3.3.3 Delta Exposure

The DEX chart shows estimates of total delta exposure on the chain based on the underlying spot price at the end of each day. Delta Exposure (DEX) is calculated using naive assumptions for puts and calls, which would require the market makers to hedge all options by selling the underlying. Skew Adjusted Delta Exposure (DEX-SA) algorithmically incorporates the implied volatility (IV) of each option to create a relative measure of how bought or sold each contract is, to gauge how bullish or bearish market participants are on the underlying. This then provides a historical estimate of how strongly the market wants price to move and in which direction.