Gamma Exposure (GEX) also known as Gamma Levels, measures the change in delta exposure for options based on changes in the underlying price.
Gamma exposure highlights important price levels where there is significant gamma based on market positioning and open interest. These elevated values reflect where market-makers may need to hedge to mitigate their risk, offering important levels of support and resistance.
By default, gamma exposure levels are calculated on 4 nearby expirations (the first 2 weeklies and the first 2 monthlies), based on a 1% move of the underlying security using gamma and open interest.
Gamma Exposure data is based on the consolidated OPRA feed.
Gamma exposure is calculated and updated throughout the day. Current gamma values, volume, and open interest can be found in the Volatilities & Greeks page for the security. For more information, watch these videos:
Unlock the Power of Gamma Exposure to Boost Your Options Trading
Options Trading Secrets: Supercharge Gains with Gamma Exposure
Gamma Trading Secrets: Transform the Way You Trade Options
Customizing the GEX Charts
Using the drop-downs above the chart, you may customize the display, including:
- Expiration Dates
- the number of strikes to consider
- based on 1% Move or 1 Point Move
- Volume or Open Interest
- Intraday or End-of-Day. "Intraday" uses the latest available data to calculate the gamma bars. "End-of-Day" uses data as off the end of the latest session.
- Gamma or Delta Exposure
- a checkbox that determines whether Expected Move is added to the chart.
When you've made your chart selections, click "Show Chart." Your chart setup is saved for the next time you load the page. Note: your saved preferences will filter out any expiration dates that no longer exist (or are not available for the current symbol.)
Flip Point and Call/Put Wall
The gamma flip point, and call and put wall, are based on aggregate gamma exposure across all contracts. They are calculated using open interest, on a 1% move, using end-of-day data, updated at approximately 8:30pm ET for the next trading day.
Gamma
Market makers, who provide liquidity to the markets, will need to react to either high or low gamma exposure levels to hedge their books and mitigate their risks to remain delta neutral.
GEX theory suggests the underlying will tend to gravitate towards the call strikes with the highest gamma exposure, which can act as a supply zone or resistance point with many participants wanting to sell. Similarly, if there are put strikes with high exposure, they will act as a demand zone or support point, with many participants aiming to buy at those prices. Often, prices will stay within these zones based on the willingness of market participants to trade at these prices. Higher gamma exposure levels imply that options will move faster in response to a change in the underlying spot price, which increases the risk for options sellers.
A positive GEX, or long gamma position, implies that market-makers will hedge their positions, resulting in low overall volatility by buying when the market drops and selling when the market rises. Positive Gamma is highlighted in green on the chart. When price is above the gamma flip point, dealers are considered net long gamma (often from calls), which means they will buy as prices fall and sell as prices rise, stabilizing the market and lowering volatility. This creates support for the market on the downside, and allows the market to move gradually upwards.
A negative GEX, or short gamma position, implies higher volatility as the market marker will need to sell when the market drops and buy when the market rises. Negative Gamma is highlighted in red on the chart. When price is below the gamma flip point, dealers are considered net short gamma (often from puts), which means they will sell as prices fall and buy as prices rise, amplifying price swings and increasing volatility. This can create resistance for the market on the upside, and lead to accelerated moves to the downside.
Gamma exposure is calculated and updated throughout the day. Current gamma values, volume, and open interest can also be found in the Volatilities & Greeks page for the security.
Gamma exposure levels are always positive for call options and negative for put options. They are generally the highest around the price of the underlying and when the option contract is closer to expiration. By default Barchart features the two nearest Weekly and Monthly options contracts which can be modified through the Expiration Dates Selected box at the top of the charts.
To calculate the total option's change in delta based on a 1% move:
Option's Gamma * Open Interest * Spot Price * Spot Price
To calculate the total option’s change in delta per 1 point move:
Option's Gamma * 100 * Open Interest * Spot Price * (-1 if puts)
Charts
Gamma Exposure (GEX) by Strike highlights strike prices across expiration dates with the highest gamma exposure. Net gamma exposure reflects the difference in call gamma and put gamma for the strike across the selected expiration dates.
