An experimental playground to find the best way to calculate GEX for SPX, which can be useful in figuring out dealer's positioning and gamma exposure levels.
Gamma Exposure (GEX) measures the estimated hedging exposure of Market Makers (Dealers). Dealers are contractually obligated to provide liquidity, meaning they must take the other side of your trade. To manage their risk, they must hedge their positions by buying or selling the underlying asset (SPX/ES futures) as the price moves.
By calculating the total Gamma Exposure across all option strikes, we can predict where Dealers will be forced to Buy (Support/Resistance) or Sell (Acceleration).
We calculate the Notional Gamma Exposure for every single strike across all expiration dates.
Where:
Standard GEX calculations use flat volatility assumptions. We improve on this by weighting gamma based on each strike's implied volatility relative to ATM IV:
Why this matters:
The square root (exponent 0.5) provides a moderate adjustment — a strike with 50% higher IV gets ~22% more gamma weight, not 50%. This balances sensitivity with stability.
We track ATM implied volatility changes and display the trend in the market regime badge:
The standard industry heuristic for the S&P 500 index:
This model holds true for the vast majority of market conditions, where structural flows dominate.
While the standard model is robust, it can be inaccurate during specific events (e.g., retail FOMO rallies). A more precise method involves Trade Flow Analysis:
Dealer GEX = (Customer Buy Volume - Customer Sell Volume) × Gamma × OI
We mitigate this via:
Weight by volume recency:
Effective_OI = OI × (Volume_Today / Average_Volume_10day)
Weighted_GEX = Gamma × Effective_OI × Multiplier × Spot²
Track OI changes:
Delta_OI = OI_today - OI_yesterday
Active_GEX = Gamma × Delta_OI × Multiplier × Spot²
The strike with the largest positive Net GEX based on Open Interest. This acts as a major Resistance level. Dealers are heavily Long Gamma here, suppressing volatility and absorbing buying pressure.
The strike with the largest Put GEX based on Open Interest. This is typically the major Support floor.
These levels are calculated using Volume-Weighted GEX (VW-GEX). While standard walls show where positions are established (Open Interest), Active Walls reveal where the action is today (Volume).
The "Flip Line." We compute it as the precise zero-crossing of the aggregate dealer gamma profile: we sweep net dealer gamma across price and interpolate the exact point where it changes sign, rather than just picking the nearest strike. The line can therefore sit between strikes, where the real flip happens.
Above the flip — positive gamma: dealers dampen moves. Low volatility, mean reversion; walls act as reliable support/resistance.
Below the flip — negative gamma: dealers amplify moves. High volatility, trend acceleration; walls stop holding and become breakout triggers. When price drops below the flip, the Call/Put walls are relabeled Call Wall ↑ break / Put Wall ↓ break and recolored, and the Zero Gamma line thickens — it becomes the magnet price tends to revert toward.
The single strike with the highest absolute Net GEX magnitude. This acts as a "Magnet" or "Pin." Because dealer hedging requirements maximize here, price action often gravitates toward and sticks to this level, especially into market close or expiration.
Calculates the probability of SPX "pinning" at a specific strike by 4:00 PM ET. It combines the Black-Scholes probability density function (PDF) with current Dealer Gamma gravity to find the highest confidence magnetic zone for the close.
Identifies "Squeeze Zones" where dealer hedging velocity is steepening rapidly.
Secondary levels of high interest where price often "pins" or pauses, regardless of directional bias. These are now selected and ranked by the React-at Importance Score below — so the strikes we surface are the ones actually in play near price, not just the biggest raw gamma far away.
On a busy day the chart can carry a dozen levels of different types. Instead of treating them as a flat list, every level gets a React-at score (0–100) — an estimate of how likely price is to react there right now. Each level stays on the chart, but its line thickness and opacity scale with the score: levels in play are bold and bright, while distant or stale ones fade to faint context (nothing disappears).
The score combines, per strike:
When you hover over any level, we display a Hold Probability — our estimate of how likely that level is to act as support/resistance. (This hover estimate is separate from the React-at score above: React-at decides how strongly a level is drawn; Hold Probability is the per-touch read you get on hover.) This is calculated using multiple real-time factors:
The final probability is clamped between 10% and 95%. Color coding: Green (≥70%) = strong hold, Orange (50-70%) = moderate, Red (<50%) = weak.
