When do greeks and open interest update on Unusual Whales?
Open Interest
Options open interest updates occur on the next market day at approximately 6:45AM eastern time.
So, for example, you will be able to see the latest open interest from Tuesday’s trading on Wednesday morning at about 6:45AM eastern time. The open interest from Friday’s trading will not be available until Monday morning at about 6:45AM eastern time, and if Monday is a holiday then the open interest will not be available until Tuesday morning at 6:45AM eastern time.
This timing is a function of The Option Clearing Corporation’s process and completely out of Unusual Whales’ influence.
Spot Greeks: Volume
Note: the description below is for spot gamma exposure but applies exactly the same for charm and vanna.
Let’s work through these examples using AAPL, and let’s start with spot gamma exposure for volume:
https://unusualwhales.com/stock/AAPL/greek-exposure?tab=Gamma
This one is easy. Volume-based spot gamma exposure updates in real time:
Same for the Intraday line chart view, this volume-based spot gamma intraday page updates in real time:
Spot Greeks: Open Interest
Note: the description below is for spot gamma exposure but applies exactly the same for charm and vanna.
This updating scheme is slightly more complex. We already know that open interest updates at about 6:45AM eastern time, and this view depends on open interest, so its first update occurs a few minutes after 6:45AM eastern time. Updates will continue in real time from that point on.
The complex part is the actual gamma value itself in the pre-market. Since most options do not start trading until 9:30AM eastern time, pre-market gamma values are usually assumed to be the same as the observed gamma values from the last session close. However, in certain scenarios, a modeled gamma value, based on pre-market data, will be used instead of the last session’s closing gamma values.
Whether modeled gamma values or yesterday’s closing gamma values are in-use, one thing is for sure: once trading begins and markets tighten across the options montage, the OI-based gamma exposure calculation quality will improve.
The intraday chart only updates during the trading session, so there is no “pre-market model vs. yesterday’s close” issue.
Live Gamma Exposure Levels
The price chart below the the “Spot Greeks” chart comes pre-loaded with the GEX Gamma Exposure Profile study. These bars are the Spot Gamma Open Interest values as you can see when they are compared side-by-side:
The bars on this chart update in real time, same as the OI-based Spot Gamma-only chart above.
Greeks
Note: the description below is for gamma but applies exactly the same for delta.
The greek exposure calculations available from Unusual Whales on these tabs are based on open interest. Open interest updates the next market day at about 6:45AM eastern time. As such, the greek exposures are updated the next market day slightly later than 6:45AM eastern time.
Let’s work through an example with AAPL.
https://unusualwhales.com/stock/AAPL/greek-exposure?tab=Gamma
(Make sure the “Gamma” tab is selected at the top of the page.) The first visible chart and table are the daily summaries, “Daily Gamma Exposure (GEX)” and “Daily Gamma Exposure Table”:
The chart and table are both based on open interest, so these values are calculated twice each day.
The first calculation occurs slightly after the 6:45AM eastern time open interest update. Depending on the quality of pre-market data, this page will calculate gamma exposure using either modeled gamma values or the last session’s closing gamma values.
The second calculation occurs slightly after the market open. Just like in the Spot Greeks section above, this is done to improve the quality of the gamma exposure calculation by using a tightened, traded market instead of the previous close or a model.
The “Gamma Exposure By Strike” and “Gamma Exposure By Strike Table”, which is the next pair of items down the page, is based on open interest as well and so the same twice-per-day update scheme is applied to them too:
The “Gamma Exposure By Expiry” and “Gamma Exposure By Expiry Table”, which are the next two down the page, are also based on open interest. So what is their updating scheme? You guessed it, twice-per-day.
The final chart on this page, “Largest GEX By Strike And Expiry”, is based on open interest too, so the same twice-per-day updating scheme is applied here too.
The twice-per-day updating scheme explained and displayed in the images above is applied to the Delta charts on its tab, so now that you have some spaced repetition you can confidently say that:
- Daily Delta Exposure (DEX)
- Daily Delta Exposure Table
- Delta Exposure By Strike
- Delta Exposure By Strike Table
- Delta Exposure By Expiry
- Delta Exposure By Expiry Table
- Largest DEX By Strike And Expiry
are all updated via the same twice-per-day scheme as the Gamma-based charts.