Gamma exposure (GEX)

Gamma exposure (GEX) is an estimate of how much the delta of outstanding options positions changes when the underlying moves, obtained by scaling each option's gamma by position size and summing across strikes. A dealer GEX model adds an assumption about who holds those positions, and the result is a modelled level, not an observation of orders.

Senzoukria · Glossary · Updated September 2026

How it is computed

Each option has a gamma: the rate at which its delta changes per unit move of the underlying. Multiplying that gamma by the number of contracts and the contract multiplier gives the change in delta-equivalent exposure for the position. One common dollar convention for a one-percent move is the signed gamma times contracts times multiplier times spot squared times 0.01, summed over every option in scope.

The sign is the difficult part. Open interest counts outstanding contracts without saying which side a dealer holds, so a model has to assume it. Treating calls as dealer-short and puts as dealer-long, or the reverse, is a positioning assumption, not a measurement, and two defensible pricing models on the same chain place the resulting levels a few points apart.

  • Inputs: strike, expiry, open interest, implied volatility, spot, multiplier and a position-sign assumption.
  • Open interest is published once a day after the close; intraday the number moves with spot and time, not with new positions.
  • Units matter: dollar gamma per one-dollar move and per one-percent move are different figures.

How to read it

  • Under a delta-hedging assumption, a book that is long gamma sells after a rise and buys after a fall, which tends to hold moves in; a short-gamma book hedges with the move.
  • The zero-gamma level is where the modelled curve crosses zero; there can be several crossings or none.
  • Call walls and put walls are the strikes where one side dominates, above and below spot.
  • A level tells you where to look; whether anything happens there is what the tape shows. A footprint cannot identify a print as a dealer hedge.

In Senzoukria

The GEX module of the desktop application shows the levels Zero Gamma, Call Wall and Put Wall, a 'Gamma profile by price', a 'Gamma surface' and a 'Gamma through the session' view, with 'Spot at {time}' recorded next to each snapshot. Its assumptions panel opens with the sentence that gamma exposure is published by nobody and is computed, and lets you choose the dealer positioning ('Dealers short gamma (clients own the options)' or the reverse), the expiry scope, whether same-day expiries are included, and the pricing model. A sensitivity band shows how far the key levels move when those choices vary; it is described as a sensitivity, not a confidence interval.

The module is conditional on an options data source being configured. A futures feed alone cannot produce gamma exposure, and the levels are quoted on the options underlying rather than on the futures contract.

Common mistakes

  • Reading a positive total as a guarantee of a range, or a negative one as a guarantee of a trend.
  • Describing a level as live while it rests on yesterday's open interest.
  • Placing an SPX level directly on an ES chart without the basis.
  • Attributing a large print near a gamma level to dealer hedging because of its location alone.

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Frequently asked questions

Is GEX published by the exchange?
No. Exchanges publish option prices, open interest and, indirectly, implied volatility. Gamma exposure is computed from those inputs by whoever builds the model, using a pricing model and a positioning assumption they choose. Two providers can show different levels from the same chain.
How often does gamma exposure update?
The open-interest input is generally an end-of-day figure, while spot and implied volatility move all day. Intraday updates therefore reflect price and time acting on yesterday's positions, not the positions traded today. Record the timestamp of both inputs next to any level you use.
Does GEX work on ES and NQ futures?
It is computed on an options underlying such as SPX, SPY, NDX or QQQ, not on the futures contract. Placing it on a futures chart requires adding the futures basis and, for ETF-derived levels, scaling to index points, then rounding to the tick. The guide on GEX for ES and NQ walks through that transposition.

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