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Trading Volatility: GEX Dashboard

GEX Dashboard

Notes on Gamma Exposure (GEX):
- "GEX($ per 1% move)" is given as "Naive GEX", meaning that it is calculated under assumptions that Market Makers are buying calls and selling puts.
- The accuracy of GEX on a given security depends on the validity of the base GEX assumptions, specifically whether investors are selling calls and buying puts.
- Depending on a stock's option Skew, the "Skew Adjusted GEX" (SA-GEX) will change to reflect estimated MM exposure. This is common in stocks which have outsized speculative call buying (this can often be seen via a large Call-Put Delta Spread).
- Positive Skew Adjusted 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 Skew Adjusted GEX: Daily movement accentuated as Market Makers re-hedge by buying as stock price rises, and adding to their short as stock price falls.
        (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 suppressed (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 Skew Adjusted Gamma Exposure from positive to negative or vice-versa. Generally, a change to negative SA-GEX (Code 2) makes for more volatile stock price movemes, while a change to positive SA-GEX (Code 1) is makes for less volatility in the stock price. Code -1 indicates a new symbol has been added to the database.

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 when investors increasingly buy calls and/or sell puts, as is often seen in inverse ETPs, VIX, VXX, and speculative assets. When this happens, the Naive GEX values above need to have their polarities reversed since the composition of investor option buying/selling given in the GEX assumptions has become largely inversed.