Delta Exposure

Draws dealer delta exposure (DEX) by strike as bars on the price axis, with the 3 largest strikes as lines. All expiries, 0DTE or the next expiry.

Overview

Delta Exposure shows, strike by strike, how much underlying exposure the options at that strike carry: delta times open interest times 100 shares times the spot price. Bars grow from the right edge of the chart at each strike's price, green when the sum is positive and red when it is negative.

The 3 strikes with the largest delta exposure are drawn as lines with a tag such as "DEX 1 · 6900 · -$1.2B", so the biggest ones stand out without reading every bar. The status line shows the net total for the chosen expiries and when the data was last updated.

How it works

Each option's delta comes from the Black-Scholes model at the chain's spot and the time left to the 16:00 ET close of its expiry, using the option's implied volatility. Where the chain has no implied volatility (common on deep in-the-money strikes) the volatility that prices the option at its bid/ask mid is used instead.

Delta exposure = delta × open interest × 100 × spot. Put deltas are negative, so puts subtract on their own. Same sign convention as our GEX: dealers are assumed long the calls and short the puts, so calls count plus and puts minus. Each bar is the sum of every expiry in the chosen set, per strike within 6% of spot, in millions of dollars. These are model estimates from open interest, not real dealer positions.

How to use it

• Some traders compare where delta exposure is largest with the GEX call and put walls.
• Use the 0DTE setting to see only today's expiry next to the full set of expiries.
• Some traders watch how the net total changes through the session.
• Pair it with GEX Levels on the same chart to see gamma and delta by strike together.

These are ways some traders read it, for learning. They are not trade signals.

Settings

Notes and limits

• SPX, SPY, QQQ, IWM, GLD and USO, futures mapped from them (ES, NQ, RTY, GC, CL), and the top US stocks with options. Crypto and forex show a short note instead.
• Index and ETF data is updated every 2 minutes during US cash hours, stocks every 15 minutes; the status line says when (for example "updated 3 min ago").
• 0DTE shows a note on days when the symbol has no expiry today. Nothing is drawn in bar replay.
• Part of Pro, like GEX+. Education only. Not financial advice.

Education only. Not financial advice. Indicators mark what happened on the chart; they do not predict what price will do. Trading futures, forex, crypto and other markets carries a high level of risk and may not be suitable for everyone.