Gamma Exposure
Reading the option chains for about 50 symbols. After a quiet spell this takes up to half a minute; then it's kept for ten.
Reading the option chains for about 50 symbols. After a quiet spell this takes up to half a minute; then it's kept for ten.
Every symbol scanned, the most negative Hedge / 1% first. SPX trades no volume of its own, so it comes last.
Levels map:put wallflipcall wallprice
| Price | Levels ±10% | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| 273.99 | +1.11% | −$2.36B | −38.5% | 286.2 +4.5% | 270 −1.5% | 285 +4.0% | Nov 9 5% of the gamma | ||
| 738.66 | +0.77% | −$9.93B | −31.7% | 765.8 +3.7% | 740 +0.2% | 750 +1.5% | Nov 9 7% of the gamma | ||
| 659.01 | +1.85% | −$2.90B | −11.9% | 693.6 +5.2% | 650 −1.4% | 670 +1.7% | Nov 9 8% of the gamma | ||
| 72.33 | +0.02% | −$120.3M | −11.8% | 76.8 +6.2% | 70 −3.2% | 73 +0.9% | Nov 13 13% of the gamma | ||
| 464.07 | +3.65% | −$383.1M | −10.4% | 529.5 +14.1% | 445 −4.1% | 500 +7.7% | Nov 9 2% of the gamma | ||
| 59.46 | +2.43% | −$105.1M | −8.7% | 63.72 +7.2% | 57 −4.1% | 65 +9.3% | Nov 13 3% of the gamma | ||
| 514.37 | +0.00% | −$119.5M | −6.8% | 521.9 +1.5% | 515 +0.1% | 530 +3.0% | Nov 13 32% of the gamma | ||
| 61.83 | +0.32% | −$111.4M | −5.6% | 66.17 +7.0% | 60 −3.0% | 65 +5.1% | Nov 9 0% of the gamma | ||
| 75.24 | +2.86% | −$17.1M | −4.7% | — | 80 +6.3% | 80 +6.3% | Nov 13 12% of the gamma | ||
| 293.04 | +0.51% | −$128.9M | −1.9% | 333 +13.6% | 300 +2.4% | 320 +9.2% | Nov 9 4% of the gamma | ||
| 57.47 | −0.06% | −$32.2M | −1.7% | 57.91 +0.8% | 54 −6.0% | 56 −2.6% | Nov 9 1% of the gamma | ||
| 173.62 | +4.20% | −$14.1M | −1.6% | — | 190 +9.4% | 170 −2.1% | Nov 13 14% of the gamma | ||
| 373.32 | −0.58% | −$54.8M | −1.5% | 374.8 +0.4% | 345 −7.6% | 380 +1.8% | Nov 9 4% of the gamma | ||
| 115.42 | +0.21% | −$50.9M | −1.3% | 130.2 +12.8% | 105 −9.0% | 130 +12.6% | Nov 13 13% of the gamma | ||
| 174.20 | +0.99% | −$15.9M | −1.2% | 177.2 +1.7% | 165 −5.3% | 180 +3.3% | Nov 13 12% of the gamma | ||
| 63.90 | −2.52% | −$25.7M | −1.1% | 65.9 +3.1% | 60 −6.1% | 64 +0.2% | Nov 13 13% of the gamma | ||
| 49.88 | +0.23% | −$16.7M | −0.9% | 51.4 +3.1% | 50 +0.3% | 55 +10.3% | Nov 13 11% of the gamma | ||
| 692.75 | +5.55% | −$172.1M | −0.9% | 788.9 +13.9% | 650 −6.2% | 700 +1.0% | Nov 9 1% of the gamma | ||
| 133.92 | −2.12% | −$11.1M | −0.9% | 149.6 +11.7% | 140 +4.5% | 140 +4.5% | Nov 13 19% of the gamma | ||
| 446.31 | +10.37% | −$69.5M | −0.7% | 477.9 +7.1% | 440 −1.4% | 500 +12.0% | Nov 9 5% of the gamma | ||
| 79.88 | +1.90% | −$9.8M | −0.6% | 85.57 +7.1% | 80 +0.2% | 85 +6.4% | Nov 13 24% of the gamma | ||
| 187.49 | +3.24% | −$98.4M | −0.5% | 192.5 +2.7% | 190 +1.3% | 200 +6.7% | Nov 9 4% of the gamma | ||
| 68.95 | +0.26% | −$5.5M | −0.4% | 69.75 +1.2% | 65 −5.7% | 70 +1.5% | Nov 13 13% of the gamma | ||
| 286.40 | +1.37% | −$31.2M | −0.4% | 289 +0.9% | 290 +1.3% | 300 +4.7% | Nov 9 6% of the gamma | ||
| 133.40 | +7.89% | −$42.0M | −0.3% | 138.7 +4.0% | 130 −2.5% | 145 +8.7% | Nov 9 6% of the gamma | ||
| 160.55 | +3.58% | −$12.8M | −0.3% | 165 +2.8% | 160 −0.3% | 165 +2.8% | Nov 13 20% of the gamma | ||
