Delta, gamma, and the two secondary Greeks

Two Greeks are enough to understand GEX: delta says how many futures are needed to hedge, gamma says how fast that need changes when price moves.

Delta

Delta measures how much the premium moves when the underlying moves one point.

• Call: delta between 0 and 1. Put: delta between −1 and 0.
• An ATM option has a delta close to 0.5 (call) or −0.5 (put). A deep OTM option has a delta close to 0.
• Delta is also a hedge ratio: the amount of underlying that makes the position neutral.

A useful conversion for ES. An SPX option is worth $100 per index point, an ES contract $50 per point. An ATM SPX call (delta 0.5) therefore carries 0.5 × 100 = $50 per point: exactly the exposure of one ES contract.