This article covers the key Greeks and metrics TradingFlow uses: delta exposure, delta impact, gamma exposure, and how they affect market structure.

Delta Exposure (DEX)

Delta measures how much an option's price moves when the stock moves $1. Calls have positive delta (0 to 1); puts have negative delta (-1 to 0).

Delta Exposure (DEX) = delta × size. It translates option flow into "equivalent shares":

• +500 DEX ≈ like owning 500 shares (bullish)
• -500 DEX ≈ like shorting 500 shares (bearish)

DEX is more useful than premium or notional for direction: it strips out time decay and IV and shows true directional size.

Delta Impact (DEI)

Delta Impact (DEI) = DEX ÷ average daily volume. It shows how big the trade is relative to the stock's typical activity:

Spikes in DEI often signal institutional positioning or pre-event hedging (e.g. before earnings).

Gamma Exposure (GEX)

Gamma is the rate at which delta changes as the stock moves. Gamma exposure (GEX) is the total gamma from options positions; it drives dealer hedging:

• Long gamma (dealers own options): Dealers sell into rallies and buy dips → stabilizing, range-bound action.
• Short gamma (dealers sold options): Dealers buy rallies and sell dips → destabilizing, trending and volatile moves.

So the gamma environment tells you whether the market is more likely to mean-revert or trend.

Call Wall and Put Wall

• Call wall: The strike with the highest call open interest (and usually GEX). Acts as resistance — dealers sell stock to hedge as price approaches, adding selling pressure.
• Put wall: The strike with the highest put open interest. Acts as support — dealers buy stock to hedge as price approaches, adding buying pressure.

These levels are probabilistic; other factors (news, fundamentals) matter too.

Gamma Squeeze

A gamma squeeze happens when dealers are short gamma (they sold lots of calls). As the stock rises:

1. Short calls gain delta.
2. Dealers must buy stock to stay hedged.
3. Buying pushes price higher → delta rises more → more buying.

The loop can produce sharp, fast rallies. It often ends when dealers finish hedging or options expire.

0DTE (Zero Days to Expiration)

0DTE options expire the same day. They have huge gamma near the close and can dominate index options volume. Flow in 0DTE is more about intraday positioning than open interest, since OI resets daily.

Implied Volatility (IV)

IV is the market's expectation of future volatility, implied by option prices. High IV = expensive options and more expected movement; low IV = cheaper options, calmer expectations. IV often drops sharply after earnings or other catalysts ("IV crush").

For option chain structure and open interest, see Option Chain and OI.

本文涵盖 TradingFlow 使用的关键 Greeks 和指标：Delta 敞口、Delta 影响、Gamma 敞口，以及它们如何影响市场结构。

Delta 敞口（DEX）

Delta 衡量股票价格变动 1 美元时期权价格的变化幅度。看涨期权的 Delta 为正（0 到 1）；看跌期权为负（-1 到 0）。

Delta 敞口（DEX） = Delta × 规模。它将期权流量转化为"等效股数"：

• +500 DEX ≈ 相当于持有 500 股（看多）
• -500 DEX ≈ 相当于做空 500 股（看空）

DEX 比权利金或名义价值更能反映方向性：它剔除了时间价值和隐含波动率的影响，展示真实的方向性规模。

Delta 影响（DEI）

Delta 影响（DEI） = DEX ÷ 日均成交量。它显示交易相对于该股票典型活动的规模：

DEI 的峰值通常标志着机构仓位建立或事件前对冲（如财报前）。

Gamma 敞口（GEX）

Gamma 是 Delta 随股票价格变化的变化率。Gamma 敞口（GEX） 是期权仓位的总 Gamma；它驱动做市商的对冲行为：

• 长 Gamma（做市商持有期权）：做市商在上涨时卖出，在下跌时买入 → 稳定性，区间震荡。
• 短 Gamma（做市商卖出期权）：做市商在上涨时买入，在下跌时卖出 → 不稳定性，趋势性和波动性行情。

因此，Gamma 环境告诉您市场更可能均值回归还是趋势运行。

看涨墙与看跌墙

• 看涨墙：看涨未平仓合约（通常也是 GEX）最高的行权价。起到阻力作用——做市商在价格接近时卖出股票以对冲，增加卖压。
• 看跌墙：看跌未平仓合约最高的行权价。起到支撑作用——做市商在价格接近时买入股票以对冲，增加买压。

这些价位是概率性的；其他因素（新闻、基本面）同样重要。

Gamma 轧空

当做市商处于短 Gamma 状态（他们卖出了大量看涨期权）时，会发生 Gamma 轧空。随着股价上涨：

1. 空头看涨期权 Delta 增加。
2. 做市商必须买入股票以保持对冲。
3. 买入推高价格 → Delta 进一步增加 → 更多买入。

这个循环可以产生急剧、快速的上涨行情。通常在做市商完成对冲或期权到期时结束。

0DTE（零到期日期权）

0DTE 期权当天到期。它们在收盘前具有巨大的 Gamma，可能主导指数期权成交量。0DTE 的流量更多关乎日内仓位而非未平仓合约，因为 OI 每天重置。

隐含波动率（IV）

IV 是市场对未来波动率的预期，由期权价格隐含得出。高 IV = 期权昂贵，预期波动较大；低 IV = 期权便宜，预期平静。IV 通常在财报或其他催化剂后急剧下降（"IV 压缩"）。

有关期权链结构和未平仓合约，请参阅期权链与 OI。