Gamma exposure by symbol
The volume and open-interest books, the zero-gamma flip and the walls for 140 symbols, rebuilt from the option chain through the session, with the model's assumptions written on every page. The bar is net gamma against the symbol's own option turnover, so an index and a small stock sit on one scale. SPX also runs on a live engine in the terminal, every second, with a third book signed from the trade tape.
| future | price | flip | call wall | put wall | as of |
|---|---|---|---|---|---|
| ES E-mini S&P 500 | no reading right now | ||||
| NQ E-mini Nasdaq-100 · NQZ26 | 28,223.33 | 28,593.91 | 29,139.25 | 28,139.25 | 16:15 ET, close |
| RTY E-mini Russell 2000 · RTYZ26 | 2,820.20 | 2,851.48 | 2,859.10 | 2,819.10 | 16:15 ET, close |
ES, NQ and RTY are views, not option chains of their own: every SPX (NDX, RUT) level moved by the day's basis, measured from put-call parity on the index options, with no CME data. MES, MNQ and M2K trade at the same prices. ES · NQ · RTY
| symbol | class | spot | net gamma / own volume | net, per 1% | to flip | call wall | put wall | regime | trust | refresh | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| SPX S&P 500 index | index | 7555 | -2.51x | -$33.43B | 0.7% | 7700 | 7500 | below the flip | A | 1 s | |
| NDX Nasdaq-100 index | index | 28084 | -1.08x | -$986M | 1.3% | 28550 | 28000 | below the flip | B | 5 min | |
| DJX Dow Jones Industrial Average (1/100) | index | 520.2 | +0.92x | +$520K | -1.8% | 520 | 530 | walls crossed | B | 5 min | |
| RUT Russell 2000 index | index | 2811 | -0.58x | -$124M | 0.6% | 2850 | 2780 | below the flip | B | 5 min | |
| VIX Volatility Index | index | 20.94 | +0.39x | +$8M | n/a | 20.00 | 17.50 | above the flip | B | 5 min | |
| XSP Mini-SPX index | index | 755.4 | -0.35x | -$35M | 0.1% | 756 | 750 | below the flip | B | 5 min |
Refresh says how the row is made. The 1 s row comes from the live engine in the terminal, with three books. The 5 min rows come from snapshots of the option chain and carry the volume and open-interest books only.
Trust is a grade, not a signal: how often the tape prints and whether the symbol is an index or ETF, where the dealer-sign convention holds, or a single stock, where it is an approximation. Every figure is dollars of dealer delta per 1% move.