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).

Gamma, theta, and vega are largest for strikes near the Delek US 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.

Delek US IV rank is 18, so implied volatility is near the bottom 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 42.3% to 201.9%. See the DK implied volatility history for a longer view.

Across all open Delek US options on Nov 4, 2026, net gamma exposure was $535.16K and net delta exposure was $21.5M per 1% move in the stock. The DK gamma exposure chart shows where that gamma sits by strike.

Delek US Holdings Inc is an integrated energy business focused on petroleum refining, transportation and storage; wholesale crude oil, intermediate, and refined products, and convenience stores retailing.