3.3.2 Greek Neutrals

While the hedging strategies depend on an entire option chain, there are certain price levels that denote key aspects of that hedging environment, which we calculate and display each day. These levels are called Delta Neutral (DN), Gamma Neutral (GN), Gamma Max (GM), and Vega Neutral (VN), named after the specific features of an option contract known as greeks. These levels can provide insight into key levels of support and resistance for price in the market, and can identify regions of low or high volatility.