Dealers hedge options by trading SPX futures. The levels are where that hedging is heaviest, so price stalls, bounces, or gets pulled there. Trade the reaction, not the level.
Above the orange Zero Gamma line, fade moves into walls. Below it, walls break instead of holding. Trade half size and expect price to snap back to Zero Gamma.
Solid walls show where positions sat at the open. Active Call and Active Put show where unusual volume is hitting right now, and that flow decides whether a level holds more than anything else. A burst of put buying at a strike forces dealers to buy futures as price falls toward it, so a red Active Put level acts as support most of the time. The bigger and more sudden the volume, the harder the floor. A burst of call buying makes a green Active Call level resistance the same way. If the Active level sits on the OI wall, it is the strongest level on the chart. If they differ, trust the Active one. If it jumps to a new strike mid-session, the old one is no longer defended.
Wait for the touch and the turn. A small wick through the level followed by a reclaim is the ideal entry. Price blowing 5+ points through and continuing means the level failed.
Stop 3 to 5 points past the level. Target the next level in your direction. Once up by the size of your stop, move it to breakeven.
Hover a level for its Hold %.
| Hold % | Do |
|---|---|
| 70%+ (green) | Full size |
| 50 to 70% (orange) | Half size, or wait for the reclaim |
| Under 50% (red) | Don't fade it |
Thick bright lines are in play now. Thin faded lines are context. Confidence drops after two or three touches, when IV is rising, when price is running hard into the level, and in the first 30 minutes or last hour.
A broken level is dead for the day. Below Zero Gamma, halve your size. No level is a guarantee, so size for a normal stop-out to not matter.
Not financial advice. This is how dealer hedging tends to move price, not a promise that it will.
Pro users enjoy real-time GEX refreshes (vs 30 minutes for Free). Pro users also unlock 0DTE filtering, Gamma Squeeze zones, Projected Pin probability, and Dark Pool Block Trades data.
Accurate gamma landscape calculation requires institutional-grade data feeds that are expensive to acquire and maintain. We source from:
Most "free" or cheap GEX tools rely on delayed or incomplete data, leading to inaccurate levels. Our infrastructure costs reflect the quality required for actionable intraday signals.
The SPX index only calculates during regular market hours (9:30 AM - 4:00 PM ET). However, ES Futures trade 23 hours a day. By using a live mathematical ratio, we can provide estimated SPX levels during pre-market and after-hours sessions.
We fetch live option chains from CBOE/OPRA real time. Our dashboard then recalculates the Gamma for every strike every 10 seconds (for Pro) to account for live price movement.
Call Wall and Put Wall are structural levels based on Open Interest (positions held overnight). "Active Walls" are based on today's Volume and are tagged Active Call and Active Put on the chart. They reveal where the most aggressive intraday hedging is occurring.
Absolutely. The Gamma profile of SPX dictates the movement of all related products. You can hover over any level on our chart to see the equivalent price for SPY (roughly 1/10th) and ES.
This is "Gamma Convexity." As the price moves, the hedging requirements for dealers change. Our engine recalculates this live, showing you the levels shifting in real-time as the "Gamma gravity" evolves.
Check the regime first: above Zero Gamma, fade moves into the Call Wall and Put Wall; below it, expect breaks and trade half size. Enter on the reaction, not the approach. Stop 3 to 5 points past the level, target the next level, and move the stop to breakeven once the trade is up by the size of the stop. Hover a level for its Hold Probability: 70%+ is full size, 50 to 70% is half size, under 50% do not fade it. A broken level is dead for the day. Full playbook: How to Trade the Levels.
Active Put marks the strike where unusual put volume is hitting today. Dealers who sold those puts must buy SPX futures as price falls toward the strike, and that buying is what stops the drop, so the level holds as support most of the time. The bigger and more sudden the volume, the harder the floor. Active Call works the same way as resistance. When the Active level sits on the open-interest wall, it is the strongest level on the chart.
OpenSera stands on the shoulders of the academics and practitioners who first formalized how dealer hedging shapes price. The models behind our gamma flip, react-at level ranking, expected-move sizing, and the hold/break calibration we're building all trace back to the work below — a thank-you and a reading list. (Titles link to a scholar search.)
Listing these works is an acknowledgement of inspiration, not an endorsement by their authors. Any errors in how we've applied the ideas are entirely our own.