Gamma Profile
Wall Persistence & Sticky Strikes
Volume-Weighted Concentration
Swing Scenario Checklist
Methodology
Aggregated Net Gamma Exposure by Strike
calls + (green) / puts − (red) dealer GEX in shares × spot × 1% = $ gammaNet Dealer Gamma vs Spot — Zero-Gamma Crossing
Black-Scholes gamma repriced over a spot grid (flat IV, r=4.3%, q=0). The zero-gamma level is where total dealer net gamma crosses zero: spot above it → negative (trending/vol expansion); below → positive (pinning/mean-reversion).
Per-Expiry Gamma Profile
Individual expiry's net GEX by strike — walls & zero-gamma flip per expiry.
Sticky Strikes (top across expiries)
Strikes ranked top-5 by |net GEX| in 2+ expiries — magnet levels that persist across the weekly/monthly structure.
Wall Persistence (snapshot history)
How often each strike recurs as the call/put wall across daily snapshots. Builds as you use the dashboard daily.
Zero-Gamma Flip Migration
Zero-gamma level vs spot across snapshots. Stable flip near spot = pinning regime; migrating away = regime shift.
Volume-Weighted Strike Concentration (Magnet Score)
Composite 0–100: 50% |net GEX| rank + 30% open-interest rank + 20% volume rank. High score = price magnet / hard rejection level.
Top Magnet Zones
| Strike | Magnet | Call GEX | Put GEX | Net GEX | Open Int | Volume | vs Spot |
|---|
Swing-Trading Scenario Checklist
Computed from current gamma structure + snapshot persistence. GEX is structural context, not a standalone signal — confirm with price action & breadth.
How to read magnetic vs rejection zones
Magnetic zone: strike with high magnet score, positive net gamma, persistent across expiries & days → price drawn to it, expect pinning/fades, favor mean-reversion (sell rips / buy dips into the zone).
Breakout rejection: spot pressing into a call wall (overhead) or put wall (below) within ~1% with negative breadth / failed acceptance → expect rejection back into range; tighten longs near the wall, fade the initial tag.
Breakout continuation: wall migrates in the breakout direction, zero-gamma flip follows price, concentration rolls to new strikes, net gamma turns less negative → trend resuming; trail stops, add on retest.
Breakout rejection: spot pressing into a call wall (overhead) or put wall (below) within ~1% with negative breadth / failed acceptance → expect rejection back into range; tighten longs near the wall, fade the initial tag.
Breakout continuation: wall migrates in the breakout direction, zero-gamma flip follows price, concentration rolls to new strikes, net gamma turns less negative → trend resuming; trail stops, add on retest.
GEX Convention & Methodology
Data source: CBOE delayed options quotes (free, no auth) — full option chain per underlying with gamma, delta, open interest, volume, IV. SPX includes 0DTE, weeklies & monthlies. Data is ~15-min delayed.
Gamma exposure (call-positive / put-negative OI heuristic):
• call GEX (units) = +gamma × open_interest × 100 (calls treated as positive)
• put GEX (units) = −gamma × open_interest × 100 (puts treated as negative)
• per-strike net GEX = call_gex + put_gex (underlying-equivalent units per 1-pt move)
• dollar gamma per 1% move = gamma × OI × 100 × spot² × 0.01
This is the common call-positive / put-negative open-interest heuristic. Actual dealer positioning is not observed (retail & customer flow differ), so treat signs as a structural assumption, not a measured inventory.
Call wall: strike with max positive call-side gamma exposure — under this convention, often acts as overhead resistance context.
Put wall: strike with max |put-side gamma| — often acts as support context below.
Zero-gamma level (spot-grid, primary): Black-Scholes gamma is repriced over a spot grid (flat IV held constant — no skew shift; r=4.3%, q=0; T floored at 1h for 0DTE) and the level where total dealer net gamma crosses zero is the zero-gamma level. Spot above it → negative gamma (trending / vol-expansion); spot below → positive (pinning / mean-reversion). This is a model estimate, not observed dealer positioning.
Zero-gamma pivot (cumulative proxy, secondary): strike where cumulative net GEX (low→high) crosses zero — a strike-distribution pivot. Shown alongside the spot-grid level; they usually agree but the spot-grid is the more accurate structural pivot.
Regime: sign of total net dealer gamma at current spot. Positive → pinning / vol-suppression (mean-reversion context); negative → trending / vol-expansion (breakout context).
Composite magnet score: 0.5×(|GEX| percentile) + 0.3×(OI percentile) + 0.2×(volume percentile) → 0–100 magnetic strength (proprietary composite, not a standard metric).
Sticky strikes: strikes in the top-5 by |net GEX| across 2+ expiries — structural magnets spanning the weekly→monthly horizon.
Persistence: today's snapshot is seeded; a daily snapshot is saved on each load (one per symbol per day). Wall-persistence counts and the zero-gamma flip-migration chart populate as daily snapshots accumulate. To build true historical persistence hands-off, enable a scheduled daily snapshot (ask Computer to schedule it).
Caveats: dealer sign convention is an assumption; CBOE data is delayed; gamma is spot/strike/IV-sensitive and shifts intraday. Use as structural context alongside price action, volume, and breadth — not as a standalone signal.
Gamma exposure (call-positive / put-negative OI heuristic):
• call GEX (units) = +gamma × open_interest × 100 (calls treated as positive)
• put GEX (units) = −gamma × open_interest × 100 (puts treated as negative)
• per-strike net GEX = call_gex + put_gex (underlying-equivalent units per 1-pt move)
• dollar gamma per 1% move = gamma × OI × 100 × spot² × 0.01
This is the common call-positive / put-negative open-interest heuristic. Actual dealer positioning is not observed (retail & customer flow differ), so treat signs as a structural assumption, not a measured inventory.
Call wall: strike with max positive call-side gamma exposure — under this convention, often acts as overhead resistance context.
Put wall: strike with max |put-side gamma| — often acts as support context below.
Zero-gamma level (spot-grid, primary): Black-Scholes gamma is repriced over a spot grid (flat IV held constant — no skew shift; r=4.3%, q=0; T floored at 1h for 0DTE) and the level where total dealer net gamma crosses zero is the zero-gamma level. Spot above it → negative gamma (trending / vol-expansion); spot below → positive (pinning / mean-reversion). This is a model estimate, not observed dealer positioning.
Zero-gamma pivot (cumulative proxy, secondary): strike where cumulative net GEX (low→high) crosses zero — a strike-distribution pivot. Shown alongside the spot-grid level; they usually agree but the spot-grid is the more accurate structural pivot.
Regime: sign of total net dealer gamma at current spot. Positive → pinning / vol-suppression (mean-reversion context); negative → trending / vol-expansion (breakout context).
Composite magnet score: 0.5×(|GEX| percentile) + 0.3×(OI percentile) + 0.2×(volume percentile) → 0–100 magnetic strength (proprietary composite, not a standard metric).
Sticky strikes: strikes in the top-5 by |net GEX| across 2+ expiries — structural magnets spanning the weekly→monthly horizon.
Persistence: today's snapshot is seeded; a daily snapshot is saved on each load (one per symbol per day). Wall-persistence counts and the zero-gamma flip-migration chart populate as daily snapshots accumulate. To build true historical persistence hands-off, enable a scheduled daily snapshot (ask Computer to schedule it).
Caveats: dealer sign convention is an assumption; CBOE data is delayed; gamma is spot/strike/IV-sensitive and shifts intraday. Use as structural context alongside price action, volume, and breadth — not as a standalone signal.