3.2.5 Options Macro

3.2.5.1 Options Macro Overview

The options macro page provides an aggregated view of the state of the entire options market for public equities. This includes historical information, as well as how the market would evolve in aggregate as a function of moneyness. Finally, more granular views show where the majority of options leverage is situated on the trading calendar, and provides a list of notable options chains based on chain value.

3.2.5.2 Total Options Value Over Time

The top three charts shows an historical view of the value of open options contracts and their leverage. The chart on the left shows total contract value and represents an estimate of the total amount of money invested in stock and index options. The middle chart shows the value of the total delta of all options, which represents the total amount of hedging done on contracts by market makers. The right chart is the total delta value divided by the total contract value, which provides an aggregate measure of leverage in the market. Each chart breaks out both puts and calls, as well as their total. The data provides a quick visualization of how much options interest exists, and how much risk participants wish to take.

3.2.5.3 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.

3.2.5.4 Delta by Time to Expiration

This tool breaks out the date ranges that all of the delta on the market is set to expire and sorts them by days to expiration. The ranges are 0-1, 2-5, 6-30, 31-90, 91-180, 181-365, and greater than 365 days.

3.2.5.5 Notable Chains

Here we display the top 20 stocks ranked by their delta divided by market cap, and the top 20 stocks ranked just buy their delta cost alone. This provides a quick snapshot of which tickers have the largest interest in the market, and which tickers have outsized delta relative to their float size.