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Option Chain
| CALLS | STRIKE | PUTS | ||||
|---|---|---|---|---|---|---|
| Last | Volume | Open Int | Strike Price | Open Int | Volume | Last |
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Contract Analysis
Historical Price of 0 indicates 0 volume during that day
Mark
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Bid × Ask
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30-Day Change
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Current Greeks (Previous Day)
Delta
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Delta (Δ)
Price sensitivity to underlying $$\frac{\partial V}{\partial S}$$ Range: 0 to 1 (calls), -1 to 0 (puts)
Price sensitivity to underlying $$\frac{\partial V}{\partial S}$$ Range: 0 to 1 (calls), -1 to 0 (puts)
Gamma
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Gamma (Γ)
Rate of change of Delta $$\frac{\partial^2 V}{\partial S^2}$$ Higher Gamma = more Delta sensitivity
Rate of change of Delta $$\frac{\partial^2 V}{\partial S^2}$$ Higher Gamma = more Delta sensitivity
Theta
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Theta (Θ)
Time decay rate $$\frac{\partial V}{\partial t}$$ Usually negative - options lose value daily
Time decay rate $$\frac{\partial V}{\partial t}$$ Usually negative - options lose value daily
Vega
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Vega (ν)
Volatility sensitivity $$\frac{\partial V}{\partial \sigma}$$ Always positive - higher volatility increases value
Volatility sensitivity $$\frac{\partial V}{\partial \sigma}$$ Always positive - higher volatility increases value
Rho
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Rho (ρ)
Interest rate sensitivity $$\frac{\partial V}{\partial r}$$ Positive for calls, negative for puts
Interest rate sensitivity $$\frac{\partial V}{\partial r}$$ Positive for calls, negative for puts
Elasticity
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Elasticity (Ω)
Option percentage change per 1% underlying move $$\Omega = \Delta \times \frac{S}{V}$$ Higher elasticity = more leverage
Option percentage change per 1% underlying move $$\Omega = \Delta \times \frac{S}{V}$$ Higher elasticity = more leverage
IV
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Current Volume
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Open Interest
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Avg Volume (30d)
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