Presenting the Greeks Report is pleased to offer its Greeks Report to the trading world. An example of the report can be found at the bottom of this page or it can be downloaded here.

  • What does it show?

    The Greeks Report takes the information from the market and calculates the implied greeks. Using the implied greeks we take the open interest at each strike (for put and call respectively) and multiply it by the unit greeks. We then sum up the net position per strike (put greek times open interest plus call greek times open interest) scaling by the contract multiplier if it is appropriate.

    • Δ (delta)Click to expand/contract
    • Γ (gamma)Click to expand/contract
    • ν (vega)Click to expand/contract
  • Why is this report important?

    These metrics are important indirect guages to get a feel for stability of the market. A market with no delta position is unlikely to be spooked by small moves in the underlying. A large gamma at a strike identifies that strike as an important source of attraction or repulsion. It helps to define the levels which are reasonable in the short run. The vega helps to focus on situations where revisions to option specific information can generate moves now.

    • ModelsClick to expand/contract
    • CalendarsClick to expand/contract
    • ExpiriesClick to expand/contract
    • ProductsClick to expand/contract
    • HistoryClick to expand/contract
  • Get it now!

    The first step in getting the ball rolling is to contact us using our form.

  • Need help understanding this sample report?

    Please follow this link.