3.4.1 Live Greeks Overview
The Live Greeks page is meant to inform the day trader of current market-maker hedging and positioning throughout the course of the day. It allows informed decision making and strategies to be applied real-time. For now the only ticker available is the SPX, we are very intent on expanding this tool to accommodate many more. All data updates on a 10 second interval during the trading day.
3.4.2 Intraday Price Tools
The main chart is our own “Technical-Greek-Trends” overlayed onto the price chart. The Blue and purple lines represent the delta and gamma points respectively. These represent the levels at which the MM is going long (short) delta and gamma respectively. These levels can act as both support and resistance and will often prelude volatility if broken with enough momentum. On the left side of the price chart you’ll see the day’s volume for put/call at each strike level. As the day continues strikes with more interest will become apparent as put and call volume levels increase. On the right side of the price chart, you can see GEX exposure by strike for the day. Green represents a positive gamma environment and red represents a negative gamma environment for those specific strike levels. The larger the bar, the more gamma exposure exists at that strike, positive or negative. Both the amount, and the positive/negative value can change throughout the day based on volume.
3.4.3 Intraday IV + Greeks
The bottom two charts on the live data screen are net GEX by strike on the left and intraday IV. Starting with the GEX chart we can see the levels at which the MM has positive (negative) gamma exposure at each level. The right chart, intraday IV. The green line is net gamma for the day’s contracts and where the total gamma has accumulated. The yellow line is GEX for the day, so rather than showing NET gamma, it shows the gamma exposure at each strike respectively, instead of NET for the day. The blue line shows NET IV for the day at each level. Typically, IV is higher away from strike and a little lower near strike. As the price approaches certain levels of elevated IV. The call/put volume displayed on the IV chart match the same values as the call/put volume displayed on the price chart, but with the ability to hover and display the actual values.
