Greeks report
Live contracts ranked by a Greek or implied volatility, with minimum and maximum bounds on delta, gamma, theta, vega and rho.
Overview
The Greeks report lists live contracts with all five Greeks and lets you rank and filter by them. Use it to find contracts with a particular risk profile - for example a delta band, low time decay or high vega.
The data delay depends on your plan and is shown on every view: the as-of time and the delayed label sit above the results. On the Free plan reports show the previous session.
How the report is built
- Live contracts (volume or OI greater than 0). Default sort: implied volatility.
- Set a minimum, a maximum or both on any Greek. |Delta| applies one range to calls and puts.
- With every symbol and no Greek bound, the report keeps the top 5 per symbol; a symbol or any bound lists every match.
Before you start
Any signed-in plan can open the report from Research → Reports. Your plan decides how fresh the data is and how much history you can read. CSV export needs a plan that includes it.
Steps
- Open Research → Reports, choose the Strategies family (or type "Greeks" in Search reports) and open Greeks.
- The report runs straight away with its default filters. The as-of time and delayed label are shown above the grid.
- Change any filter (for example pick one symbol) and press Run to refresh the grid.
- Choose Save as screen to keep your variant under Research → Saved Screens, where you can schedule it or turn it into an alert.
- Use Export CSV to download the rows (plans with CSV export).
Columns and metrics
| Column | What it means | ||
|---|---|---|---|
| Symbol | The underlying stock or ETF. | ||
| Expiration | The contract expiration date. | ||
| DTE | Calendar days until expiration (0 = expires this session). | ||
| C/P | Call or put. | ||
| Strike | The strike price of the contract. | ||
| Und. Price | The latest price of the underlying stock. | ||
| ITM/ATM/OTM | In, at or out of the money, worked out from the strike against the stock price. | ||
| Mark | Bid/ask midpoint, per share. This is the premium the reports use. | ||
| Premium | Mark x 100: the price of one standard contract in USD. | ||
| Break-even | Per share: strike + mark for a call, strike - mark for a put. The price the stock must reach at expiry for a buyer to break even. | ||
| Volume | Contracts traded so far this session (cumulative, as of the snapshot time). | ||
| OI | Open contracts as of the prior settlement. | ||
| Prev OI | Open interest at the close of the previous trading session (the baseline). | ||
| OI Δ | Open interest minus the previous session's open interest, in contracts. | ||
| OI Δ % | (OI - previous OI) / previous OI. | ||
| IV | Implied volatility, annualised. Shown as a percentage (0.35 is stored, 35 % is displayed). | ||
| Delta | How much the option price moves for a $1 move in the stock (calls 0 to 1, puts 0 to -1). | ||
| Delta | Delta without its sign, so one range covers calls and puts. | ||
| Gamma | How fast delta changes for a $1 move in the stock. | ||
| Theta | Time decay per calendar day, per share. Negative for a long option. | ||
| Vega | Price change for a 1-point change in implied volatility. | ||
| Rho | Price change for a 1-point change in interest rates. | ||
| Extracted | When the snapshot behind the row was captured (US Eastern). |
Percentages are stored as fractions and displayed as percentages (0.05 is shown as 5 %). An unknown value shows as "-", never as 0.
How to read it
- Delta near 0.50 (or -0.50 for puts) is at the money; near 0 is far out of the money.
- Theta is negative for a long option: -0.05 means about 5 cents of value lost per day per share.
- Vega shows how much the price changes for a 1-point IV change; long-dated options have more.
Example
Illustrative only - the symbol and numbers are invented.
Filter |Delta| between 0.25 and 0.35. One row: XYZ 20 December 108 call, Delta 0.30, Gamma 0.04, Theta -0.06, Vega 0.12, IV 29 %, Mark 1.75, DTE 40.
Using it in your research
- Compare contracts with similar delta across expirations to see how theta and vega change with time.
- Save a delta-band variant as a screen for repeated use.
Treat every row as a starting point for your own research, not as a signal. Volume and open interest never say whether a trade was a buy or a sell.
FAQs
Why do I see only five contracts per symbol?
With every symbol selected the report keeps the top 5 contracts of each symbol so one busy chain does not fill the page. Pick a single symbol to list every contract of that symbol.
Troubleshooting
Puts disappear when I filter delta
Put deltas are negative. Use |Delta| to apply one range to both calls and puts.
The report shows "No Records Found"
The filters may be too narrow for the session, or the session has only just opened. Widen a threshold, clear the symbol, or check the as-of time to see which session you are reading. On the Free plan you read the previous session.