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.
    - 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).
- "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 GEX on a given security depends on the validity of the base GEX assumptions, specifically whether investors are selling calls and buying puts.