Options · gamma exposure (GEX)
Gamma exposure (GEX) explained: how it’s calculated, what it shows and what it assumes.
You keep seeing call walls and negative gamma on SPY and QQQ charts. This guide shows where the GEX number comes from, works one through by hand, and shows what happens to it when an assumption is wrong.
Education, not investment advice. Nothing here is a recommendation to buy or sell.
Gamma, then gamma exposure
What is gamma, and why does it make dealers trade?
Delta is how much an option’s price moves for a 1-point move in the underlying. Gamma is how fast delta itself changes for that same 1-point move. A standard US equity or ETF option normally covers 100 shares, so delta and gamma translate directly into shares.
A market maker who sells an option usually hedges it with the underlying to stay roughly delta-neutral. When price moves, the option’s delta changes, and the hedge has to be adjusted. Gamma tells you how big that adjustment is.
The SqueezeMetrics paper uses a simple case: a 50-delta call with a gamma of 10 (deltas quoted on a 0 to 100 scale) becomes roughly a 60-delta call after a 1-point rise, or a 40-delta call after a 1-point fall. Either way, the dealer trades about 10 shares to re-hedge. Gamma exposure adds that up across every strike and expiry.
The original source
Where does GEX come from?
GEX as a named metric comes from SqueezeMetrics’ white paper, “Gamma Exposure (GEX): Quantifying hedge rebalancing in SPX options”, first published in March 2016 and revised in December 2017. It set out to estimate the share (or, for SPX, dollar) impact of dealers re-hedging every open option.
The paper’s argument is that option quantities and who holds them say something about future volatility that option prices alone don’t. In its own SPX comparison, days after the highest quartile of GEX had a 1-day return standard deviation of 0.55%, against 0.85% after the second-highest quartile. That is the authors’ own result for their own sample, published by a GEX data vendor; treat it as a starting claim, not settled evidence.
Almost every public GEX chart today is a variation on this method. Knowing the original tells you which parts are measured and which parts are assumed.
The framework
What does every GEX chart assume?
Real dealer inventory is not public, so GEX has to guess who is on each side of every contract. The paper states four assumptions; here they are in plain language, with what breaks each one.
01Every option trade has a hedging dealer on one side
What the model doesThe paper treats every contract as bought or sold by a market maker who runs an options book and hedges it.
What breaks itSome volume is customer-to-customer, with no dealer in the middle. That part of open interest creates no dealer hedging at all.
02Dealers are long the calls
What the model doesInvestors are assumed to sell calls (call overwriting, collars), so dealers own them and calls count as positive gamma.
What breaks itWhen investors buy calls in size, dealers end up short them. Those strikes then carry negative gamma, the opposite of the chart’s sign.
03Dealers are short the puts
What the model doesInvestors are assumed to buy puts for protection, so dealers are short them and puts count as negative gamma.
What breaks itPut selling (cash-secured puts, put spreads sold for income) leaves dealers long some puts, which turns those strikes positive.
04Dealers hedge exactly to delta
What the model doesThe model assumes a dealer re-hedges every time delta changes, so the full gamma turns into share trades.
What breaks itThe paper itself notes that dealers hedge within bands to save costs. Real hedging is lumpier and partly offset inside dealer books.
Plus the data choices every vendor makes
Some vendors replace the fixed call/put rule with their own model of dealer positions, so two GEX charts for the same day can disagree. That is a feature of the method, not necessarily an error.
Open interest is a daily snapshot
OCC can only report new open interest after it clears and pairs the day’s opening and closing trades, so the morning’s chart runs on yesterday’s positions.
Gamma comes from a model
Each contract’s gamma is computed from a pricing model and an implied volatility. A different vol input gives a different gamma.
The units are a convention
The original paper counts shares per 1-point move. Most charts now show dollars per 1% move, which multiplies by spot twice.
Which expiries are included
An all-expiry chart and a same-day chart for the same symbol can look very different.
Put together, GEX is a model estimate of hedging pressure, not observed dealer positions. The rest of this guide reads it that way.
Worked example · Illustrative numbers, not market data
How is GEX calculated?
