Delta Exposure
Aggregate directional positioning from options
Delta Exposure shows the aggregate directional exposure from options positioning across all strikes, revealing institutional bias and hedging flows.
What is Delta Exposure?
Delta measures an option’s sensitivity to the underlying stock price. Aggregating delta across all options shows the net directional positioning in the market.
Delta Values:
- Calls: 0 to +1.0 (ITM calls approach 1.0)
- Puts: 0 to -1.0 (ITM puts approach -1.0)
- ATM options: ~±0.50
Interpretation:
- Positive Delta Exposure: Net long positioning (bullish bias)
- Negative Delta Exposure: Net short positioning (bearish bias)
- Magnitude: Shows strength of directional conviction
Reading the Chart
| Bar Direction | Meaning |
|---|---|
| Positive (above zero) | Net long delta—bullish positioning |
| Negative (below zero) | Net short delta—bearish positioning |
The chart displays delta exposure by strike price:
- Call delta: Positive contribution
- Put delta: Negative contribution
- Current price line: Reference point
Key Insights
| Observation | Meaning | Trading Implication |
|---|---|---|
| Large positive delta at strike | Significant bullish interest (call buying) | Expect support if price approaches from above |
| Large negative delta at strike | Significant bearish interest or hedging | Expect resistance if price approaches from below |
| Net positive delta | Overall bullish positioning in market | Institutional bias is bullish |
| Net negative delta | Overall bearish positioning in market | Institutional bias is bearish |
| Delta concentration | Hedging activity focused at specific levels | Key levels where positions are clustered |
| Delta imbalance | Asymmetric positioning | Reveals one-sided market sentiment |
Market Maker Hedging:
- Positive delta → MMs are short stock (need to buy on rallies)
- Negative delta → MMs are long stock (need to sell on dips)
- This creates price pressure opposite to the delta exposure
Filters
Use the interactive filters to focus your analysis:
| Filter | Use Case |
|---|---|
| DTE | Near-term (0-30) for immediate positioning, longer for LEAPS |
| Delta | Filter by moneyness (0.3-0.7 for ATM options) |
| Moneyness | Focus on specific price ranges |
Combining with Other Charts
| Combination | What It Reveals | Use Case |
|---|---|---|
| Delta + Gamma | Delta shows direction, gamma shows volatility regime | Understand both positioning and expected price behavior |
| Delta + Option Walls | Delta confirms conviction at wall levels | Validate wall strength with positioning data |
| Delta + Volume | High delta + high volume = strong directional conviction | Confirm institutional activity |
| Delta + Premium | Delta shows direction, premium shows capital commitment | Gauge seriousness of positioning |
| Delta + Skew | Delta positioning vs IV pricing | Find discrepancies between positioning and pricing |
Example Analysis:
- High positive delta + positive GEX = Bullish positioning with volatility suppression
- High negative delta + negative GEX = Bearish positioning with volatility amplification
- Delta concentration at strike + high OI = Major institutional level
Note: Delta exposure is a snapshot of current positioning. It changes as options are traded and prices move.
