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, based on a 1% move of the underlying security using gamma and open interest.
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.
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)
The 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.
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.
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.
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.
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.
Options information is delayed a minimum of 15 minutes, and is updated at least once every 15-minutes through-out the day. The page starts updating for the new trading day at approximately 8:55a CT.
Note:Â 0DTE Friday option expirations are removed from the website at 7:45pm ET each Friday.
