The Put & Call Impact Chart informs traders which strikes or price ranges are significantly affected by options, and how the cumulative impact of options will change as the stock’s price moves. The Put & Call Impact chart is designed for more in-depth analysis showing how options impact each strike. The Synthetic OI Model’s Put & Call Impact chart offers three lenses you can select from using the settings icon at the top of the chart: (A) gamma, (B) delta, and (C) open interest.

A.  Gamma

The Put & Call Impact Gamma lens shows you which strikes or zones will have higher volatility vs. more stable price movement. The overlay of total gamma shows an estimate of overall volatility, and how that changes across strikes. By toggling various time frames, traders can anticipate how much realized volatility will expand or contract after the next weekly or monthly expiration.

• X-axis: Strike price
• Y-axis 1 (customizable bars): Total gamma, put & call gamma by strike
• Y-axis 2 (customizable curves): Toggleable cumulative gamma exposure (calculated as sum of ATM market maker gamma, across all strikes), with the following 5 toggles:
  • Total gamma
  • Next expiration gamma
  • Monthly expiration gamma
  • Total gamma minus next expiration
  • Total gamma minus monthly expiration

B.  Delta

The Delta view shows traders where buying pressure and selling pressure exists across strikes. Positive delta bars mean buying pressure at that strike, while negative delta bars indicate selling pressure. Users can also visualize how the next weekly or monthly expirations will affect dealer deltas.

• X-axis: Strike price
• Y-axis 1 (customizable bars): Total delta, put & call delta by strike
• Y-axis 2 (customizable curves): Toggleable cumulative delta exposure across strikes, with the following five options…
  • Total delta
  • Next expiration delta
  • Monthly expiration delta
  • Total delta minus next expiration
  • Total delta minus monthly expiration

C.  Open Interest

The open interest lens is important to understand (1) sentiment - which strikes are most active, and (2) hedging impact - which strikes will have to be hedged by market makers.

• X-axis: Strike price
• Y-axis: Toggleable view of the following three views of OI bars, with each chart broken out by calls & puts…
  • Total open interest
  • Daily open interest change (day-over-day change in calls & put OI)
  • Net positioning (nets out bought / sold calls & puts)