3.2.2 GS-EX Tool
3.2.2.1 GS-EX Overview
The Greeks by Strike Tool provides a comprehensive look at the option chain of a given ticker delineated by greek, expiration date, and trade date. This information is useful for identifying large clusters of positions and anticipating their possible future effect on market movement. The page offers two unique views of the options data: (1) greek values at each strike (the default view), and (2) greek values by expiration, which can be toggled within the greek selection toolset. These two views are complementary, giving you aggregations along both the strike and the expiration axes of the full chain.
3.2.2.2 Greek Selection
The Greek selection tool allows you to view the total exposure of a chosen option parameter at each strike on the chain. In addition to open interest (OI) and volume, the tool provides six Greek quantities: delta, gamma, vega, charm, speed, and vanna, which provide information on how an option price will change with respect to underlying price, implied volatility, and the passage of time. By default, the chart displays the cumulative values at each strike for both puts and calls separately, and clicking the Display Net button toggles between puts and calls combined or separated.
3.2.2.3 Expiry Date Range
The expiry date range tool is a slider bar that provides control over which expirations are included in the total sum at each strike, and defaults to all expiration dates. Moving the slider toggle upwards removes farther dated expirations from the sum, making it possible to look only at the effect of shorter dated options.
3.2.2.4 Trade Date Range
The trade date range tool allows you to look at the options chain for a ticker for previous trade dates, which is useful for analyzing the change in open interest over time.
3.2.2.5 Open Interest at Expiry
While the mouse is hovered over a bar, left clicking on the mouse brings up the open interest by expiry tool, showing the open interest for that strike at each future expiration date, identifying where in time market interest is concentrated.
3.2.2.6 Greeks by expiration
Clicking on the lightning bolt toggle will change the x-axis from strike to expiration, showing an aggregate look at all options greeks by expiry. This is useful to see on what date most OI, delta, gamma, etc are accumulated.
