SPX gamma exposure (GEX) — dealer gamma, vanna, charm and the zero-gamma flip, live from the options tape

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playback

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regime

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volume

zero γcall wallput wallnet $Bnto zγ—————

open interest

zero γcall wallput wallnet allto zγ—————

measured

zero γcall wallput wallnet /ptto zγ—————

max change gex$M · at strike

expiring today

–

expected move

marketours——

realised / implied1.0 = as priced

15m—
30m—
60m—
01.02
ATM IVΔ IV 30m——

price

spotsession ΔVWAPσ vwap————

skew

25Δ skewrank today——

flow by strike

waiting for frames

dealer book

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thinpacked
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inventoryvegacharm———

candle rule · experiment

book state

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