GEX price profile: exposure at every price, not just today's
The price profile answers a question the by-strike chart cannot: what total dealer exposure becomes if the underlying moves. It rescales the exposure published by the backend across a ±8% window in 81 steps, and the price where the curve crosses zero is the flip this page reports.
Senzoukria · Documentation · Updated September 2026
Where to find it
- Where
- GEX workspace → By price page
- Window
- ±8% around spot, 81 evaluated prices — a step of about 0.2%
- Assumed inputs
- Risk-free rate 4%, dividend yield 0 — constants fixed in the module to match the connector, not adjustable on screen
- Ghost curve
- The earliest profile recorded this session, redrawn on today's price scale
What it does
An option's gamma is not a constant attached to its strike: it peaks when price reaches that strike and fades as price leaves it. Moving the underlying therefore redistributes the whole book, which is why a snapshot by strike cannot answer "and if we trade 1% higher?".
The curve is built by rescaling what the backend already produced, leg by leg, using the Black-Scholes gamma ratio between the hypothetical price and spot. Gamma is identical for a call and a put of the same strike, expiry and volatility, so the ratio applies to the net without splitting the legs, and the backend's sign convention passes through untouched. The exposure is not recomputed from scratch — two independent calculations would diverge at the first change of assumption.
Above the zero line the area is green and moves are held in; below it the area is red and moves are pushed. The crossing is the flip, interpolated between the two evaluated prices around it.
Computation parameters
| Parameter | Value | What it changes |
|---|---|---|
| Window width | ±8% of spot | Beyond that the chain has little open interest and the curve would be extrapolation |
| Evaluated prices | 81 | A step of roughly 0.2% across the window |
| Risk-free rate | 4% | Used in the gamma ratio, kept identical to the connector's constant |
| Dividend yield | 0 | Same reason: one constant, not two divergent ones |
| Relative gamma floor | 1e-6 of the largest at-spot gamma | Drops legs whose rescaling ratio would explode the curve |
What the panel reports
Beside the curve the page names the flip price, or "none in range" when the curve never changes sign within the window; the exposure at spot; and the peak and trough prices, the two places where dealer hedging weighs most in each direction.
It also counts the legs: how many were rescaled and how many were skipped for missing volatility or time. A curve resting on a handful of legs is labelled as too thin to lean on, and a chain that came back with no implied volatility at all is named as such rather than drawn flat.
Limits and pitfalls
The curve is a model output on top of a model output. It rescales the exposure the backend published, so it inherits that computation's sign convention, its expiry filtering and the greeks the provider supplied. It does not follow the toggles of the assumptions panel: dealer positioning and 0DTE handling are replayed for the key levels, not for this curve, and the rate and dividend used here are the module's own constants. Nothing in it is published by an exchange.
Legs are skipped when the chain carries no implied volatility, no usable time to expiry, or a gamma so small that dividing by it turns noise into a mountain — the relative floor exists because a rendering bench produced peaks in the quadrillions without it. The ghost curve is drawn on today's price scale, which makes the shape comparable and the absolute positions only approximately so.
Related pages
This page in other languages
Frequently asked questions
- Why is the flip here not the zero gamma level from the cards?
- The card carries the backend's level; this page reports the price at which the rescaled total exposure crosses zero. Both are flips, they are not the same measurement, and the workspace keeps them labelled apart.
- What is the dashed curve behind the main one?
- The earliest profile recorded in this session, replotted on today's price scale. One profile states a condition; two show the direction it is moving in.
- Why does the page say the curve is too thin?
- Too few legs survived rescaling — usually a chain returned without implied volatility, or with expiries carrying no usable time value. The count of used and skipped legs is printed under the chart.