GEX calculation and units
GEX calculation is the aggregation of option gamma across a chain, each leg scaled by a signed position, the contract multiplier and the underlying price, into a single exposure figure. The units depend on the convention chosen, most often dollar gamma per one percent move, and the sign depends on a positioning assumption that open interest alone cannot supply.
Senzoukria · Glossary · Updated September 2026
The formula, one leg at a time
For gamma expressed per unit of underlying price, a widely used convention estimates the change in delta-equivalent dollar exposure for a one percent move: GEX per 1% = sum over legs of (position sign × gamma × contracts × multiplier × spot² × 0.01). Each leg is one strike and expiry, call or put. Gamma comes from a pricing model applied to the leg's implied volatility, time to expiry, rate and dividend yield; it is not published by the exchange.
A worked illustration with invented inputs: a leg with gamma 0.02 per dollar, an assumed long position of one thousand contracts, a multiplier of one hundred and a spot of one hundred gives 0.02 × 1,000 × 100 × 100² × 0.01, or two hundred thousand dollars of exposure per one percent move. An identical short position reverses the sign. The figure is neither premium paid nor money entering the market.
Where the sign comes from
- Long calls and long puts both have positive gamma; short positions have negative gamma. Call or put type alone does not set the sign of exposure.
- Open interest counts contracts with a long and a short side and does not say which side a dealer holds. Assigning dealers short gamma on calls and long on puts, or any other pattern, is a modelling assumption.
- Two dashboards using opposite dealer-sign assumptions on the same chain produce mirror-image totals.
Units to keep separate
Totals quoted in billions only make sense once the convention is stated. Adjusted contracts with non-standard multipliers and mixed underlyings (SPX at 100 versus SPY at 100 with a different spot) further change the scale.
| Convention | Meaning | Scales with |
|---|---|---|
| Dollar gamma per 1% move | Change in delta-dollar exposure for a one percent move in spot | spot squared |
| Dollar gamma per $1 move | Change in delta-dollar exposure for a one dollar move | spot |
| Share or contract gamma | Change in delta in underlying units | neither |
In Senzoukria
The GEX workspace exposes the inputs of its calculation in a panel titled Calculation assumptions. Dealer positioning can be set to dealers short gamma or dealers long gamma; the expiry scope can be all listed expiries, the nearest expiry, expiries within a number of days or monthly expiries only; 0DTE can be included, excluded or isolated; the pricing model can be Black-Scholes, Black-76 or binomial; the risk-free rate and dividend yield are editable. The panel notes that gamma comes from the model, not from the exchange, and that two defensible models place the key levels a few points apart.
The same panel shows data freshness, with the chain snapshot time and the spot time, and reminds that open interest is published once a day after the close. Total GEX and the Net GEX by strike chart are recomputed when any assumption changes. All of this requires a configured options source.
Common mistakes
- Comparing a per-1% total with a per-$1 total.
- Reading open interest as a measured dealer position.
- Holding gamma constant for a large hypothetical move; Greeks must be recomputed.
- Presenting a figure built on yesterday's open interest as live positioning.
Related
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Frequently asked questions
- What are the units of GEX?
- It depends on the convention. The most common is dollar gamma per one percent move in the underlying, which scales with spot squared. Others quote dollar gamma per one dollar move, or gamma in underlying units without any dollar scaling. A total is meaningful only once its convention, multiplier and underlying are stated.
- Does the exchange publish gamma?
- No. Exchanges publish prices, volume and open interest. Gamma is the output of a pricing model applied to each option's implied volatility, time to expiry, rate and dividend assumptions. Two defensible models applied to the same chain produce different gammas and therefore slightly different exposure totals and levels.
- Why is dealer positioning an assumption?
- Because open interest records how many contracts exist, not who is long and who is short. Assigning dealers the short side of client-bought options is a common working assumption, but no public data set confirms it leg by leg. A GEX figure should therefore be read as conditional on the positioning rule that produced it.