Methodology

How GammaTape computes its levels

GammaTape reads the same-day (0DTE) option chains of four US underlyings and reduces each to a handful of price levels. This page states what is computed, from which data, how often, and where the method stops. It describes a method; it does not forecast price.

Last reviewed 2026-10-03 · market analytics, not investment advice

The option chains

GammaTape computes its levels from four same-day (0DTE) option chains: SPX (the SPXW root) and SPY for ES, NDX (the NDXP root) and QQQ for NQ.

Only contracts that expire at the close of the current session are read; weekly, monthly and quarterly expiries are not part of any level. See 0DTE options in the glossary.

Each chain is computed on its own. SPX and SPY are two separate books on the S&P 500, NDX and QQQ two separate books on the Nasdaq-100, and their levels need not agree.

Spot is derived from the option chain itself, through put-call parity. Implied volatility and the Greeks are computed from mid quotes with the Black-Scholes model, so live and replayed levels are built from the same inputs.

Two books: open interest and volume

Every level is computed in two books: the open-interest book, set before the bell, and the volume book, built from the day's 0DTE volume as the session trades.

Gamma exposure: Per contract, dollar gamma per 1% move is gamma × weight × 100 × spot² × 0.01, where the weight is open interest or volume. Calls count positive and puts negative: the standard convention that dealers are long calls and short puts.
Open-interest book: Weights each strike by open interest, which is published once a day before the open and does not change during the session. It describes the positioning carried into the day. The regime — the sign of net gamma — is read from this book.
Volume book: Weights each strike by the contracts traded on it today, call volume minus put volume, cumulated from the open, with gamma recomputed at the current spot. It starts empty at the bell and fills with the session's flow.

Starter shows the open-interest book; Pro and Max show both. See open interest vs volume weighting.

The levels

GammaTape draws five kinds of level — zero gamma, the call wall, the put wall and the two gamma majors — each computed separately in each book.

Zero gamma: Also called the gamma flip: the price at which the book's net gamma exposure changes sign, taking the crossing nearest spot. On the desk the zero gamma line is the volume book's, smoothed with a five-minute exponential average; the open-interest flip is marked beside it on the price axis, and stands in when the volume book has no crossing.
Call wall: The strike carrying the most call-side gamma on the upper side of zero gamma.
Put wall: The strike carrying the most put-side gamma on the lower side of zero gamma.
Gamma majors: Major positive gamma and major negative gamma: the strikes where net gamma (calls minus puts) is most positive and most negative.
Max pain: The strike at which the total payout to option holders at expiry is smallest — arithmetic on open interest, drawn as a reference.

On the desk each wall and major is drawn with its zone — the adjacent strikes carrying at least half of the peak’s gamma. A level moves to a new strike only after the new pick has held for three one-minute samples, and a wall or major does not move at all while price is within 0.15% of it; it is released once price is 0.35% away.

Definitions of each term: zero gamma, call wall, put wall, gamma majors, max pain.

The four reads

A read is the rule that picks levels out of a book, and GammaTape offers four: GEX, Convexity, Abs Gamma and Fusion.

GEX: Calls and puts taken separately: the heaviest call-side strike and the heaviest put-side strike, either side of zero gamma, give the call wall and the put wall.
Convexity: Calls minus puts per strike: where net gamma leans hardest gives major positive gamma and major negative gamma.
Abs Gamma: Calls plus puts per strike: the strike carrying the most gamma in total, whatever its sign. Gamma peaks near the money, so this strike sits close to price by construction; it marks where gamma is heaviest, not where price is going.
Fusion (beta): The union of the reads from both books, grouped by strike; a level's weight is the number of reads that land on it. The weight counts agreement between reads and carries no hold rate of its own.

Starter ($24/month) carries the GEX read on the open-interest book; Pro ($49/month) and Max ($99/month) carry every read on both books. Compare the plans.

How often the levels update

During the session the engine recomputes every level every 3 seconds; the public levels pages publish a snapshot of the same engine every 15 minutes.

Price comes from a one-second poll of the option chain, so spot moves between two level updates. Each instrument’s levels are also recorded once a minute; those per-minute points are what the level trails and replay are drawn from.

The public pages show the open-interest book’s call wall, put wall and zero gamma, with max pain, spot and net GEX. They are rebuilt at most every 15 minutes and print the time and session date of their numbers; outside market hours they show the last session.

From index points to ES and NQ

Levels are computed in the units of each underlying — index points for SPX and NDX, ETF dollars for SPY and QQQ — and reading them on ES or NQ means applying the futures basis.

SPX, NDX: Additive: the level plus the basis, ES − SPX or NQ − NDX. The basis reflects carry and dividends, is usually tens of points on ES, and moves through the session.
SPY, QQQ: A ratio: the level times ES ÷ SPY (about 10) or NQ ÷ QQQ (about 41).
MotiveWave: The extension measures the basis on your own futures chart once per session — the median of the minute-by-minute spread or ratio, held once stable — and prints the value it uses on the chart. Before the open, while the data is still the previous session's, the offset includes the overnight gap.
Web desk: Shows index points by default. The chart can be switched to ES or NQ points with a basis you enter, or fill from delayed futures and index quotes.
Public pages: Publish index and ETF points and apply no basis: a page refreshed every 15 minutes cannot know the basis at the moment it is read. The ES and NQ pages are SPX and NDX levels for futures traders, in index points.

See the basis in the glossary and the MotiveWave GEX indicator.

History and replay

Every session is archived minute by minute — price, each level and its trail — and replay plays that archive back.

Replay reaches back 30 days on Starter and 90 days on Pro and Max. In replay, each minute shows only what had been computed by that minute; no level is drawn from information that came later.

When a rule changed — on 2026-09-27, when the walls began to split on the volume zero gamma and the approach rule above was switched on — the archived sessions were recomputed with it, so replay draws what the live desk draws.

Limits

Levels describe options positioning; they are not a forecast.

The dealer side is assumed, not observed. No public data says whether a dealer is long or short a given contract; every GEX figure, here and anywhere, rests on the convention that dealers are long calls and short puts.
Only 0DTE is read. Positioning in later expiries is not in these levels.
Open interest is a once-a-day figure. Intraday changes show up only in the volume book, and volume does not say whether a trade opened or closed a position.
Research is not a promise. GammaTape’s reads were replayed on 88 ES and 82 NQ sessions, and that work shaped which reads the desk offers. Nothing on this site states how a level will behave in a future session.
Market analytics, not investment advice.