NakedDelta.com

Industry Gamma (5 vs 250 days)

Visual Positioning Charts for
Option Trades

NakedDelta's daily analysis of the option open interest (OI) offers unique insight into short-term positioning of the option chain, as well as longer-term changes that may affect short-term price movements. These daily positional changes are the strongest indicator of short-term sentiment to be found. Longer-term positioning tells us how the majority of participants are positioned in an optionable security. The positional OI changes are also considered in respect of the Dark Pool Interest (DPI), recent activity. A change of positioning is nearly always supported by DPI as dealers lay off option risk in dark pool markets (OTC/Over The Counter). NakedDelta's visual graphics display of data, which we analyse for trends and changes, not when or how the data should be used to make investment decisions, (see our disclaimer).

Our Approach

Our approach is to keep things simple. We look for the primary alpha offered in option data, through the analysis of OI and its delta, it is very different to chasing alpha in the four other option Greeks; Gamma, Vega, Theta and Rho. These Greeks make up the behaviour of OI, they aren't leading indicators on their own of market sentiment. If you are going to trade options you do need to know what all these Greeks are and how they will affect a contract's performance, that's not what NakedDelta offers, we just offer market sentiment analysis via OI, and we think it's the best Alpha available. You can see it with your own eyes, then you become empowered to read the market like a predictive poll.

Changes in OI and its delta are great predictive indicators, as it directly shows us the footprints of traders' sentiment voting with their feet.

Why we exist

NakedDelta is designed to help option traders effectively follow the market by improving their understanding by:

What changes in Open Interest OI and DPI suggest, based on their delta and the number of days until expiry (DTE)
Using IV30 to see into market liquidity
More broadly how technical analysis adds to our summation
How macroeconomic data supports NakedDelta's data not the reverse, as often changes in OI are leading the macroeconomic data drop, this suggests all sorts of tomfoolery

NakedDelta data offers very strong indicators that may or may not support your confirmation bias. You must learn to be single minded in its interpretation, because it is quite unbelievable at times.