Total Gamma Exposure (GEX) reflects the total of call gamma and put gamma across all strike prices and expiration dates selected. A positive gamma implies more buying pressure with lower volatility. A negative gamma implies more selling pressure, which can lead to higher volatility and more price movements.
Above the chart, we provide the following information:
- Latest Earnings:The next reported earnings date, or the latest earnings date as reported by the company (if no future date has been released). Stocks whose Next Earnings Date falls within the next 28 days are highlighted in red. In addition, we indicate whether earnings are released Before Market Open (BMO), After Market Close (AMC), and in the case where no time is announced, you will see this labeled as (--).
- Implied Volatility: The average implied volatility (IV) of the nearest monthly options contract that is 30-days out or more. IV is a forward looking prediction of the likelihood of price change of the underlying asset, with a higher IV signifying that the market expects significant price movement, and a lower IV signifying the market expects the underlying asset price to remain within the current trading range.
- Historic Volatility: The average deviation from the average price over the last 30 days. Historical Volatility is a measurement of how fast the underlying security has been changing in price back in time.
- IV Rank: The current IV compared to the highest and lowest values over the past 1-year. If IV Rank is 100% this means the IV is at its highest level over the past 1-year, and can signify the market is overbought.
- IV Percentile: The percentage of days with IV closing below the current IV value over the prior 1-year. A high IV Percentile means the current IV is at a higher level than for most of the past year. This would occur after a period of significant price movement, and a high IV Percentile can often predict a coming market reversal in price.
Barchart Premier members have the option to download the data to a .csv file.
The page starts updating for the new trading day at approximately 9:50a.m. ET. Options information is delayed approximately 25 to 30 minutes, and is updated approximately every 5-minutes through-out the trading day.
Note: Expired options are removed from the website Monday - Friday at 7:45pm ET.
Options Overview
Highlights important summary options statistics to provide a forward looking indication of investors' sentiment.
- Implied Volatility: The average implied volatility (IV) of the nearest monthly options contract that is 30-days or more out. IV is a forward looking prediction of the likelihood of price change of the underlying asset, with a higher IV signifying that the market expects significant price movement, and a lower IV signifying the market expects the underlying asset price to remain within the current trading range.
- 30-Day Historical Volatility: The average deviation from the average price over the last 30 days. Historical Volatility is a measurement of how fast the underlying security has been changing in price back in time.
- IV Percentile: The percentage of days with IV closing below the current IV value over the prior 1-year. A high IV Percentile means the current IV is at a higher level than for most of the past year. This would occur after a period of significant price movement, and a high IV Percentile can often predict a coming market reversal in price.
- IV Rank: The current IV compared to the highest and lowest values over the past 1-year. If IV Rank is 100% this means the IV is at its highest level over the past 1-year, and can signify the market is overbought.
- IV High: The highest IV reading over the past 1-year and date it happened.
- IV Low: The lowest IV reading over the past 1-year and date it happened.
- Expected Move: The Expected Move and Percent Expected Move, based on the nearby ATM Options Series.
- Put/Call Vol Ratio: The total Put/Call volume ratio for all option contracts (across all expiration dates). A high put/call ratio can signify the market is oversold as more traders are buying puts rather than calls, and a low put/call ratio can signify the market is overbought as more traders are buying calls rather than puts.
- Today's Volume: The total volume for all option contracts (across all expiration dates) traded during the current session.
- Volume Avg (30-Day): The average volume for all option contracts (across all expiration dates) for the last 30-days.
- Put/Call OI Ratio: The put/call open interest ratio for all options contracts (across all expiration dates).
- Today's Open Interest: The total open interest for all option contracts (across all expiration dates).
- Open Int (30-Day): The average total open interest for all option contracts (across all expiration dates) for the last 30 days.
- Expected Range: The lowest to highest expected move based on the nearby ATM Options Series.
