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Gamma Exposure Dashboard
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Below is a sample of our 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.
- A stock's Call Skew influences the
"Skew Adjusted GEX" (SA-GEX)
, which changes to reflect estimated MM exposure. A positive Call Skew is common in stocks which have outsized speculative call buying.
- 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(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.
-
"DPI EMA"
is the Normalized EMA of its Dark Pool Indicator
Other 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).
- The accuracy of Naive GEX on a given security depends on the validity of the base GEX assumptions, specifically whether investors are selling calls and buying puts.
- 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 and SA-GEX calculations. These stocks are generally best avoided.
Data Download notes: There is a "Gamma Form Code" column in the csv sheets when you download historical data. Below is the code:
1 = "Call Ladder"
2 = "Call Ladder- Wide"
3 = "Pinned"
4 = "Put Gravity"
5 = "Put Support"
6 = "Call Resistance"