Delta Impact (DEI)
Last updated
Last updated
Delta Impact (DEI) measures how significant an option trade’s directional exposure is relative to the average daily trading volume of the underlying stock or index.
Think of as the size of the directional bet a trader is making — in terms of stock equivalents (e.g., 10,000 shares long or short).
But a 10,000-share bet means different things depending on the stock’s typical volume:
For a stock that trades 1 million shares a day, 10,000 is just 1% → not a big deal
But for a stock that trades only 50,000 shares a day, 10,000 is 20% of daily activity → much more impactful
So, Delta Impact (DEI) = “How big is this trade compared to what the stock usually trades in a day?”
A high DEI (e.g. 20% or more) means the option trade is large enough that it could impact the stock price or require hedging from market makers.
A low DEI (e.g. under 1%) means the trade is small and unlikely to move the market on its own.
A sudden cluster of trades with rising DEI may signal:
Institutional positioning
Pre-hedging for a catalyst (e.g. earnings)
Anticipated volatility
On every option trade in the TradingFlow feed, you’ll see two key metrics side by side:
DEX — the absolute directional exposure of the trade (in share equivalents)
DEI — the percentage that DEX represents compared to the underlying average daily volume
The Delta Impact (DEI) indicator highlights option trades with the potential to influence underlying stock prices. For example, on June 13, 2023, BP Prudhoe Bay Royalty Trust ($BPT) topped the DEI leaderboard with a striking DEI of 83.31%, indicating a large directional trade relative to its average daily volume. This unusually high DEI was driven by a significant sell order of PUT options, which signaled strong bullish sentiment—likely from institutional players confident the stock would remain above the strike price.
In the days that followed, the stock validated the signal: on June 16th, BPT surged over 6% and rose as much as 11% intraday. This example demonstrates how high-DEI option flow can serve as a leading indicator for directional stock moves when combined with trade context and sentiment.
