Delta / price
Local change in model premium for a $1 change in the underlying, holding other inputs fixed.
ONE CONTRACT. THREE MOVING INPUTS. A BETTER RESEARCH PROCESS.
Options explained.
From one contract to the whole book.
A correct view on price can still produce a losing option trade. The contract, the price paid, the time remaining and changes in volatility all matter. Start with one contract, change the inputs yourself, then see where EasyBear’s charts fit.
All examples below are fictional teaching examples, not live quotes or recommendations. Calculators exclude fees and execution costs. Updated 5 November 2026.
01 / What are you actually buying?
Start here if an options chain feels like a wall of numbers.
An option specifies an underlying instrument, a strike, an expiration and a contract type. A call concerns buying at the strike; a put concerns selling at the strike. Exercise and settlement rules determine how that right is fulfilled.
The buyer pays the premium. The seller accepts the contract’s obligation. Buying a call and selling a call therefore have very different risk. “Call” alone does not tell you whether a trade opened or closed a position.
For a standard ETF option with a 100-share multiplier, a quoted premium of $4.20 costs $420 for one contract. Adjusted contracts can have different deliverables. Check the actual specification.
You can usually close a purchased option by selling that contract rather than exercising it. The available bid and ask, not a theoretical value on a chart, determine the prices at which you may be able to trade.
SPY / 600 CALL / chosen expiry
UnderlyingSPY ETF
Strike$600
Premium per share$4.20
Standard multiplier100
One contract: $4.20 × 100 = $420 before fees. This is a unit conversion, not today’s price.
| Contract | Exercise and settlement | Research implication |
|---|---|---|
| SPX / SPXW | European exercise; cash settlement; $100 per index point. | Check the exact series: standard SPX and SPXW have different settlement timing. SPXW is PM-settled. |
| SPY / QQQ | Standard ETF options generally have American exercise and share delivery. | Early exercise, dividends and assignment can matter. Closing or exercising changes the position you hold. |
Sources: Cboe SPX specifications and OIC equity versus index options.
02 / Valuable is not the same as profitable
Interactive / long option at expiration
An in-the-money option can still lose money after the purchase premium. This example uses a $100 strike and one contract with a 100 multiplier. Move the expiration price to separate the payout from your profit.
P/L before fees−$100.00
Expiry breakeven$104.00
Premium paid$400.00
A call ending at $103 pays $300. Subtract $400 premium: a $100 loss before fees.
See the calculation
Call payout = max(underlying − strike, 0) × multiplier. Put payout = max(strike − underlying, 0) × multiplier. Long-option P/L = payout − premium × multiplier. Expiry breakeven is strike + premium for a call, or strike − premium for a put, before costs.
These are expiration results. Before expiry, an option can be sold for a profit below its expiration breakeven—or for a loss above the strike. The premium paid is the maximum loss on the purchased option itself, excluding costs; exercise can create a separate stock position with additional risk.
What is inside the premium?
Intrinsic value
For a call, max(spot − strike, 0). For a put, max(strike − spot, 0). In the call example, spot $103 against strike $100 gives $3 intrinsic value per unit. A $4 premium therefore includes $1 above intrinsic.
Extrinsic value
Premium minus intrinsic value. It reflects more than a countdown: volatility, financing, dividends and exercise rights matter. For European contracts, the simple “always positive time value” intuition can fail because immediate exercise is not available.
| Moneyness | Call | Put |
|---|---|---|
| In the money / ITM | Spot above strike | Spot below strike |
| At the money / ATM | Spot near strike; a platform’s ATM band needs an explicit definition. | |
| Out of the money / OTM | Spot below strike | Spot above strike |
Moneyness says where spot is relative to the strike. It does not say whether the position is profitable, whether the option is cheap, or what direction comes next.
03 / Right direction. Wrong result?
Interactive / European call model
Fictional inputs, not market estimates
Start with spot $100, strike $100, 30 days and 30% implied volatility. The changed scenario starts with spot up to $103, only 7 days left and IV down to 18%. Change one input at a time, then combine them.
Starting model value—
Changed model value—
Change / contract—
Enable JavaScript to explore the model.
Model and assumptions
Black–Scholes European call, 100 multiplier, fixed 4% continuously compounded annual rate, zero dividends, calendar days / 365. IV inputs are annual percentages. This illustration does not price American exercise or discrete dividends, predict an executable fill, or qualify EasyBear’s live heatmap. Every change reprices the model; it does not add Greek approximations.
