Vega Concentration

PRO

Greeks & Risk · HTTP Data · Pro Tier

Overview

Vega Concentration shows where the market has the most sensitivity to implied volatility changes. For each strike, it aggregates the vega exposure (vega × OI) to reveal which strikes will move the most in dollar terms per 1% change in IV. This is the map of vol-sensitivity across the entire options chain.

Two view modes are available: Value (Vega Exposure in USD per 1% IV move) and Normalized (unitless for cross-ticker comparison). Use Both to overlay them.

Vega Concentration showing volatility exposure density by strike — SPY example

Key Features

3 view modes: Value (USD per 1% IV move), Skew/Normalized (unitless, for cross-ticker comparison), and Both (overlaid). Switch between modes to analyze absolute vs. relative vol sensitivity.
7 chart types: Bar, Line, Area, Scatter, Step, Bubble, and Heatmap — with a crystalline color palette (frosty cyan for positive, crystalline purple for negative vega).
Per-option vega extraction: Parses individual option vega from the full grid data using parseGridToOptions, then aggregates by strike.
ATM range filter: Focus on near-money vega concentrations where vol sensitivity is highest and most tradable.
Premium themes: Full theme library with deterministic color generation for consistent visual identity per ticker.
Guide Panel: Educational overlay covering vega concepts, vol sensitivity interpretation, and practical applications.

How to Read the Chart

Element	Meaning
Positive vega (cyan)	Strikes where a 1% IV increase adds dollar value. Long option positions benefit from vol expansion at these strikes.
Negative vega (purple)	Short option positions or deep ITM options where vol changes have inverse effect.
Tallest bars	Strikes with the highest vega concentration — the most vol-sensitive points in the chain. A given vol move will have the largest P&L impact here.
Normalized mode	Unitless representation suitable for comparing vega profiles across different tickers regardless of absolute price or OI levels.

Use Cases

Vol trade positioning: If you expect an IV increase (pre-earnings, macro event), buy options at the strikes with the highest vega concentration — your position benefits the most from the vol move.
Hedge vega risk: Identify where your portfolio has concentrated vega exposure. If you're short vol at high-vega strikes, you know which positions will hurt most if IV spikes.
Cross-ticker comparison: Use Normalized mode to compare vol sensitivity profiles across SPY, QQQ, and IWM. The ticker with the most concentrated vega is most sensitive to a sector-wide vol shock.

How to Launch

Open the Window Launcher — click + or press L.

Search for Vega Concentration or browse Greeks & Risk.

Click to launch and enter a ticker.

Data loads via HTTP. Use the view mode selector (Value / Skew / Both) to switch between absolute and normalized vega. The chart renders per-strike vega concentration with the crystalline color palette.

Data Source & Tier

Per-option vega parsed from the full grid via Ohey's HTTP Data Abstraction Layer, aggregated by strike. Vega Concentration is on the Pro tier ($79/month). View pricing →

Related Windows

Theta Decay — Time decay exposure alongside volatility sensitivity
IV Surface — Full IV surface context for vega concentration analysis
EigenHedge — PCA-based risk framework using vega as an input factor