Option Greeks

Option Greeks quantify an option's price sensitivity to each risk factor: delta to the underlying price, gamma to changes in delta itself, vega to implied volatility, and theta to time decay. They are the base vocabulary of options risk management.

For those who do not trade options, the most valuable use of the Greeks is understanding how dealer hedging feeds back into spot. When dealers are collectively short gamma they must hedge with the move — buying as price rises, selling as it falls — which amplifies volatility; long gamma does the opposite, damping it. This is why market character shifts systematically around large expiries. The distribution of vega exposure, meanwhile, determines how a volatility shock propagates.

Volume and market-structure metrics describe the size and distribution of trading activity. Methodologies differ sharply between venues (wash-trading filters, USD conversion), so confirm the accounting basis before comparing platforms side by side.

Aggregation methodology is what turns per-contract Greeks into a market view: each strike's gamma and vega are weighted by open interest and summed under an assumption about who holds which side. The standard dealer-positioning convention assumes market makers are short the options that customers bought and long the ones customers sold, inferred from trade direction, an approximation that drifts wrong when large players trade dealer-style. Sign conventions therefore deserve a footnote on every chart: dealers short gamma is a modelled statement, not an observed one. Deribit's dominance of crypto options makes its data the de facto aggregate, with CME adding institutional flavour at monthly tenors. The headline derived number, gamma exposure or GEX, estimates how many dollars of hedging flow a one percent spot move forces; its zero-crossing, the gamma flip level, marks where hedging switches from damping moves to amplifying them, and price behaviour on either side of that level differs measurably in realised-volatility terms.

The live chart for this metric is still being wired up. Global volume, venue share and perp-vs-spot pages already carry real data.