The Delta model is a moment in time snapshot, and shows the expected hedging along with underlying price movement for each of the six indices and ETFs. The x-axis reflects the underlying asset and the y-axis reflects the notional value of delta for the selected Index or ETF. You can also click on the last two days to see how the delta is changing by clicking the button in the upper right.

Delta is highest for in-the-money options. Calls bring positive delta to the model and puts bring negative delta. As deltas increase or decline, dealers need to adjust their delta exposure.

Calls expiring can lead to a situation where pressures then lead the market lower. Alternatively, puts expiring could lead to an upswing for the market. It is important to look at times when the current value and expiration values are most divergent. You can assess large expirations by reviewing the difference between current expiration (orange line), and next expiration (gray line). When there is a large spread between these two lines, it suggests large in-the-money options are set to expire, which could drive market shifts.

SpotGamma Subscribers can access this chart for the SPX, SPY, NDX, QQQ, RUT and IWM.