Delta-hedging flows
The buying and selling dealers are forced into, measured trade by trade.
Gamma tells you how violently dealers will have to hedge. Delta flow tells you what they are hedging right now. One is the map; the other is the traffic on it.
What dealer delta-hedging is
Market makers do not take directional bets. When a client buys calls, the dealer on the other side is short those calls and therefore short delta, so they buy the underlying to get flat. When a client buys puts, the dealer buys back stock they had sold, or sells more. Every option that trades leaves the dealer with a delta they must neutralise in the underlying, usually within minutes.
That hedging is non-discretionary. It happens in thin tape and thick tape, into good news and bad. It is a genuine, measurable source of order flow that has nothing to do with anyone's opinion of fair value, which is exactly what makes it worth tracking separately from everything else on your screen.
What GammaLab measures
- Signed option flow, print by print: every option trade classified as dealer-bought or dealer-sold, converted into the delta the dealer now has to hedge.
- Cumulative dealer delta through the session: the running total, so you can see hedging pressure building rather than reading isolated prints.
- Per-ticker breakdown: indices and single names side by side, not one aggregate index number.
- Intraday and end-of-day views: what is happening now, and how today compares with the sessions behind it.
- Strike-level detail: where in the chain the flow is concentrating, which is what turns a total into something actionable.
Honest about the method
Trade direction on options is inferred, not published: no exchange stamps a print as buyer- or seller-initiated. GammaLab classifies flow using the standard tick and bulk-volume techniques and is deliberate about where that inference is strong and where it is thin. We would rather show you a number with a known error bar than a confident-looking figure built on a guess. You will find the same care applied throughout the platform: where a reading rests on an assumption, we say so.
How traders use it
Persistent one-sided delta flow into a level is the mechanism behind moves that look unexplainable on fundamentals. A large put buyer at the index level forces dealers to sell futures repeatedly; a call-heavy session in a single name forces them to buy stock into an already-rising price. Read alongside gamma exposure, delta flow tells you whether the hedging that gamma implies is actually being done, and which way.
It is also the earliest read on a positioning change. Open interest updates once a day; delta flow updates all day.