| 127.70 | −1.24% | −$8.1M | −0.3% | 132.9 +4.1% | 110 −13.9% | 135 +5.7% | Nov 13 21% of the gamma | ||
| 21.61 | +19.80% | −$579.1K | −0.1% | 22.46 +4.0% | 20 −7.5% | 20 −7.5% | Nov 13 21% of the gamma | ||
| 28.37 | +4.76% | +$229.0K | 0.0% | 28.19 −0.6% | 30 +5.8% | 30 +5.8% | Nov 13 18% of the gamma | ||
| 360.04 | +4.75% | +$2.6M | 0.0% | 359.7 −0.1% | 350 −2.8% | 400 +11.1% | Nov 9 9% of the gamma | ||
| 1.46 | +7.41% | +$35.5K | 0.0% | — | 1.5 +3.1% | 1.5 +3.1% | Nov 13 16% of the gamma | ||
| 57.14 | +9.34% | +$7.1M | +0.1% | 53.6 −6.2% | 55 −3.7% | 60 +5.0% | Nov 13 17% of the gamma | ||
| 6.24 | +12.31% | +$482.0K | +0.2% | — | 7 +12.2% | 7 +12.2% | Nov 13 16% of the gamma | ||
| 19.31 | −1.28% | +$1.0M | +0.2% | 17.4 −9.9% | 20 +3.6% | 20 +3.6% | Nov 13 2% of the gamma | ||
| 395.18 | −0.14% | +$7.4M | +0.4% | 392.5 −0.7% | 400 +1.2% | 400 +1.2% | Nov 13 15% of the gamma | ||
| 11.14 | +10.47% | +$1.5M | +0.4% | 10.37 −6.9% | 11 −1.3% | 12 +7.7% | Nov 13 6% of the gamma | ||
| 16.18 | +0.87% | +$4.9M | +0.6% | 15.49 −4.2% | 14 −13.4% | 17 +5.1% | Nov 13 17% of the gamma | ||
| 617.89 | +2.12% | +$82.3M | +0.6% | 608.8 −1.5% | 600 −2.9% | 650 +5.2% | Nov 9 6% of the gamma | ||
| 337.26 | −0.02% | +$18.6M | +0.8% | 334.7 −0.8% | 330 −2.2% | 350 +3.8% | Nov 13 13% of the gamma | ||
| 47.03 | +0.22% | +$7.9M | +1.0% | 46.38 −1.4% | 45 −4.3% | 50 +6.3% | Nov 9 6% of the gamma | ||
| 165.95 | +0.40% | +$30.8M | +1.4% | 159.1 −4.1% | 145 −12.6% | 170 +2.4% | Nov 13 11% of the gamma | ||
| 109.17 | +1.01% | +$19.8M | +1.8% | 104.3 −4.5% | 100 −8.4% | 120 +9.9% | Nov 13 16% of the gamma | ||
| 344.59 | +0.12% | +$303.3M | +2.1% | 337 −2.2% | 340 −1.3% | 350 +1.6% | Nov 9 9% of the gamma | ||
| 1,365.87 | +0.07% | +$82.2M | +2.4% | 1,289 −5.6% | 1,300 −4.8% | 1,440 +5.4% | Nov 13 19% of the gamma | ||
| 125.80 | −1.49% | +$79.1M | +2.6% | — | 125 −0.6% | 125 −0.6% | Nov 13 21% of the gamma | ||
| 117.39 | +0.15% | +$26.4M | +2.7% | 104.5 −11.0% | 110 −6.3% | 120 +2.2% | Nov 13 13% of the gamma | ||
| 262.45 | +0.85% | +$355.3M | +3.5% | 244.7 −6.8% | 250 −4.7% | 270 +2.9% | Nov 9 7% of the gamma | ||
| 533.93 | −0.37% | +$1.04B | +8.4% | 474.4 −11.1% | 500 −6.4% | 575 +7.7% | Nov 9 3% of the gamma | ||
| 82.03 | +0.12% | +$801.2M | +24.7% | 79.95 −2.5% | 82 0.0% | 83 +1.2% | Nov 9 9% of the gamma | ||
| 7,406.02 | +0.71% | −$26.96B | — | 7,632 +3.1% | 7,400 −0.1% | 7,500 +1.3% | Nov 9 22% of the gamma |
Black-Scholes gamma per 1% move on open interest over the expiries within 45 days (the next eight at most), assuming dealers are long the calls and short the puts, as on the options page and the bot's lgf gex. The flip is where total gamma changes sign nearest the price, within ±15%; the walls are the strikes with the most call and put gamma in that range. Hedge / 1% sets net gamma against a normal day's dollar volume, so a small stock and SPY can be compared. Open interest updates once a day; prices and IVs are delayed. An estimate, not dealers' actual books. This scan: 14:11 ET, rescanned every 10 minutes.
SPY OMON has the chain, the smile and the term structure.