Release Notes

The Delta Change greek represents the difference between the current position delta and the calculated position delta at different future points in time and price. We assume that Market Makers are always hedged, so the difference between these two deltas represents how much delta they would need to hedge from the current time and underlying price to a simulated future time and price. This view often shows the path (or paths) of least resistance. It can also be thought of as combining the effects of both gamma and charm into a single view.

We removed the greeks "Simulated Gamma" and "Simulated Charm" greeks from the Gradient View. If you previously had these selected in a dashboard they will automatically change to Gamma and Charm respectively. We believed the difference between the "Simulated" greeks and the model greeks was too subtle and more likely to cause confusion than add value.

Updated the feed service to improve the accuracy of the SPX synthetic feed

We use a synthetic feed to approximate the SPX price for pre-market and after-hours trading. Candlestick charts for the Gradient View will now begin at 8:30am EST

Inverted the default colors for Charm on the Home page dashboard.

Negative charm (Market Makers must buy) = Green

Positive charm (Market Makers must sell) = Red

Blue/Yellow defaults are unaffected

Added straddle lines to Gradient Chart, similar to Position By Strike View

Added new timezone selector to the user menu (top right)

Moved the ViewMode selector from the Header to the config side menu

Round 2 of model calculation performance improvements to decease time to generate gradient by another 50%

Displays Candlestick/OHLC (Open, High, Low, Close) view of position changes starting at market open for the day (9:30am EST).