Greeks Tectonics

37 Greeks, 22 ratios across 5 analytical tiers for Bitcoin. Observe how higher-order derivative relationships behave across the options surface.

Surface OverviewRatio ObservatoryGreek LaboratoryOrder DecompositionCrypto-Greeks Atlas
Anomaly Detection Radar
37 Greeks scanned simultaneously. Each z-score is composition-adjusted through OLS regression (G on option count N), removing confounding from contract volume changes. Amber flags 2-3σ deviations, red marks readings beyond 3σ. Baseline windows scale with derivative order.
ATM, 8-30d · 24h · Daily baseline
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No data available.
Insufficient data for correlations (need 5+ aligned timestamps).
Θ/Γ Efficiency Scatter
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Theta-to-gamma efficiency mapped across the moneyness spectrum. Each bubble represents a single cohort, with vertical position reflecting the ratio magnitude and bubble size proportional to the number of live options in that cohort.
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Greek Ratio Distribution
Full option-level Greeks ratio distribution. Each bar counts individual options falling within the bin range, trimmed to P2-P98 to suppress outliers. Reveals skew, clustering, and regime concentration that cohort averages hide.
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Bins:30
No option-level data available.
Ratio Scatter
Cross-ratio relationships across the cohort grid. Each bubble plots one cohort at the intersection of two Greek ratios. Bubble size scales with option count, color encodes DTE bucket. Useful for spotting regime clustering and outlier cohorts.
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Greek Exposure Surface
OI-weighted Greek exposure across the strike grid. Unlike volume-weighted surfaces (see Options Thermography), this shows where risk accumulates regardless of trading activity. Includes GEX framework Greeks (Lightning, Flare, Halo, Aurora) not available elsewhere. Forward projection extrapolates each expiry's time decay to show how gamma concentration shifts over the next few hours.
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Surface Charm=∂2V/∂K∂t\text{Surface Charm} = \partial^2 V / \partial K \partial t
Which strikes gain or lose value as expiry approaches, independent of price and vol?
Positive: this strike gains relative value as time passes. Negative: this strike decays faster than neighbors. Lights up as expiry nears, revealing which strikes to roll and which to let expire.
Loading Greek Exposure Surface...
Dealer Flow Simulator
Scenario explorer for dealer hedge flow estimation. Dealers must re-hedge as time passes and volatility shifts, but classical Greek models treat positions as static. This simulator combines forced hedge flows (Charm, Vanna) with structural migration predictions (Surface Charm, Surface Vanna) to show where capital pressure builds next.
Why Surface Greeks extend the classical model

Standard Charm and Vanna compute today's forced dealer flows assuming static positioning. But positions migrate: market makers roll, institutions rotate, retail opens new strikes. The classical model cannot predict where new OI will concentrate.

Surface Charm (∂²V/∂K∂t) measures how the option value gradient across strikes changes with time. High Surface Charm at a strike means the value gradient across strikes is shifting with time to make that strike relatively more attractive for new positioning, i.e. flow migrates toward it i Surface Vanna (∂²V/∂K∂σ) measures how the option value gradient across strikes shifts when implied volatility changes. High Surface Vanna at a strike means a vol shock makes that strike disproportionately attractive for new positioning, i.e. it predicts where capital flows after an IV event i Droplet (∂³V/∂K∂σ∂t) measures how durable the Surface Vanna signal is at each strike. Negative Droplet means the vol-migration attractiveness is transient and fading with time. Positive Droplet means it is strengthening. The model applies a time-proportional correction: longer scenario windows receive larger Droplet adjustments, preventing the simulator from overstating migration at strikes where the signal has decayed by the time the scenario plays out i

The α and β coefficients let you weight this structural prediction. At zero, the model is pure classical Charm/Vanna. At 1.0, migration carries equal weight to forced flows. The correct value is empirical and varies by market regime. Use the sliders to build intuition for when the surface terms dominate.