GreekFlow

Open-interest exposure, with the assumptions visible

Market time · ET

Options chain explorer

See where open interest concentrates risk.

Map gamma, delta, vanna, charm, theta, open interest, and implied volatility across one coherent strike window.

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Transparent by design

Methodology & limitations

What the exposure figures mean

Greeks are calculated with a dividend-adjusted Black–Scholes–Merton approximation. Gamma is scaled to a 1% underlying move, vanna to a one-point implied-volatility move, and charm and theta to one calendar day. Standard contracts use a 100-share multiplier; source records marked non-standard are excluded.

Position assumption

The gamma and vanna maps assign call open interest a positive sign and put open interest a negative sign. That convention can be useful for comparing concentrations, but open interest does not reveal who owns each side. GreekFlow does not observe dealer inventory and does not call this “dealer positioning.”

Zero gamma and max pain

Zero gamma is reported only when the modeled GEX proxy genuinely changes sign as spot is swept from 60% to 140% of its current level. Max pain minimizes total intrinsic option-holder payout at one expiration. GreekFlow intentionally does not publish an all-expirations max-pain number because those contracts settle at different times. Neither is a forecast.

Inputs and exclusions

Quotes, chains, and implied volatilities come from Yahoo Finance through yfinance. Each strike and expiration uses one reference IV for both call and put Greeks: the out-of-the-money side when available, otherwise the valid paired side. IV is solved from a two-sided midpoint when quoted, then a recent last trade from the same market snapshot; Yahoo IV is the fallback. This prevents a missing or placeholder in-the-money IV from deleting or distorting only one side of gamma. Direct Yahoo call and put IV values remain visible. The market snapshot time, not the page-load time, drives DTE.

Model limitations

Expiry time is estimated as 4:00 p.m. New York time because Yahoo supplies only a date. Rates are linearly interpolated across Yahoo’s 13-week, 5-year, 10-year, and 30-year Treasury-yield proxies; this is still less precise than a full Treasury curve. Dividend yield uses trailing source metadata rather than a discrete dividend schedule. American-style early exercise, volatility dynamics, contract-specific settlement times, adjusted multipliers, and intraday positions are not modeled. Open interest is daily clearing data with both a long and short side—not live order flow. Results are estimates for exploration and education, not investment advice.