Positioning Replay

This screen replays recent trading days of open option positions in one stock, one frame per market close. It is one of the panes covered in Reading The Options Suite.

At a glance

• An option contract. It gives someone the right to buy or sell a stock at a set price, up to a set date. A call is worth more to its buyer if the stock rises. A put is worth more if the stock falls.
• One frame. Each frame is one trading day's close. Nothing here is live or intraday.
• Two things only. The pane draws two measures, gamma and drift, plus the share price line. Nothing else.
• The heat map. Colour shows how much option exposure sits at each distance from the share price.
• What the colour is counting. A dollar figure worked out from the open contracts, not a count of them. One colour marks more call gamma than put gamma. The other marks the reverse. The stronger the colour, the bigger the figure.
• Gamma. A standard measure of how sensitive an option's price is to the share price moving. Added up across open contracts, it shows how much exposure sits at each distance from the share price, calls minus puts.
• Drift. A daily recalculation of how those same open contracts reprice as days pass. It is not evidence that anyone traded.
• The price line. A thin line traces the share price itself, on its own scale.
• A share split. When a stock splits, the frames before it are restated in today's shares, so the line does not fall. The frame is marked, for example "2 for 1 split".
• A thin frame. A frame that held almost no open contracts at capture is kept as captured. The Trading day by trading day line skips it rather than plunging through it.
• What it shows. The pane draws open option positions one day at a time. It describes what sat in the market at each close and how the exposure sits at each distance from the share price. It also shows how those open contracts reprice as days pass. Important. Drift is a recalculation, not an observed trade. It shows how contracts that are already open reprice under a standard option pricing model as time and price move. Key difference. Gamma = how much exposure sits at each distance today. Drift = how that same exposure reprices as days pass. Both are worked out from the nightly capture with a standard option pricing model.

Two tabs on one pane

A tab bar at the top of the screen switches between them. A layout remembers which one you left open.

Frames

The film described below. One frame per market close, a heat map of open option exposure by distance from the share price. The share price is drawn over it. This is the tab the pane opens on.

Trading day by trading day

The other tab. It draws the same recent captures as one line instead of a film.

• The top line. Net open gamma for each trading day, calls minus puts. It is stated in share equivalents per one percent move in the share price. That is the dollar figure divided by that night's share price, so a rally on its own does not print as a change in positioning.
• The fainter line. Total open gamma, both sides added, on the same scale.
• The share price. Runs beneath, one point per capture.
• The marks. On the price line, the strike carrying the most open call gamma sits above and the most open put gamma below, for each trading day.
• What it draws. Only the run of recent trading days the nightly builder computed these figures for. A gap ends the line. Nothing is bridged.
• A split. A dashed rule on the price line marks a share split, with the split in words. The trading days before it are restated in today's shares.
• The floor. Under five such trading days the tab says how many it has and draws no line.
• A month is a month. Nineteen captures is not a history. The canvas says so, and the line grows by one point a night.
• The numbers under the picture. The latest trading day's own figures print under the line too. The trading day, the net and total open gamma. The strikes carrying the most call and put gamma that night. Calls minus puts is a display convention. Nothing here says who holds the contracts or what the share price does next.

What the grid shows

Columns are days and rows are distance from the share price.

• Columns. Oldest on the left, newest on the right. One column is one captured trading day.
• Rows. Far below the share price at the bottom, far above it at the top.
• Moneyness. The thirteen rows are moneyness buckets. Moneyness just means distance from the share price.
• Which price each column is measured from. Every column measures distance from the share price on that day, not from today's price.
• How recent the last column is. The column on the right is the newest capture we hold, taken after a market close. Scrub to it and the side panel prints that day's date. Look at the colour first, then check where the price line ran through it. The question this pane answers is whether a band of colour stayed put while the share price moved through it, or moved along with it.

The two metrics

A toggle switches the heat map between them. Two option words first.

• Delta. How much a contract's value moves when the share price moves.
• Gamma. How fast that delta itself changes.
• Net dollar gamma. Each contract's gamma multiplied by how many contracts are open, put on a dollar scale. Net means the put figure taken off the call figure.

The drift layer is worked out from the nightly capture with a standard option pricing model. It restates how already open contracts reprice as time and price move. That is contract arithmetic. It is not evidence that anyone bought, sold, hedged, or changed their mind.

Playback

The controls move a cursor across the captured trading days.

• Play and pause. Runs the film forward, or stops it where it is.
• Step. Moves back one trading day or forward one trading day.
• Scrub. Drags the cursor to any trading day in the film.
• Read-out column. The column at the right redraws the highlighted day as two lines, gamma and delta drift, each measured against its own biggest figure in that frame. A filled point marks that figure and prints it, and the legend under the column states the scale each line is drawn to.
• Hover holds it. A pointer resting on the film stops the playback where it is, so a figure can be read off. A device asking for less movement on screen never gets an automatic step, and the step buttons drive the film instead. With only one trading day on record there is nothing to play through. The controls stay visible but disabled, labelled "playback opens at two frames."

Where the film starts

The film has a stated start night, and it draws nothing before it. Below twenty frames, the pane prints the exact night the film began. It also says plainly why nothing comes earlier. Our older options data holds prices and traded volume only. It does not hold open interest or implied volatility.

• Open interest. The number of contracts still open and outstanding.
• Implied volatility. How much it costs today to trade on this share moving. The market sets it, and it is quoted as a percentage per year.
• Why we cannot backfill. Volume is a flow. Open interest is a standing balance. No arithmetic turns one into the other after the fact. An earlier version of this pane drew history it had never captured, and it was removed. This one draws only the days we captured. That is why the film is short.

Common misreadings

• Who is on the other side. We never say. Market makers are the firms that quote a buy price and a sell price all day. Open interest cannot show whether they hold more contracts than they have sold, or fewer. So we claim nothing about it.
• One day on its own. Scrub the film before you conclude anything about a band of colour.

Frequently asked questions

Is the drift line showing trades that really happened? No. It recalculates how open contracts reprice as time and the share price move. It is not a record of anyone buying or selling. What does the calls minus puts colouring mean? It is one colour scale carrying two numbers. The pane labels it a display convention. It is not a claim about who is long or short. Open interest cannot answer that question. Why does the film only go back a limited number of trading days? Our older options data only recorded prices and how many contracts changed hands. It did not record how many were left open. One cannot be worked out from the other, so the pane states its start night and draws nothing earlier. Does this tell me where the share price is going? No. It describes positions that already exist and how they reprice as time and price move. That is contract arithmetic, not evidence anyone will trade. See Reading The Options Suite for the rules every options pane follows. Why are the playback controls grayed out? A film needs at least two captured trading days to play. With one trading day on record the controls stay visible but disabled, labelled "playback opens at two frames." Is any of this real time or intraday? No. Every frame is one trading day's closing snapshot, taken from the nightly options capture.

Related panes

• Reading The Options Suite, the shared primer for the vocabulary and the copy rules every options pane follows.
• The Panes, the full map of the panes, grouped by workspace.
• Expiry Ladder, the same open positions summed by expiry date instead of replayed trading day by trading day.
• Strike Table, the same census broken out strike by strike for one trading day.