TLT gamma exposure: flip, call wall, put wall
Dealer gamma by strike for iShares 20+ Year Treasury Bond ETF, from the option chain itself: two books, the level where net gamma changes sign, and the two strikes that carry the most. Expiries out to 45 days.
| expiry | flip | call | put | net |
|---|---|---|---|---|
| 2026-09-21 | 80.44 | 81.50 | 81.00 | +$22M |
| 2026-09-23 | 81.52 | 82.00 | 81.00 | -$4M |
| 2026-09-25 | 78.97 | 82.00 | 80.50 | +$130M |
| 2026-09-28 | 80.74 | 81.50 | 79.50 | +$1M |
| 2026-09-30 | 76.72 | 82.00 | 79.00 | +$26M |
| 2026-10-02 | 78.17 | 83.00 | 81.00 | +$16M |
an index or an ETF; the convention holds, the tape is thinner.
What this page assumes
- Calls count as dealer-long gamma and puts as dealer-short. That is a convention, not a measurement: open interest does not say who holds a contract.
- The volume book signs today's traded contracts. The open-interest book uses positions as of the last close and does not move inside the day.
- Spot is derived from the option quotes by put-call parity, so it can sit a few cents from the last trade in the underlying.
- TLT options are American style and the underlying may pay a dividend. Each expiry is priced off its own forward from put-call parity, and gamma is Black-Scholes on that forward. Deep in-the-money contracts near a dividend are the weak spot.
- Every figure is dollars of dealer delta per 1% move in TLT, the unit that compares across symbols.
- There is no tape-signed book on this page. That book exists only where a live engine runs.
Questions
Net dealer gamma on this book is positive, so hedging flows tend to lean against a move. It says nothing about direction.
Open interest is positioning as it stood at the last close. Volume is what traded today. When they disagree, that split is the reading.
No. We tested wall touches and flip crosses on SPX across more than a thousand sessions and found no edge that survives costs. These are measurements of where hedging concentrates.
SPX runs on a live engine: every second, with a third book signed print by print from the trade tape. This page is rebuilt from chain snapshots and carries the two conventional books only.