.
ν Vega — "what one point of implied vol is worth"
What the whole book gains or loses when implied volatility moves one point, in dollars per vol point.
- It is the size of the position, not a direction — every open contract counts, whoever holds it.
- It grows with open interest and long-dated options, so read it against its own history.
- A high vega going into a report means a lot rides on the vol drop that follows it.
⇄ Flow — "what traded: volume, premium, open interest"
Flow is what traded today — volume, the premium paid, the delta it carried — read beside what is held (open interest). The greeks read the book that is open; flow reads the trading that changes it.
- Premium and delta-weighted volume lean to calls or to puts. The data does not say who started a trade, so it is a lean of the tape, not a side.
- Open interest lags a session: it is published the next morning, so a change follows yesterday's trading.
- Turnover (volume ÷ open interest) says how fast the book is being re-set.
Lines: net / call / put premium, delta-weighted volume, volume, call and put volume, volume against its 20-day average, put/call volume, turnover, open interest and its change, put/call OI, put share of OI.
Today
Cards for the chosen button, each with a bar: where today's number sits among this ticker's own last 60 sessions. In Simple mode you see the headline cards; Detailed adds the rest. A red/amber box above the cards is a data warning — read it first.
Over time
One line beside the close. If the button has several lines (all expiries, 0–14 days, per contract …) they are chips — pick one. Under more ways to draw it:
| Form | Use it for |
|---|---|
| as it is | The real size and sign — dollars, contracts, ratios. |
| z-score | "Is today unusual for this ticker?" 0 normal · ±1 notable · ±2 rare. Against the last 30–250 sessions you choose. |
| percentile | The same idea, 0–100 %. 90 % = higher than 90 % of recent sessions. |
| change · change % | The step from the previous session. Careful with % on a line that crosses zero — it explodes near zero. |
Small triangles on the close mark sessions where price and the line disagreed (see below).
By expiry horizon
The same number cut into 0–14, 15–45 and 46–180 days (and 181 +). The line above it says whether the horizons agree or disagree, and which holds the largest share. Horizons that disagree are worth a look: the near-term book can lean one way while the whole book leans the other.
By strike
Bars around the price: where the exposure sits. Choose the window (±5 / 10 / 15 / 25 % of the price). On Flow you can switch between open interest and volume today. A big bar at one strike is a level dealers will care about when price gets there.
When the price and the line disagreed
A divergence is a session where price went one way and the line went the other. Choose the span (1, 2 or 3 sessions) and a size guard (any move · above the median move · top quarter) so small wiggles do not count.
| Mark | What happened |
|---|---|
| ▼ | Price rose while the line fell. |
| ▲ | Price fell while the line rose. |
Four tiles: Today (any divergence now?), In these sessions (count, split up/down), How often (the base rate — an arrow is only interesting against this) and Orientation (a line that normally runs against price, like vanna, is turned round first so an arrow means a break from its own habit).
A routine that works
- Start with Gamma: calm side or jumpy side? Where is the flip?
- Press Vanna and Charm if an event or an expiry is close.
- Press Flow: did today's trading lean to calls or puts, and is it unusual (the bar)?
- Open By expiry where a number looks odd — is it one expiry?
- Take a strike that stands out to Walls & Levels.