Gamma exposure (GEX) profile
Live dealer gamma exposure across the near-term option chain. Shows zero-gamma level, call walls (resistance from short-call hedging), put walls (support from short-put hedging), and total GEX polarity (vol-suppressing vs vol-amplifying). Computed from Polygon.io end-of-day open interest × gamma.
What is gamma exposure?
Gamma exposure (GEX) measures the aggregate dollar-gamma of option market-makers' positions across a stock's chain. It answers the question: how much stock must dealers buy or sell to remain delta-neutral for every 1% move in the underlying?
When retail investors buy calls, market-makers are net short those calls, giving dealers negative gamma exposure at those strikes. When retail sells cash-secured puts, dealers are net long puts — giving positive gamma exposure. Aggregating across every open contract yields the net dealer gamma profile.
Positive vs negative GEX regimes
- Positive GEX: Dealers are net long gamma. To stay delta-neutral, they sell into rallies and buy into dips. This is vol-suppressing — realized volatility tends to compress toward the ATM straddle-implied move.
- Negative GEX: Dealers are net short gamma. To stay delta-neutral, they buy into rallies and sell into dips. This is vol-amplifying — realized volatility often exceeds implied, and gaps get bigger.
SPY is in positive GEX regime most of the time because retail sells cash-secured puts systematically. Negative GEX regimes typically develop during periods of investor panic (widespread put buying) or corporate/insider hedging activity.
Zero-gamma level
The zero-gamma level is the price where cumulative net GEX crosses zero. Above this strike, dealers are net long gamma (vol-suppressive hedging); below it, dealers are net short gamma (vol-amplifying hedging). It's often referred to as the "gamma flip" and behaves as a magnet for realized price action in balanced markets.
Traders watch the zero-gamma level as a sentiment inflection point. Spot trading well above zero-gamma indicates dealer support; spot trading well below zero-gamma indicates dealer resistance and elevated realized vol potential.
Call walls and put walls
Call walls (resistance)
Strikes above spot where call gamma × OI is largest. Dealers are typically short those calls (retail bought them), so as spot approaches the strike, dealers must sell more stock to stay hedged. This creates resistance — supply that dampens rallies.
SPY often has significant call walls at round-number strikes (10-point intervals) and at strikes where large institutional flow has concentrated. The largest wall in a specific expiration cycle frequently acts as an upper price magnet.
Put walls (support)
Strikes below spot where put gamma × OI is largest. Dealers are typically long those puts (retail sold them via CSPs), so as spot approaches the strike, dealers must buy more stock to stay hedged. This creates support — demand that dampens declines.
Put walls form especially strongly at strikes where covered-call and cash-secured-put programs are concentrated (round-number strikes, ATM at prior consolidation levels).
How it's calculated
Per-strike GEX contribution uses the standard SpotGamma-style formula:
Put GEX = Σ (put_gamma × put_OI × 100 × spot² × 0.01)
Net GEX = Call GEX − Put GEX
Where:
- call_gamma / put_gamma = closed-form BSM gamma from Polygon's snapshot (Γ = φ(d1)/(S·σ·√T))
- call_OI / put_OI = open interest per contract from end-of-day Polygon data
- × 100 = shares per contract
- × spot² × 0.01 = dollar-gamma conversion (per 1% move in spot)
Unit: $ per 1% move in spot. If total GEX = +$500M, dealers must trade approximately $500M worth of shares to remain delta-neutral for every 1% move in the underlying.
The scanner defaults to expirations within 45 days. Longer-dated options contribute less to intraday hedging flows because their gamma is smaller and dealers can hedge them less frequently.
How to use GEX in trading
Regime-aware position sizing
In positive GEX regimes, realized volatility tends to be lower than implied. This favors short-vol strategies (iron condors, covered calls, cash-secured puts) because the market is priced for more move than it delivers. In negative GEX regimes, the opposite: realized often exceeds implied, favoring long-vol strategies (long straddles, backspreads).
Support and resistance
Call walls and put walls act as sticky price levels in balanced markets. In positive GEX regimes, price often pings between the largest put wall (support) and the largest call wall (resistance). Traders use these levels for tactical entries.
Gap risk
Negative GEX regimes are correlated with larger overnight gaps. Dealers hedging short-gamma positions cannot smoothly rebalance overnight, so an unexpected news event can produce cascading buy/sell pressure at the open. Position size should be smaller in negative GEX regimes for this reason.
Volatility trading
The gap between GEX-implied realized vol and options-implied vol is a tradeable spread. Sophisticated vol traders use GEX regime as a filter on their vol positioning: sell vol in positive GEX, buy vol in negative GEX.
Frequently asked questions
Why does GEX matter more for SPY than individual stocks?
SPY (and other index ETFs like QQQ) have thousands of open options at every strike across many expirations, so aggregate dealer positioning is a meaningful market force. Individual stocks have far less open interest, so single-name GEX is more anecdotal — but still useful for the very largest names (AAPL, NVDA, TSLA, META).
Is GEX a leading indicator?
Mixed. GEX is a coincident indicator of the current dealer positioning; it does not predict future moves. What it does predict, statistically, is realized vol regime: positive GEX days historically show lower realized vol than negative GEX days.
Does GEX include 0DTE options?
The scanner uses live snapshot data, which includes all open contracts. 0DTE contribution can be significant on expiration days and does add to the intraday hedging picture. For a pure "next-week" view, filter dteMax to 5 in the API call.
How is GEX different from delta exposure (DEX)?
DEX measures dealer delta positioning — how much they must trade to remain price-neutral. GEX measures the rate-of-change of that hedging — how much they must trade per unit of price move. DEX tells you WHERE dealers are; GEX tells you how AGGRESSIVELY they must hedge.
Why are call walls above spot and put walls below?
Only OTM options contribute usefully to walls. ITM options have negligible gamma because they're pricing mostly intrinsic value. So we filter call walls to strikes at or above spot (OTM calls) and put walls to strikes at or below spot (OTM puts).
Is this real-time GEX or end-of-day?
End-of-day OI updated after each trading session (T+1). Options prices used for gamma computation are 15-min delayed during market hours from Polygon.io. Real-time intraday GEX (aka HIRO-style hedging flow) requires expensive real-time OPRA data and is not currently offered on this site's free tier.
Related tools
- IV Rank Leaderboard — check IV regime alongside GEX regime.
- Expected Move — ±1σ envelope complementary to GEX walls.
- Iron Condor Sweeper — naturally works well in positive GEX regimes.
- Gamma Exposure glossary — canonical definition with worked example.
- Vega glossary — the vol-sensitivity Greek.
Data source: Polygon.io options snapshots (delayed ~15 min during market hours; open interest updates T+1). Methodology on the methodology page. Educational only — see the full disclaimer.