Option Greeks measure how Eversource Energy (ES) 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. ES implied volatility is near the bottom of its one-year range, which keeps delta and gamma in a narrower range of strikes than usual.
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ES 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 ES Greeks charts?
Gamma, theta, and vega are largest for strikes near the Eversource Energy 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 ES's Greeks?
Eversource Energy IV rank is 5, 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 16.9% to 162.1%. See the ES implied volatility history for a longer view.
How much gamma and delta do ES options carry in total?
Across all open Eversource Energy options on Nov 4, 2026, net gamma exposure was $1.07M and net delta exposure was $16.21M per 1% move in the stock. The ES gamma exposure chart shows where that gamma sits by strike.
What is Eversource Energy?
Eversource Energy is a diversified holding company with subsidiaries that provide rate-regulated electricity and gas distribution service to more than 4 million customers in the Northeast US.