Cumulative Net Delta
The market maker's total dollar delta through the session, by expiry cohort.
What it shows
A line per cohort (0DTE, All-expiry, All - 0DTE) over a one-minute candle pane. Each point is the market maker's total dollar delta at that minute. Two displays: Off open, the change since the start of the session, and Absolute, the dollar level.
What it is built from
The market maker's net delta, totalled across every strike for each expiry cohort. Built from licensed CBOE one-minute SPX and VIX data with market-maker positioning, recomputed every minute.
Reading
How to read it
- Each point is the level of the book's delta at that minute.
- 0DTE line rising means the market maker's book is gaining positive delta: in the bullish case studies that was long calls above price gaining delta as price approached.
- Market makers hedge delta they gain by selling the underlying, which is why price has run TO the strike and stalled AT it in those sessions.
- 0DTE line falling or negative is the mirror: the book is gaining negative delta.
- 'Off open' shows the change since the start of the session; 'Absolute' shows the dollar level.
Controls
What each control does
| Control | Options | What it changes |
|---|---|---|
| SPX / VIX | SPX, VIX | Product. On VIX the front cohort is labelled 'Nearest (Mon D)'. |
| Cohort checkboxes | 0DTE, All-expiry, All - 0DTE (default 0DTE and All - 0DTE on) | Which lines are drawn. |
| Fill | on / off (default on) | Shades between each line and zero. |
| Off open | Absolute | Off open, Absolute | Off open shows each cohort's change since the start of the session; Absolute shows the dollar level. |
| Gear: Line Style | colours, width, line type, fill opacity, zero line | How the lines look; saved in your browser. |
Read it with
- Premium Flow — flow says what the market maker bought; this says what that book's delta is doing
- SPX Strike Profile (DEX metric) — the same delta, per strike
Good to know
- Off open starts with the first data of the session, before the cash open, so the pre-market move is included.
- Delta also moves when price moves. Read a rising line together with Premium Flow to see whether the market maker is buying.
A real session
See it happen
11:23 ET
0DTE net delta +$1.4B at 11:00 to +$10.7B at 11:23, its high of the day to that point, in the same 23 minutes the MM call line rose.
Case 01 · Sep 3, 2026
Calls bought, puts sold, net delta at the highs: the run to 7750
12 slides
The walk-through, slide by slide
Slide 1 / 12
From the product
Real frames
Shot off the live product, nothing redrawn. Click the right side of a frame for the next one, the left side to go back.
Product frame 1 / 5
These pages describe what the displays show and what the data did on the sessions shown. They are not trading advice, and a past session is not a forecast of a future one.