3.8.3 Options Value by Moneyness

The second row shows the aggregate value of the options market as a function of moneyness (K/S). The left chart shows The total value of the options chain as a function of moneyness, the middle chart shows the total delta, and the right chart shows the leverage. Note that maximum leverage for puts and calls tends to be where short volatility positions tend to be vulnerable, and is often strongly defended. The slider bar on the left hand side allows for direct comparison between current day and previous days to see how the curves are evolving over time.