Gamma Exposure (GEX) Calculation Info and Terms

• GEX is now provided in terms of $ per 1% move, with resepect to Market Maker's exposure.
• Previously we provided a "Naive GEX" and "Skew Adjusted GEX" (SA-GEX). As of May 15, 2025 we have updated our GEX models so that only one model is required.
• Our model utilizes several skew measurements to adjust the estimated MM exposure.
• 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 and this blog post.)

GEX Data Table Details:

• Our data looks at all options with less than 94 days to expiration.
• GEX is expressed as "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.

Other GEX Notes:

• "Naive GEX" calculations assume 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). We no longer track this because it is of limited use.
• Stocks under $5 generally have widely spaced option strikes relative to trade price (in percentage terms), which makes them prone to a larger margin of error in the GEX calculations. These stocks are generally best avoided.

Data Download notes: There is a "Rating" column in the csv sheets when you download historical data. Below is the code:
1 = "Bearish" - A Downward trend is in effect.
2 = "Wait" - Transitional setups, usually occurs when a stock is attempting a bottom
3 = "Avoid" - Lacks strong direciton.
4 = "Hold" - While in an upward trend, a consolidation period of lower prices is likely.
5 = "Bullish" - A Upwnward trend is in effect.