Gamma profile by price

A gamma profile by price is the curve of modelled net gamma exposure evaluated at a range of hypothetical underlying prices, not only at today's spot. It shows what the exposure would become if price moved, and its zero crossing is the price where the modelled sign flips.

Senzoukria · Glossary · Updated September 2026

Why a profile, not a single number

Total GEX at spot is one point. Because option gamma depends on moneyness, the same chain produces a different total at every other price. The profile draws that dependence: for each hypothetical price the chain is repriced, each leg's gamma is recomputed with the same volatility and time convention, and the signed exposures are summed.

This is a different computation from the cumulative sum of net GEX by strike. The strike chart adds fixed per-strike values from the lowest strike upward and finds where the running sum crosses zero; the profile revalues every leg as price moves. The two can place the flip at different prices, and a dashboard that shows both should say which one it uses.

How to read the curve

  • The value at spot is today's modelled exposure, in the same units as the strike chart.
  • Peaks and troughs are prices where exposure would be most positive or most negative if price reached them; they are not resting orders.
  • The zero crossing, when one exists in the evaluated range, is the modelled flip. A curve can have several crossings, touch zero without crossing, or stay on one side of zero throughout the range.
  • The slope near spot indicates how quickly the modelled hedging pressure changes with price; a steep curve means small moves change the picture.

What travels with the curve

The profile inherits every assumption of the underlying GEX calculation: the dealer sign, the expiry scope, the 0DTE handling and the pricing model. Change any one and the curve moves. It also inherits the age of open interest, which is published once a day, so an intraday profile reflects today's spot and time applied to yesterday's positions.

In Senzoukria

The By price page of the GEX workspace carries the panel titled Gamma profile by price. It reports the flip price when one exists in range, the exposure at spot, and the peak and trough prices. A dashed ghost line can show the same curve at an earlier time on today's price scale, so the drift of the profile through the session is visible.

The panel states how many option legs were rescaled and how many were skipped for missing volatility or time. When too few legs remain, it says the curve is too thin to lean on; when the chain returns no implied volatility, it says the curve cannot be rebuilt. It never draws a smooth curve over missing inputs. The profile is available only with an options source configured.

Common mistakes

  • Reading a peak as support or resistance. It is a modelled hedging quantity, not a price where orders rest.
  • Confusing the profile flip with the cumulative-strike flip and averaging the two.
  • Comparing a profile built on all expiries with one built on the nearest expiry only.

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Frequently asked questions

What is the difference between the gamma profile and GEX by strike?
GEX by strike attributes today's modelled exposure to each strike and stays fixed until the next snapshot. The gamma profile asks what total exposure would be at every hypothetical price, repricing each option with the same volatility and time assumptions. The strike chart tells you where exposure sits; the profile tells you how it would change if price moved.
Why does the gamma profile show no flip?
Either the curve stays on one side of zero across the evaluated range, or it touches zero without crossing. Both are legitimate outputs of a chain whose exposure is dominated by one sign. A dashboard that always prints a flip is choosing a root by some rule it should disclose.
Does the gamma profile change during the day?
Yes, because spot and time to expiry change even when open interest does not. The curve shifts as options approach expiry and as spot moves through strikes. The positions themselves are refreshed only when open interest is republished after the close.

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