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 ($61.7B), pointing to strong price-linked hedging activity that may require dealers to buy underlying exposure as prices move, supporting directional momentum. Vega hedging (-$3.25B) shows notable sensitivity to implied volatility on the downside, suggesting volatility changes could prompt dealers to adjust hedges in a way that may offset some of the price-driven flows. Theta ($2.7M) represents a minimal, steady impact from time decay.

Source: Vol.land