GEX Gamma Exposure Dashboard

Dealer gamma positioning by ticker — pin levels, gamma flip strikes, and vol regime classification, computed from the nightly options snapshot (weekdays after the close; the date shown is the snapshot date, not a live quote). Positive GEX = dealers long gamma = vol suppression. Negative GEX = dealers short = vol amplification.

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Total Market GEX

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Sum across tickers ($/1% move)

SPY Gamma / 1% Move

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Dealer $ exposure per 1% SPY move

Vol Suppression Index

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% tickers with positive (long) dealer gamma

Market Vol Regime

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Dealer GEX by Ticker

Bar length = magnitude ($/1%-spot-move). Green = dealers long gamma. Red = dealers short gamma.

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Key Gamma Levels

Pin level = max-pain gravitational strike. Gamma flip = zero-gamma-model sign-change strike. Levels shown relative to current spot price.

Ticker	GEX ($/1%)	Spot	Pin Level	vs Spot	Gamma Flip	vs Spot	Vol Amp	Impact
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How to Read Gamma Exposure

Positive GEX — Dealers Long Gamma

Dealers hold net long gamma. As spot moves, they sell strength / buy weakness to delta-hedge, dampening momentum. Tape tends to mean-revert. Favorable conditions to sell premium.

Negative GEX — Dealers Short Gamma

Dealers hold net short gamma. As spot moves, they buy strength / sell weakness to hedge — amplifying the move. Trend-following conditions; long-vol strategies favored. ~1.4× realized vol historically.

Pin Level (Max Pain / Gamma-Neutral Strike)

The strike with maximum absolute dealer GEX. Acts as a gravitational attractor — spot is drawn toward this level as dealers aggressively hedge around it near expiration.

Gamma Flip Level (Zero-Gamma Model Strike)

The strike where cumulative dealer GEX changes sign. Crossing above = dealers flip long gamma (vol suppresses). Crossing below = dealers flip short (vol amplifies). Historically coincides with elevated realized vol.

Methodology & Caveats

Formula (SqueezeMetrics 2017): contract_GEX = sign × Γ × OI × 100 × S² × 0.01. Calls positive, puts negative (assumes dealers net-short both). Total positive = dealers long gamma = vol-suppressing.

Zero-Gamma Flip: Cumulative dealer GEX swept across strikes; first sign-change = gamma-flip level. Linear interpolation between adjacent strikes (±one strike width resolution).

Vol Amplifier: m(GEX) = 1 + 0.4 × clamp(−GEX / 5e9, 0, 1). Calibrated to SqueezeMetrics + Goldman 2022 (~1.4× σ on negative-GEX days). Scale = 5e9 placeholder; production fits per-asset trailing 252d.

Caveats: [SIGN] Assumes dealers net-short both calls and puts; not always true in stress regimes. [SIMPLIFIED] No 0.5 dealer-skew factor applied (would scale magnitude ~50%). [DATA] Computed from the nightly Polygon options-chain snapshot stored in thv2_options_gex_daily (written once per weekday after the close, budgeted sweep so tickers can carry different snapshot dates); it is not a live or intraday feed, and open interest updates once a day. Effect is strongest on index ETFs (SPY/QQQ); weaker on thin single-name chains.

Cited literature: SqueezeMetrics 2017–2024; Goldman Sachs Equity Derivatives 2022 “Gamma Regimes”; Barbon-Buraschi 2021 “Gamma Fragility” (JF working paper).