25 terms

Gamma exposure glossary

What each term on a gamma map means, defined once and honestly — including where the model stops being a measurement and starts being an assumption.

Core

Gamma exposure (GEX)

also called GEX · dealer gamma · gamma exposure

Gamma exposure, or GEX, is the dollar amount of the underlying that options dealers must buy or sell per 1% move in price in order to stay delta-neutral. It is computed by multiplying each strike's gamma by its open interest (or its volume), by the contract multiplier and by spot, then signing the result for the side the dealer is assumed to hold. GEX is modelled, never observed: no public feed says whether a dealer is long or short a given contract, so every GEX figure anywhere — including this one — rests on a sign convention. What gamma exposure is, in full →

Net GEX

also called net gamma exposure · total GEX

Net GEX is the signed sum of gamma exposure across every strike, quoted at spot, and its sign is the single most useful number on the chain. Positive net GEX means dealers are collectively long gamma: their hedging sells rallies and buys dips, which compresses realised volatility. Negative net GEX means they are short gamma and hedging does the opposite, amplifying whatever the tape is already doing. Long gamma and short gamma regimes →

0DTE options

also called zero days to expiry · same-day expiry · 0 DTE

A 0DTE option is one that expires at the end of the current trading day. SPX, NDX, SPY and QQQ list them every session, which is why those four are the chains GammaTape computes. Their gamma is enormous and extremely local — it concentrates in a narrow band around spot and decays to nothing by the close — so the levels they produce move far more through a session than levels built from longer-dated expiries. 0DTE gamma exposure explained →

Dealer positioning

also called market maker positioning · dealer hedging

Dealer positioning is the inventory of options that market makers hold as a result of taking the other side of customer trades, together with the hedging it obliges them to do. Dealers do not take directional bets; they sell an option and buy or sell the underlying to neutralise the delta, then re-hedge as price moves. That re-hedging is mechanical and size-dependent, which is why it leaves a readable footprint around the strikes where their gamma is largest. How GammaTape models it →

Levels

Call wall

also called call gamma wall · gamma resistance

The call wall is the strike above spot carrying the most call-side gamma; many traders watch it as potential resistance. Dealers short those calls are long the hedge as price approaches, so they sell into strength there; the heavier the strike, the more supply that mechanic creates. It marks where flow concentrates, not a ceiling — price trades through call walls regularly, particularly when net GEX is negative. Call wall and put wall, in practice →

Put wall

also called put gamma wall · gamma support

The put wall is the strike below spot carrying the most put-side gamma; many traders watch it as potential support. It is the mirror of the call wall: dealers hedging a heavy put position buy the underlying as price falls toward the strike. The same caveat applies — it marks where hedging flow is densest, and a level that concentrates flow is not the same thing as a level that holds. Call wall and put wall, in practice →

Zero gamma

also called gamma flip · gamma flip level · zero gamma level · flip point

Zero gamma — the level most of the market calls the gamma flip — is the price at which the running sum of signed gamma exposure crosses zero, so dealer hedging changes sign. Above it dealers are net long gamma and hedging damps moves; below it they are net short gamma and hedging amplifies them. It is the most important level on the map because it does not predict direction: it says which of two behaviours the tape is currently in. Trading around zero gamma →

Max pain

also called maximum pain · max pain strike

Max pain is the strike at which the total payout to option holders across the whole chain is smallest at expiry. It is arithmetic on open interest — not a forecast, and not evidence of manipulation. It matters mainly into expiry, when charm and gamma both push dealer hedging toward the heaviest open interest and price often drifts toward that area, an effect usually called pinning.

Absolute gamma

also called abs gamma · absolute gamma level

Absolute gamma is the strike with the largest unsigned gamma, whichever side of the book it sits on. Because it ignores sign, it finds the strike where hedging is heaviest in raw size, which is frequently a magnet regardless of whether the regime is long or short gamma. GammaTape shows it as its own read, alongside GEX and Convexity. What the absolute gamma level does →

Expected move

also called implied move · straddle price

The expected move is the range the option market is pricing for a session, derived from the at-the-money straddle. It is a one-standard-deviation band, which means the market itself prices roughly a one-in-three chance of closing outside it. It is useful as a scale for the day: whether a level sits inside or outside the band changes what reaching it would mean. Reference levels in the docs →

Major positive and negative gamma zones

also called gamma zones · positive gamma zone · negative gamma zone

A gamma zone is a contiguous band of strikes whose signed gamma all points the same way, rather than a single strike. Zones survive the noise that moves an individual wall from one strike to its neighbour, so they describe the shape of the book more stably than any one level does. GammaTape divides the book at the volume zero gamma and reads the walls on either side of it. Reading the zones →

GEX profile

also called strike ladder · gamma by strike · GEX by strike

The GEX profile is gamma exposure plotted strike by strike, rather than summed into a single number. It shows where the book is concentrated and where it is thin, which the headline levels cannot: two sessions with identical call walls can have completely different profiles behind them. Reading the shape is how you tell a wall backed by depth from a wall that is one large trade. Reading the strike ladder →