Per contract, the paper’s version is gamma × open interest × 100, which gives shares to trade per 1-point move. The common dollar version multiplies by spot to turn shares into dollars, then by spot × 0.01 to scale a 1-point move up to a 1% move.
GEX per 1% move = gamma × open interest × 100 × spot² × 0.01
Calls get a plus sign and puts a minus sign, following assumptions 2 and 3. Sum by strike and you have a GEX-by-strike chart; sum everything and you have net GEX.
Hypothetical chain
Three strikes, underlying at $500
Illustrative numbers, not market data. Gammas are made-up round numbers, not output from a pricing model. GEX per 1% move = gamma × OI × 100 × 500² × 0.01.
| Strike | Type | Gamma | Open interest | Sign | Shares per $1 | GEX per 1% move |
|---|---|---|---|---|---|---|
| 490 | Put | 0.015 | 20,000 | − | −30,000 | −$75.0M |
| 500 | Call | 0.025 | 15,000 | + | +37,500 | +$93.75M |
| 510 | Call | 0.012 | 25,000 | + | +30,000 | +$75.0M |
| Net | +$93.75M | |||||
Net gamma is positive. Under the convention, the chain nets to +$93.75M per 1% move, so hedging would lean against moves rather than add to them.
500 is the call wall, 490 the put wall. They are simply the largest call-side and put-side figures. Nothing in the arithmetic says price will stop there.
Check the units yourself. The 500 calls need 37,500 shares per $1 move. A 1% move is $5, so 187,500 shares, which at $500 is $93.75M.
These are made-up numbers. To see the same method on a real chain, see SPY’s GEX by strike in Senntric.
Same chain, three changes
What happens to GEX when an assumption is wrong?
The same hypothetical chain, changed one input at a time. Illustrative numbers, not market data.
01Flip one assumption
Suppose most of the 490 puts were sold by customers, so dealers are long them. That strike becomes +$75.0M, and net GEX jumps from +$93.75M to +$243.75M. Same chain, same prices, a very different picture.
02New open interest the next morning
If 10,000 of the 500 calls are closed overnight, that strike falls to +$31.25M. Net GEX drops to +$31.25M, and the call wall moves to 510 (+$75.0M).
03Spot moves
At a different spot, every strike’s gamma changes, and so does the spot² scaling. The walls are outputs of today’s price, not fixed lines.
The first change is the one to remember. The sign of each strike is an assumption, and flipping it on one strike out of three more than doubled the net figure. That is why GEX works best as context, not as a measured fact.
Positive vs negative gamma
What do positive and negative gamma imply?
Positive gamma. If dealers are long gamma, a rally raises their delta and they sell to re-hedge; a dip lowers it and they buy. Hedging leans against the move, which is why positive GEX is associated with quieter, more contained trading.
Negative gamma. If dealers are short gamma, the hedge runs the other way: they buy into rallies and sell into dips. Hedging adds to the move, which is why negative GEX is associated with larger, faster moves.
There is academic evidence for the link, with limits. In a working paper, Barbon and Buraschi (“Gamma Fragility”, 2020) build a proxy for aggregate dealer gamma imbalance and find negative imbalance associated with intraday momentum and positive imbalance with intraday reversal, most strongly in less liquid underlyings. “Associated with” is the right phrase: it is a tendency across a sample, not a rule for any one day.
What would change the read: news large enough to swamp hedging flows, a net figure close to zero where small input changes flip the sign, or flow that contradicts the call/put convention.
Levels on the chart
What are call walls, put walls and the gamma flip?
Call wall: the strike with the largest call-side gamma. Put wall: the strike with the largest put-side gamma. Traders often watch them as areas where hedging flows are concentrated, but neither is guaranteed support or resistance.
Gamma flip (or zero gamma level): the modelled spot price where net GEX would cross zero. You can’t read it off today’s chart, because every strike’s gamma changes as price moves; finding it means repricing the whole chain at hypothetical prices. It is an estimate stacked on an estimate.
In the worked example, closing two-thirds of the 500 calls was enough to move the call wall. If you want these levels on a live chain rather than a made-up one, see the call wall and put wall on live SPY and QQQ chains in Senntric.
