Options greeks exposure (modeled)
How this is computed
SPY modeled dealer gamma exposure was negative at the 2026-10-27 close: net GEX of -$4.10Bn in dollar gamma per 1% move (net short gamma), with the zero-gamma flip level at 773.05 and spot at 769.66.
Kresmion models net dealer gamma exposure as Black-Scholes gamma times open interest, signed by the standard dealer long-call and short-put assumption, with the zero-gamma flip level and the by-strike profile; it is a modeled estimate, not observed dealer positions.
A modeled estimate of the options exposure dealers carry, greek by greek: gamma (GEX) with the zero-gamma flip level and the by-strike profile, dollar delta (DEX), vega and vanna (VEX), charm (CEX), and the volatility structure behind them. Everything is computed from end-of-day open interest and implied volatility under a standard assumption about dealer positioning. Read it as positioning context (where hedging flows cluster, and whether they tend to dampen or amplify moves), not as a forecast or a trade signal.
As of end of day 2026-10-27 (1 days ago) / Modeled from end-of-day exchange-published options chains
113 names modeled.
Gamma exposure: SPY
net short gamma: hedging tends to amplify moves
Modeled signed dollar gamma near spot (769.66). Teal is positive gamma (hedging tends to stabilize), amber is negative (hedging tends to amplify). Larger bars are where modeled hedging flows cluster.
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Delta, vega and vanna, theta, charm, the volatility structure and the call and put walls for SPY and every other modeled underlying need a free Kresmion account, and open on this page once you are signed in.
long γ is net long gamma: hedging tends to dampen moves. short γ is net short gamma: hedging tends to amplify moves. The bar behind Net GEX is scaled to the largest absolute reading in this table.
| SPY | 769.66 | -$4.10Bn | $17.49Bn | $21.58Bn | 773.05 | short γ |
| QQQ | 721.25 | -$3.20Bn | $11.41Bn | $14.61Bn | 729.65 | short γ |
| TLT | 81.63 | $1.80Bn | $3.04Bn | $1.23Bn | 77.94 | long γ |
| IWM | 280.18 | -$1.57Bn | $3.27Bn | $4.84Bn | 288.09 | short γ |
| MSFT | 531.33 | $1.51Bn | $2.21Bn | $698.3M | 452.05 | long γ |
| AAPL | 347.10 | $987.4M | $2.03Bn | $1.04Bn | 330.07 | long γ |
| NVDA | 217.94 | $920.5M | $2.45Bn | $1.53Bn | 208.84 | long γ |
| TSLA | 407.46 | $899.2M | $1.53Bn | $633.9M | 369.11 | long γ |
| MU | 928.76 | $485.8M | $1.54Bn | $1.06Bn | 883.22 | long γ |
| AMZN | 253.10 | $476.6M | $1.09Bn | $616.1M | 236.48 | long γ |
The modeled greeks suite, meaning delta, vega, vanna, theta, charm and the volatility structure, needs a free Kresmion account. The gamma exposure snapshot on the GEX tab is open to everyone.
Modeling assumptions (read before using)
This is a MODELED estimate, not a disclosed dealer position. It rests on assumptions that may not hold; we state them so the numbers are read for what they are:
- Dealer sign assumption (the core one). We assume dealers are net long the call side and short the put side of open interest. The net figures subtract the put leg accordingly, except delta (DEX), where the two signed legs are added, because put delta is already negative. Actual dealer inventory is not disclosed, so this is inferred, not observed. If it is wrong for a name, that name's sign can flip.
- Open interest as a positioning proxy. Open interest counts every holder, not the dealer net, so it only approximates dealer inventory.
- Prior-day open interest. Exchanges publish open interest once per day, so each snapshot reads the prior session's open interest against the day's closing prices.
- Inputs. Black-Scholes greeks from end-of-day open interest and implied volatility from end-of-day market data, using spot (not forward) and the 3-month T-bill as the rate. Wide or stale end-of-day quotes distort every greek here.
- Static snapshot. The profiles hold open interest and implied volatility fixed; real hedging is path dependent and changes intraday.
- Universe. 113 large-cap and ETF underlyings, selected on options liquidity. A name outside this set is absent by design, not a data failure.
- Cadence. One snapshot per trading day, computed after the close. Nothing on this page updates intraday.
Computed from end-of-day options-chain market data. A modeled estimate, presented as a modeled estimate.
Cite this data
Kresmion models net dealer gamma exposure as Black-Scholes gamma times open interest, signed by the standard dealer long-call and short-put assumption, with the zero-gamma flip level and the by-strike profile; it is a modeled estimate, not observed dealer positions.
Upstream: End-of-day exchange-published options chains
Kresmion, "Options Greeks Exposure (modeled dealer positioning)", data as of 2026-10-27, https://kresmion.com/tools/greeks-exposure. Upstream data: End-of-day exchange-published options chains.
Link to this data (HTML):
<a href="https://kresmion.com/tools/greeks-exposure">Options Greeks Exposure (modeled dealer positioning) (Kresmion)</a>