Zero gamma / gamma flip
The zero-gamma level is the underlying price at which a modeled net gamma-exposure curve equals zero, and a gamma flip is the case where that curve changes sign across the level. It separates the positive (dampened) and negative (amplified) regimes of a dealer GEX model and moves whenever the model's inputs or assumptions change.
Senzoukria · Glossary · Updated September 2026
Root of a curve, not a strike
Let G(S) be net gamma exposure evaluated at a hypothetical underlying price S, under stated units and a positioning convention. The zero-gamma level is a price where G(S) = 0. Calling it a flip adds the condition that the sign differs on each side. A curve can have several roots, can touch zero without crossing, or can have no root inside the range searched. The level is usually not a listed strike; it is interpolated between strikes where the running sum changes sign.
Two ways to compute it
- Static: keep each option's current gamma fixed and accumulate signed exposure from the lowest strike upward; the flip is where the cumulative sum crosses zero. Fast, but it ignores how gamma itself changes as spot moves.
- Revalued: reprice the whole chain at each hypothetical spot with an explicit volatility and time convention, aggregate, and refine the crossings. The zero-gamma guide on this site explains why holding gamma fixed while moving a spot marker is not the same computation, and the two methods can give different answers.
- Either way, the inputs are the underlying, the expiry scope, the multipliers, the observation time and the assumed long or short side of every position.
Why two dashboards show different flips
A 0DTE-only chain and an all-expiry chain are different portfolios. Open interest published after the previous close is stale against intraday trading. The volatility surface assumed for hypothetical prices changes the curve. SPX, SPY and ES have different scales and require a documented mapping before a level is drawn on a futures chart. Any one of these produces a different root, so a flip should always travel with its source, timestamp, scope and method.
In Senzoukria
The GEX module shows the flip in several places under one label. The regime panel reports Gamma flip at a price with Spot beside it, and the module header repeats it as a Flip figure next to Call wall, Put wall, Total GEX and 25Δ skew. The Gamma profile by price page reports a Flip price, or none in range when the curve has no root. The Net GEX by strike page has a Cumulative toggle whose hint reads that the running sum of net GEX from the lowest strike up crosses zero at the flip this chart sees, with a FLIP marker on the chart. The key-level overlay on the chart names it Zero Gamma. When the cumulative gamma never crosses zero in the selected scope, the module reports that condition rather than inventing a level, and the How firm the key levels are section shows a band for how far the flip moves as the expiry scope and 0DTE choice vary.
Common mistakes
- Treating the flip as a universal boundary between calm and trending markets.
- Using a flip as a standalone entry signal without recording the model timestamp and comparing the executed response.
- Transferring an SPX or SPY flip onto ES without the price mapping.
Related
- Zero gamma flip explained
- Positive gamma regime (dampened)
- Negative gamma regime (amplified)
- GEX module
This page in other languages
Frequently asked questions
- Is the zero gamma level the same as the gamma flip?
- Nearly, but not exactly. Zero gamma is any price where the net exposure curve equals zero; a flip is a zero where the sign changes across it. A curve can touch zero without flipping, and it can have more than one flip. Most dashboards report the crossing nearest to spot.
- Can the flip move during the day without new open interest?
- Yes. Open interest is published once a day, but gamma changes with spot, implied volatility and time, so the curve is repriced intraday and its root drifts. A change of settings, such as excluding 0DTE or reversing the dealer positioning convention, also moves it immediately.
- What should I check at the flip on a futures chart?
- Save the source, timestamp and level before price arrives. Then compare executed bid and ask volume, the price response and resting liquidity at the level on the footprint. A print near zero gamma is not evidence of dealer hedging, and a level failure should be logged with the same care as an apparent reaction.