Regime

Long gamma regime

also called positive gamma · dealers long gamma

A long gamma regime is one in which dealers hold net positive gamma, so their hedging is mean-reverting: they sell as price rises and buy as it falls. Sessions in this regime tend to be rangier, and the walls tend to behave more like boundaries. Price is above the zero gamma level whenever this is true. Range day, trend day →

Short gamma regime

also called negative gamma · dealers short gamma

A short gamma regime is one in which dealers hold net negative gamma, so their hedging is trend-following: they buy as price rises and sell as it falls. Moves extend further and faster, and levels break more readily than they hold. Price is below the zero gamma level whenever this is true. Long and short gamma, read live →

Gamma squeeze

A gamma squeeze is a feedback loop in which dealer hedging of a short gamma position forces buying that pushes price higher, which forces still more buying. It needs two things at once: dealers short gamma, and enough concentration at nearby strikes that each increment of price move demands a large hedge. A gamma profile shows both of those conditions while they are forming rather than after the fact — which is the reason to watch it. GammaTape describes what the book looks like and makes no claim about what follows.

Convexity

Convexity here means how sharply net gamma changes as price moves, rather than its level at spot. A book can be mildly positive at spot and turn steeply negative twenty points away; the level alone hides that, the convexity read does not. It is the difference between knowing where you are and knowing how fast the ground changes under you. Convexity in the docs →

Pinning

also called pin risk · expiration pinning

Pinning is the tendency of price to settle near a heavy open-interest strike as expiry approaches. The mechanism is dealer hedging: close to expiry, gamma at the nearest strike is enormous, and hedging it means selling strength and buying weakness in increasing size. It is strongest in the final hours, and it is an effect on the distribution rather than a rule.

Greeks

Gamma

Gamma is the rate at which an option's delta changes as the underlying moves. It is what makes hedging a dynamic problem rather than a one-off trade: a position with large gamma needs its hedge adjusted constantly, and that adjustment is the flow everything on this page is about. Gamma is largest at the money and grows explosively as expiry approaches, which is why 0DTE chains dominate the intraday picture.

Delta exposure (DEX)

also called DEX · delta exposure

Delta exposure, or DEX, is the aggregate directional position dealers hold once their options book is netted out. Where GEX says how violently hedging will react to a move, DEX says which way the existing hedge already leans. The two answer different questions, and they disagree often. DEX, vanna and charm on the chart →

Vanna

Vanna is the sensitivity of an option's delta to a change in implied volatility. It matters because it means dealers must re-hedge when volatility moves even if price does not: a falling IV mechanically changes their delta and obliges a trade. This is a large part of why calm tapes with volatility drifting lower tend to grind in one direction. Vanna and charm when gamma is quiet →

Charm

also called delta decay

Charm is the sensitivity of an option's delta to the passage of time. It obliges dealers to re-hedge simply because the clock moved, with no change in price or volatility at all. Its effect concentrates into expiry, and it is one of the two forces behind the drift toward heavy strikes in the back half of an expiration week. Vanna and charm when gamma is quiet →

Volatility smile

also called skew · implied volatility skew

The volatility smile is the pattern implied volatility traces across strikes, normally higher in the wings than at the money. It matters to a gamma map because gamma is computed from implied volatility: using one flat volatility for the whole chain misplaces the walls. GammaTape prices each strike on its own implied volatility. Reading the 0DTE smile →

Mechanics

Open interest vs volume weighting

also called OI GEX · volume GEX · OI vs volume

Open interest weighting measures the book that exists; volume weighting measures what traded today. Open interest is fixed intraday and updates overnight, so it describes structure and moves slowly. Volume rebuilds through the session and is what the day's own flow is doing. GammaTape carries both, and uses the volume book for the levels and the OI book for the regime, because each is better at one of those two jobs. Volume GEX vs OI GEX, measured →

Basis (SPX to ES, NDX to NQ)

also called futures basis · SPX to ES conversion · index to futures offset

The basis is the price difference between an index and the future written on it, and it is why an SPX level cannot simply be read off an ES chart. It reflects carry and dividends, it moves through the session, and on ES it is usually tens of points. The MotiveWave extension measures the basis on your own futures chart and shifts the levels onto it; in the web desk you enter today's basis or fill it from delayed quotes; the public levels pages publish index points rather than guess at a cached basis. Why the same map fits SPX, NDX, SPY and QQQ →

Delta hedging

Delta hedging is the practice of holding a position in the underlying that offsets the directional risk of an options book. It is the reason options positioning shows up in the price of the underlying at all: a dealer who hedges mechanically must trade at particular prices in particular sizes, and gamma is what determines how much. Everything GammaTape computes is an attempt to locate where that obligation is largest. How the engine builds each level →

See the levels these terms describe

Today’s call wall, put wall, gamma flip and max pain are published free, without an account, for each instrument:

Market analytics, not investment advice. The documentation sets out how each level is computed, and the GEX calculator does the arithmetic for a single strike.