The model is C = S N(d1) − K exp(−rT) N(d2), with d1 = [ln(S/K) + (r + σ²/2)T] / (σ√T) and d2 = d1 − σ√T. The calculator does not send requests for market data.
Implied volatility is the volatility input consistent with an option price under a model. It is neither a promised future move nor a direction forecast. An event passing can reduce IV enough to offset a favourable price move. Premium also reflects time, rates, dividends and the terms of the contract.
Background: OIC options pricing and Black–Scholes formula.
04 / Greeks describe sensitivity
Outputs follow the scenario above.
Per option unit, before ×100.
Gamma / changing delta
Local change in delta for a $1 underlying move. Delta does not stay constant as price moves.
Theta / passing time
Local daily change as time passes, with other inputs fixed. It is not a fixed daily charge.
Vega / volatility
Local premium change for a one-percentage-point IV increase, such as 20% to 21%.
Multiply price sensitivities by the contract multiplier and position quantity to obtain position units. Rho measures rate sensitivity. Greeks change with the inputs; a small-move estimate need not describe a large move or a volatility jump. Near expiry, sensitivity can change sharply around the strike. “More gamma” does not establish a trading advantage.
Reference: OIC understanding options Greeks.
05 / From a contract to EasyBear’s charts
Each panel answers a different question.
| Question | Use this view | Keep this distinction |
|---|---|---|
| What prices traded? | Price & levels | Five-minute completed price bars. Exposure levels have a separate timestamp and source. |
| What option trading activity was recorded? | Net Flow | Minute net premium, contract measures and trade inspection. A classification relative to quotes does not identify the trader, intent or opening/closing status. |
| Where is modeled sensitivity concentrated? | GEX / DEX heatmap | Greeks combined with OI and stated sign conventions. OI is a dated position count, not a live trade counter or proof of dealer inventory. |
| What was known earlier? | Historical replay | Saved captures only. Later information must not be treated as though it was known at an earlier time. |
For one contract, gamma is a sensitivity. A GEX total scales sensitivities across contracts using open interest, multipliers and a position-sign assumption. EasyBear’s GEX unit is dollars per 1% underlying move; DEX is dollar delta notional. Neither is a sum of option premiums traded.
A positive or negative gamma regime is a model description, not a bullish or bearish verdict. Walls are concentrations under a particular definition. A flip is a modeled zero crossing under specified assumptions. None establishes that price must bounce, pin or break.
Continue to the GEX versus DEX calculation guide · Inspect Net Flow’s worked trade example · Check source age and missing data
06 / A research checklist you can repeat
- Specify the contract.
Record underlying, expiry, strike, right, multiplier, exercise and settlement. Separate a price view from a particular option position.
- Test the scenario.
Change price, remaining time and IV. Compare the premium at risk with the result at expiry and before expiry. Include spread and fees.
- Check the evidence.
Compare the same ticker, scope and timestamp across panels. Record OI date, coverage and missing minutes. A fresh page can contain older inputs.
Inspect liquidity, not just activity
Volume counts contracts traded during an interval; OI counts outstanding contracts at its reporting date. Neither guarantees a tight spread or an exit at the displayed midpoint. Examine the bid, ask, sizes, timestamps and market conditions.
Keep the failed case
Save the contract, inputs and question before evaluating the outcome. Review a level that failed and a level that price never reached as well as a successful interaction. One attractive chart is not evidence of a repeatable edge.
Questions that prevent expensive confusion
Does buying a call mean I make money if price rises?
No. The rise may be too small, too late, or accompanied by a fall in IV. The price you pay and when you close matter. Use the two calculators to separate expiry payoff from value before expiry.
Can I lose more than the premium?
The long option itself can lose the premium paid plus costs. Short options have different risks, and a short call can have unlimited loss. Exercise or assignment can create a separate position; check broker procedures and your contract’s settlement terms.
Does a large call trade prove someone is bullish?
No. It can be a close, hedge or part of another position. The trade record alone does not reveal the participant’s total book.
Is the dashboard a live dealer-position ledger?
No. Exposure uses a documented model and dated OI. Current displayed freshness and coverage describe the inputs available to each panel. Do not infer intraday dealer inventory from a changed GEX number.