For a year the chart could draw a dozen gamma lines at once. Most of them said the same thing twice, and the ones that moved every minute were the ones a trader could not trade. We spent a week measuring every line we had ever drawn against a placebo — the same line, shifted a few strikes — on 330 archived sessions of SPX, NDX, SPY and QQQ. Three objects survived. This is what they are.
Major Positive Gamma and Major Negative Gamma
Take the net gamma at every strike — calls positive, puts negative, in dollars — and keep the two peaks: the strike carrying the most positive net gamma and the strike carrying the most negative. That is all a major is. On the desk they are drawn as lines with their history, not as bands: the line you see is where the major has been through the session, so a level that has just moved reads differently from one that has sat there since the open.
- Source OI: the majors of the open-interest book. They changed about five times a session on the archive, against thirty for their volume equivalents. This is the default.
- Source Vol: the majors of the day’s traded volume, calls minus puts, every contract counted as opened. They move with the session.
- A major only changes on the chart after the raw pick has pointed elsewhere for three consecutive minutes, and going straight back to the strike it just left takes twice that. Zero round trips on the archive.
The zero gamma of the volume book
The third object is the strike where the day’s traded volume flips from net positive to net negative gamma, smoothed over five minutes. It sat about 0.15 % from price on the archive where the open-interest flip sat 0.4 to 0.7 % away, and it was the calmest line of the family. The open-interest flip is still there — as a pill on the axis, because it is the regime’s reference, not a line to trade.
What each object did, in the past tense
Hold rates are the share of touches that rejected, measured on the 330 sessions. The Major Negative Gamma held 65 % of 732 touches, 72 % of them when net OI gamma was positive. The Major Positive Gamma held 66 % of 775, 73 % when net gamma was negative. The volume zero gamma held 66 % of 1,098. None of these is a promise about tomorrow; they are what happened, and the panel shows the number next to each line so you never have to take our word for it.