Dealer gamma exposure: where hedging may dampen or amplify a move

When you buy an option, someone sells it to you, and that someone is usually a market maker who has no view on the stock. To stay flat, the dealer hedges the option's delta in the underlying. But delta is not fixed: as spot moves, the option's delta moves too. Gamma is the rate at which delta changes, and therefore the rate at which the dealer has to keep re-trading the underlying just to stay hedged.

Gamma exposure, or GEX, aggregates that obligation. For every strike and every expiry, take the open interest, take the contract's gamma, scale it by the contract multiplier and by spot, and sign it by the side of the trade dealers are assumed to be holding. Sum the lot and you have a single number. Gambit reports it as signed dollar gamma per 1% move in the underlying, a positive figure meaning the complex is modelled as long gamma. It is an estimate built on public open interest and an assumption about which side dealers hold, not a disclosure of anyone's book.

That number is not a forecast of direction. It is a statement about mechanics: about who is obliged to trade, in which direction, when price moves. Which is why it so often explains a session that otherwise looks like it had no reason.

Modelled gamma changes through the session because spot moves, option prices move and time to expiry shortens. The open-interest input does not move with it. Official open interest is reconciled and published daily, so an intraday profile is built on the latest published figures rather than on contracts as they trade. Gambit labels the source and its delay on the desk.

That matters most on a heavy 0DTE day, when the positioning being opened and closed during the session is exactly the positioning the published figure has not caught up with yet.

The sign of modelled aggregate gamma is what decides which way hedging leans, if the model's assumptions hold. Under them, long dealer gamma implies countercyclical hedging and short dealer gamma procyclical hedging. Dealers need not hedge every position, need not hedge fully, and public open interest does not say who owns which side, so treat the sign as a tendency rather than a mechanism that must fire.

The gamma flip, or the zero-gamma level, is the price where aggregate dealer gamma crosses from positive to negative. Under the model, hedging above it leans countercyclical and below it leans procyclical. It is the one level on the chart that marks a change in the character of the tape rather than a change in price, and it moves as open interest changes.

The call wall is the strike above spot with the heaviest call gamma. While dealers are long gamma there, rallies into it meet selling from hedges being trimmed, so it tends to cap. The put wall is its mirror below spot: the heaviest put gamma, where hedging tends to support. Neither is a law. Both are concentrations of obligation that dissolve the moment the open interest behind them expires or rolls.

Max pain, shown alongside them, is the strike at which the aggregate value of open options at expiry is smallest. It is a much weaker signal than the walls, an artefact of the open interest distribution rather than a hedging obligation, and it is worth watching mainly as expiry approaches, when the gamma concentrated around it is largest.

An option expiring today has enormous gamma within a couple of points of spot and effectively none outside that band, and that concentration sharpens as the close approaches. Same-day expiries therefore do two things that longer-dated open interest does not: they can dominate the near-the-money profile in the afternoon, and they can move the flip point during the session while nothing else about positioning has changed.

The practical consequence: a single net GEX number read at the open is stale by lunchtime. A 0DTE-heavy profile has to be read with its expiry breakdown, which is why Gambit stacks the strike profile by expiry rather than collapsing it into one bar, and why the desk offers 7-day, 30-day and 90-day horizons instead of a single window.

GEX lives on the g key in Gambit Terminal, alongside the option prints tape. Pick any ticker, or any name already on your watchlist, and the desk resolves the whole picture at once: net GEX in dollars, the regime it implies, the gamma flip level, the call and put walls, max pain, 30-day implied volatility, the contract count behind the estimate, and spot. Then comes the strike profile beneath, stacked by expiry, with spot and the flip drawn on it, and a curve of net GEX against price ±15% so you can see how the regime changes if the market moves.

Read that capture the way the Gambit GEX desk intends. NVDA is trading at 224.50 with the flip at 202.23, so the tape is a long way inside the positive-gamma regime: hedging flow is leaning against moves, and the strike profile is dominated by green call gamma stacked just above spot. The call wall at 225.00 sits directly overhead, the strike a rally would have to chew through, and the put wall at 215.00 is the first shelf beneath. The net GEX curve on the right shows the whole shape: comfortably positive here, rolling over toward zero only if price falls back toward the flip. Every one of those numbers is a snapshot from 10 August 2026, held here as an illustration; the live values are one keystroke away in the terminal.

Beside GEX sits OPTION PRINTS, the trade tape itself: the blocks and sweeps that create tomorrow's open interest, and therefore tomorrow's gamma profile. The two desks answer different halves of the same question: where the hedging is, and what is being added to it right now.

GEX is not a position report. No one outside a dealer knows the dealer's book. Every GEX figure published anywhere rests on a convention about which side of each contract dealers hold. It is a model, and it is stated as one.

GEX is not a price target. A call wall is not a ceiling that has to hold; a flip point is not a level that has to break. They are concentrations of hedging obligation, and obligations get repositioned.

GEX is not the whole flow. Index hedging, vanna and charm effects, and single-stock flow that never touches the listed market all move the tape without appearing in an open-interest snapshot.

GEX goes stale. Open interest updates once a day; 0DTE gamma changes hour by hour. What makes GEX useful is reading it as a live, decaying surface, not as a number to write down in the morning.

Gamma tells you how the tape behaves; the rest of the desks tell you what is priced into the names you follow.