Gamma wall
A gamma wall is a strike where modeled gamma exposure is concentrated, on either side of spot, as opposed to a strike selected by raw open interest. Because gamma weights each contract by how quickly its delta changes, a gamma wall can sit at a different strike from the largest open-interest strike and can shift as spot, volatility and time change.
Senzoukria · Glossary · Updated September 2026
Gamma-weighted, not contract-counted
Open interest measures how many contracts exist at a strike. Gamma exposure multiplies each contract by its gamma, a multiplier and a position sign. A far out-of-the-money strike can hold many contracts with almost no gamma, while a near-the-money strike with fewer contracts carries far more. A gamma wall is the strike where that weighted total is largest under the chosen expiry scope and sign convention. The word wall is a metaphor for concentration; nothing is resting in the futures book at that price because of it.
Absolute versus signed
- Absolute gamma wall: the strike with the largest magnitude of exposure regardless of sign. Useful for locating where hedging activity per unit move would be greatest.
- Signed gamma wall: the strike with the largest positive or largest negative net exposure under the dealer positioning assumption. The sign decides whether the modeled hedge leans against or with the move at that strike.
- Call wall and put wall are the signed, one-sided cases: the dominant call strike above spot and the dominant put strike below spot.
Gamma wall versus zero gamma
A wall locates a concentration on the strike axis. Zero gamma solves a different problem: where the net exposure curve crosses zero as hypothetical spot varies. The largest gamma strike is rarely the flip, and the flip is rarely a listed strike. Confusing the two produces levels drawn for the wrong reason. Near expiry, gamma concentrates at the money, so the gamma wall tends to migrate toward spot while the flip may not move the same way.
In Senzoukria
The GEX module presents gamma walls through its two one-sided levels, Call Wall and Put Wall, drawn on the chart and listed on the Overview, and through the Net GEX by strike page where each strike's Net, Calls and Puts contributions are shown with the strike's OI and its distance from spot. The Gamma profile by price page turns the same exposures into a profile along the price axis, and the Gamma surface page shows the concentration across every strike and expiry at once, with Positive gamma and Negative gamma legends. The Expiry scope and 0DTE handling settings in Calculation assumptions change which strikes dominate, and the module recomputes the walls under varied settings to show a sensitivity band rather than a single unqualified number.
Common mistakes
- Relabelling an open-interest concentration as a gamma wall.
- Expecting a gamma wall to hold because it is large; magnitude describes potential hedge size, not a guarantee.
- Comparing gamma walls from providers that use different expiry scopes or sign conventions.
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Frequently asked questions
- How is a gamma wall different from a call wall or put wall?
- Call wall and put wall are the one-sided versions: the dominant call strike above spot and the dominant put strike below. Gamma wall is the general term for any strike where modeled gamma concentrates, and can refer to the largest absolute exposure on either side. All three depend on the metric, expiry scope and positioning convention used.
- Why does a gamma wall move during the day?
- Gamma depends on spot, implied volatility and time to expiry, so the weighted ranking of strikes changes even while open interest stays fixed until the next daily publication. On expiry days the at-the-money strikes gain gamma quickly and the wall can jump between strikes as price moves.