Gamma Exposure (GEX)

Net dealer gamma across all strikes

What is Gamma Exposure

Gamma Exposure (GEX) measures the aggregate gamma that options dealers hold across all strikes for a given underlying. It quantifies how much delta hedging dealers must perform when the underlying price moves by one dollar. This hedging flow is mechanical, not discretionary, and creates predictable price dynamics.

How Dealers Hedge

Options dealers (market makers) take the opposite side of customer orders. When a customer buys a call, the dealer is short that call and must hedge by buying shares of the underlying. The amount of shares needed changes as price moves -- this sensitivity is gamma.

Positive Gamma (Dealers Long Gamma)

When net GEX is positive, dealers are long gamma. As price rises, their delta increases and they must sell shares to stay hedged. As price falls, they must buy shares. This mechanical buying-low and selling-high compresses realized volatility and pins price near the highest GEX concentration. Markets tend to be range-bound with lower intraday swings.

Negative Gamma (Dealers Short Gamma)

When net GEX is negative, dealers are short gamma. As price rises, they must buy shares (chasing the move higher). As price falls, they must sell shares (pushing it lower). This amplifies moves in both directions and increases realized volatility. Negative gamma environments produce large gap moves, trend days, and the kind of volatility that stops out mean-reversion strategies.

GEX Per Strike

GEX Engine computes exposure at every active strike. Strikes with large positive GEX act as magnets -- price tends to gravitate toward them due to dealer hedging flow. Strikes with large negative GEX act as repellers -- price accelerates away from them once breached.

The per-strike GEX profile gives you a map of the mechanical forces acting on price. Combine it with volume and open interest data to understand where the market is structurally pinned versus where it is vulnerable.

The Gamma Flip Level

The gamma flip is the price level where aggregate dealer gamma changes sign from positive to negative (or vice versa). It is computed using Brentq root-finding on the continuous GEX curve. Above the flip, dealers are long gamma and suppress moves. Below the flip, dealers are short gamma and amplify moves.

The gamma flip is one of the most important levels in the market. It acts as a regime boundary. When price crosses the flip from above to below, expect a volatility expansion. When it crosses from below to above, expect compression. Many professional desks monitor this level more closely than any traditional support or resistance.

Total GEX as Regime Indicator

The sign and magnitude of total GEX determine the current market regime. Large positive total GEX (relative to historical percentiles) indicates a strongly pinned market. Large negative total GEX indicates a fragile market prone to outsized moves. Near-zero total GEX indicates a transitional state where small changes in positioning can flip the regime.