Option Greeks measure how Canadian Natural Resources Limited (CNQ) option prices respond to changes in the stock price (delta and gamma), the passage of time (theta), implied volatility (vega), and interest rates (rho). These charts plot each Greek by strike, so you can see where an expiration's price risk, time decay, and volatility exposure are concentrated. CNQ implied volatility is near the top of its one-year range, which spreads delta and gamma over a wider range of strikes than usual.
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CNQ Option Greeks FAQ
What are option Greeks?
Option Greeks measure how an option's price responds to changes in the stock price (delta and gamma), time (theta), implied volatility (vega), and interest rates (rho).
How do I read the CNQ Greeks charts?
Gamma, theta, and vega are largest for strikes near the Canadian Natural Resources stock price and shrink for strikes far above or below it. Theta grows as expiration gets closer, while vega is larger for expirations further out. Call delta runs from 0 to 1 and put delta from -1 to 0, near 0.50 and -0.50 at the money, and roughly estimates the chance that an option finishes in the money.
How does implied volatility affect CNQ's Greeks?
Canadian Natural Resources IV rank is 81, so implied volatility is near the top of its one-year range. Higher implied volatility raises option premiums and daily time decay (theta), and spreads delta and gamma across a wider range of strikes. Over the past year, 30-day implied volatility ranged from 20.4% to 41.9%. See the CNQ implied volatility history for a longer view.
How much gamma and delta do CNQ options carry in total?
Across all open Canadian Natural Resources options on Nov 4, 2026, net gamma exposure was $6.94M and net delta exposure was $234.06M per 1% move in the stock. The CNQ gamma exposure chart shows where that gamma sits by strike.
What is Canadian Natural Resources Limited?
Canadian Natural Resources is the largest producer of oil and the second-largest producer of natural gas in Canada.