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Trading Volatility: GEX Dashboard

GEX Dashboard

Notes on Gamma Exposure (GEX) for stocks and non-inverse ETPs:
- Positive GEX: Daily movement subdued as Market Makers re-hedge by buying as stock price falls, and adding to their short as stock price rises.
- Negative GEX: Daily movement accentuated as Market Makers re-hedge by buying as stock price rises, and adding to their short as stock price falls.
- Market Makers buy/sell the GEX($) shown for each 1% move in order to remain neutral in their positions.
        (For additional details, see notes below the table and this blog post.)

Current GEX values:

Data Table Details:
- Our data looks at all options with less than 94 days to expiration.
- "GEX(shares)" is calculated by summing gamma from calls at each strike (gamma * Open Interest * 100) and puts (gamma * Open Interest *-100).
- "GEX($) per 1% move" the equivalent dollar value of GEX for a 1% move in the underlying stock. This is how much of a stock MMs must buy/sell per 1% move in order to remain neutral in their positions.
- "GEX/Volume" is the ratio for GEX (in shares) to the daily average trade volume (in shares).
- The "Flip Point" is the level where gamma changes from positive to negative, or vice versa.
    - While above it, stock movement gets supressed (Market Makers re-hedge by buying as stock goes lower, and selling as price moves higher).
    - When below, stock moves are accentuated (MMs re-hedge by buying as stock goes higher, and selling as prices moves lower).
- "Code" tells you when there is a change in Gamma Exposure from positive to negative or vice-versa. Generally, a change to positive GEX (Code 1) is positive for movement of the stock price, while a change to negative GEX (Code 2) is negative for the stock price.

Other Notes:
- GEX calculations apply for symbols under the assumption that investors are primarily selling calls and buying puts (Market Markers buy the calls and sell the puts, then hedge their positive delta by shorting shares).
- GEX works differently for inverse and volatility ETPs (e.g. SPXU, VIX, VXX) since investors increasingly buy calls and/or sell puts, making the above GEX calculations less relevant.