SPX Greek Hedging

Greek Hedging (SPX) estimates the day’s dealer rebalancing flows implied by the current options book  essentially how much trading may be required for dealers to remain hedged as prices and volatility move.

Here the dominant signal is Delta hedging ($168.0B), pointing to extremely large price-linked hedging activity that may require dealers to buy underlying exposure as prices move, strongly reinforcing directional momentum. Vega hedging ($13.7B) shows very high sensitivity to changes in implied volatility, indicating that volatility shifts could drive substantial additional hedging flows. Theta (-$28.1M) reflects a small negative impact from time decay, acting as a slight drag relative to the much larger delta and vega forces.

Source: Vol.land