What would change the read: a new day’s open interest, a large spot move that reshuffles which strike is largest, or the expiry that holds the wall rolling off.
Same-day options
Why does 0DTE change the picture?
Options close to expiry carry very large gamma near the money, because their delta can swing from near 0 to near 1 over a small move. Same-day positions can therefore dominate hedging on the day even when the all-expiry chart looks calm.
They are also a large share of the market. Cboe reported that 0DTE options made up a record 66.2% of total SPX options volume in July 2026.
The catch is timing. Open interest is reported after end-of-day clearing, so options opened and closed within the same session never appear in it, and the morning chart can’t see today’s 0DTE trades.
What would change the read: heavy same-day volume at one strike, especially into a scheduled release, or a sharp move late in the session as 0DTE gamma peaks near expiry.
Save this
What can’t GEX tell you, and when is the read stale?
GEX can’t tell you direction, who really holds the options, intraday flow, or what a catalyst will do. Catalysts reprice positioning fastest; see how news trading handles headlines, and how reading an earnings reaction works when a report resets single-stock options.
The read is stale if…
Open interest has updated
New positions from yesterday’s session can move the walls before the open.
Spot has moved a long way
A large move changes every strike’s gamma, so the levels drawn this morning may no longer be the largest.
A big expiry has rolled off
When a large expiry settles, the gamma it carried disappears from the chart.
Same-day options dominate the volume
0DTE trades opened this morning are not in this morning’s open interest.
A catalyst is due
CPI, an FOMC decision or earnings can reprice volatility and positioning in minutes.
Flow looks one-sided
Heavy call buying or put selling breaks the sign convention the chart relies on.
Where Senntric fits
Where does Senntric fit in reading GEX?
See GEX by strike for SPY and QQQ, with spot, the call wall and the put wall marked, and the Gamma Heatmap in Senntric, next to the news and the chart. It is the same kind of model this guide describes, so the same limits apply, and Senntric doesn’t tell you what to trade.
Questions traders ask
Gamma exposure basics FAQ
What does GEX mean in trading?
GEX stands for gamma exposure. It is an estimate of how much options market makers would need to buy or sell the underlying to stay hedged for each 1% move, added up strike by strike. It is a model built on assumptions about who holds which options, not a record of real dealer positions.
Is high positive GEX bullish?
No. GEX describes how hedging may affect the size of moves, not their direction. Positive gamma is associated with dampened moves in both directions; it says nothing about whether the next move is up or down.
Why do different websites show different GEX numbers?
They make different choices. Some use a fixed rule (calls positive, puts negative), others model dealer positions from trade data; they include different expiries, use different implied-volatility inputs and refresh open interest at different times. Two charts for the same day can disagree for these reasons alone.
How often does GEX change?
The open-interest input changes once a day, because OCC reports open interest after end-of-day clearing. Gamma itself changes continuously as spot, time to expiry and implied volatility move, and trades opened today are not in today’s open interest.
What is the gamma flip (zero gamma level)?
It is the modelled spot price at which net GEX would cross from positive to negative. Finding it means repricing the whole options chain at hypothetical prices, so it is an estimate that moves with the inputs, not a fixed line.
Where did GEX come from?
GEX was named and published by SqueezeMetrics in its white paper on hedge rebalancing in SPX options, first released in March 2016 and revised in December 2017. Read the SqueezeMetrics white paper (PDF).
Sources
- SqueezeMetrics (Prior Analytics LLC), “Gamma Exposure (GEX): Quantifying hedge rebalancing in SPX options”, March 2016, revised December 2017
- Barbon and Buraschi, “Gamma Fragility”, University of St. Gallen School of Finance working paper 2020/05 (November 2020)
- Cboe Insights, “Market Metrics That Matter: Derivatives July 2026 Volume Highlights” (11 August 2026)
- Options Industry Council (OptionsEducation.org): General information FAQ (open interest reporting, 100-share contracts)
- OCC: Daily Open Interest report
The worked example, its table and its chart use illustrative numbers, not market data.