Option chain
An option chain is the list of all listed contracts on one underlying, organised by expiry and strike with a call and a put on each line, together with their quotes, volume, open interest and Greeks. It is a snapshot of the market at one time, not a record of the trades that produced it.
Senzoukria · Glossary · Updated September 2026
Anatomy of a chain
A chain is a table. Rows are strikes; columns describe the call on one side and the put on the other; one table exists per expiry. For each contract the chain typically reports bid and ask, last trade, session volume, open interest, implied volatility and the Greeks (delta, gamma, theta, vega). The underlying's spot price and the snapshot time sit at the top and apply to every row.
The fields do not share the same freshness. Quotes and volume update during the session; open interest is published once a day from the previous close; implied volatility and Greeks are computed by the provider from the quotes using its own model and interest-rate assumptions. Two providers can show different Greeks for the same quote.
Snapshot versus tape
- A chain snapshot says how much traded so far and what is outstanding; it does not say who traded, in which order or at which price relative to the quote at the time.
- Options flow, by contrast, is a stream of individual executions with a timestamp each. A scanner refreshed from chain snapshots can approximate turnover but cannot reconstruct every print between two refreshes.
- Volume above open interest in a chain row shows heavy turnover relative to the prior close; it does not prove that new positions were opened.
- A row missing from the chain, or an open interest the provider did not return, is unknown data. It must not be summed as zero.
What is built from a chain
Gamma exposure aggregates the chain: for each strike, gamma times open interest times the contract multiplier, signed under a positioning assumption, summed across expiries. The volatility smile and skew read the implied-volatility column across strikes; the term structure reads at-the-money IV across expiries. Every one of these derived views inherits the snapshot time and any gaps of the chain it came from.
In Senzoukria
The GEX module loads an option chain from the options source configured in the connection manager (Tradier, Alpaca, Market Data or Databento OPRA, with the delay of each shown). From that chain it computes the Strikes page ("Net GEX by strike"), the Volatility page (IV Smile, IV Term Structure, 25Δ Skew) and the key levels (Zero Gamma, Call Wall, Put Wall, Put/Call OI). The module's empty states are explicit: "No option chain has come back yet" and "This chain carries no implied volatility — nothing here can be computed". The Option Flow feed is a separate view of executions and shows "Open interest unknown for this contract" when the chain row is missing rather than displaying a zero.
Market data for the chain is billed by the provider; the chain is fetched, not bundled with the software.
Common mistakes
- Reading a chain's Greeks as market facts; they are model outputs from the provider's quotes and assumptions.
- Comparing volume with today's open interest; the open interest column is from the previous close.
- Summing exposure across strikes when some rows came back empty, which silently understates the total.
- Treating the chain of an ETF as if it were the chain of the futures contract.
Related
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Frequently asked questions
- How often does an option chain update?
- Quotes, last trade and volume update as the market trades, subject to the feed's delay. Open interest updates once per day after the clearing house publishes it. Implied volatility and Greeks are recomputed by the provider from the quotes, so they move with the quotes but depend on the provider's model.
- What is the difference between an option chain and options flow?
- The chain is a state: what exists and what is outstanding at one moment. Options flow is a sequence of events: individual executions with their time, price and size. A scanner built from chain refreshes gives cumulative turnover, while a flow feed built from a trade tape gives each print. Knowing which one a tool uses determines what it can claim.
- Can I compute GEX from any option chain?
- Only if the chain carries the fields the formula needs: gamma or enough data to compute it (implied volatility and time to expiry), open interest per strike and the contract multiplier. A chain without implied volatility cannot produce gamma, and a chain with missing open interest produces a partial sum that should be labelled as such.