by TrueDataGamma Exposure
Gamma Exposure turns a live option expiry into a strike-by-strike estimate of how dealer hedging may react as the underlying moves. It shows the call, put and net gamma contribution, the estimated gamma regime, the zero-gamma flip and the largest call/put walls.
Loading a profile
- 1Choose an underlying
Search for an index or futures underlying. The widget resolves its live spot or front future automatically.
- 2Choose an expiry
The nearest upcoming expiry is selected initially. GEX is calculated separately for the expiry shown in the toolbar.
- 3Choose the strike scope
Use ±10, ±20 or ±30 strikes, ±2% or ±4% of spot (the same price distance on every underlying), or Full expiry. Ten extra strikes either side of the chart are always modelled, so the walls and the flip can sit outside what is drawn. The scope is centred on an ATM anchor that only moves once spot has drifted two strikes away, so the subscriptions do not churn while price oscillates between two strikes.
Reading the chart
- Calls / Puts places the estimated call and put gamma contributions on opposite sides of zero. The dot is net GEX at that strike.
- Net GEX shows one signed bar per strike. Blue is estimated long gamma; rose is estimated short gamma.
- Γ concentration shows the unsigned gamma·OI weight of every strike. It needs no assumption about which side dealers hold, so it is the view to trust when the sign convention is in doubt.
- ΔOI GEX shows the GEX carried by today's open-interest change, which is where fresh positioning went rather than what was already there.
- The thin profile line in the signed views is the net GEX the model would see if spot moved to each price. The zero-gamma flip is where it crosses the axis, and the regime is its slope at spot.
- Spot, FLIP, CALL WALL, PUT WALL and PEAK Γ lines mark the live underlying and the important levels. Labels that would overlap are stacked, and a level outside the zoomed range shows as an arrow at the edge.
The chart is interactive:
- Hover a strike to highlight it and inspect call/put GEX, net GEX, the unsigned weight, ΔOI GEX, marks, OI, the day's OI change, implied volatility and gamma. An IV marked pair was borrowed from the opposite leg at the same strike; interp was interpolated from the neighbouring strikes.
- Use the mouse wheel over the chart to zoom around the cursor. Drag vertically, use a horizontal trackpad gesture or hold Shift while scrolling to pan a zoomed chart.
- Click a strike to pin its tooltip. Click it again or press Escape to clear the pin.
- Use +, − and Fit in the top-right corner, or double-click the chart, to control and reset the visible strike range.
The summary cards show net estimated GEX with the gross it is judged against, the gamma regime, the nearest zero-gamma crossing, the call and put walls and the peak-gamma strike. Walls are the strikes with the largest call gamma·OI above spot and put gamma·OI below it; the raw max-OI strike is shown underneath when it differs. GEX is expressed as the estimated rupee delta change for a 1% move in the underlying.
The strip under the cards keeps one point a minute of net GEX and the distance from spot to the flip while the live model is reliable, so the headline number has a memory for the session.
How it is priced
Every leg is priced off the expiry's forward with Black-Scholes. The forward is
taken from put-call parity at the strikes nearest spot (F = K + e^{rT}(C − P)),
falling back to the near future and then to spot plus carry, and the card for
the peak-gamma strike says which one is in use. A call and a put at the same
strike share one implied volatility, and the out-of-the-money leg's quote is
the liquid one, so its vol prices both legs. A leg whose quote gives no usable
vol (at or below intrinsic, or pinned to the clamp) takes the opposite leg's
vol; a strike with neither takes the vol interpolated from its neighbours. A
leg with open interest but no quote is still modelled off the pair vol.
Expiries drop out of the list once 15:30 IST has passed on the expiry day. In the last half hour of a 0DTE the regime card warns that gamma is unbounded, and the model floors time to expiry at fifteen minutes.
Data quality
The coverage badge reports how many option legs have both a usable mark and open interest. Flip and wall overlays remain hidden until at least 60% of the loaded legs are populated. During market hours the chart uses bid/ask midpoint when available and falls back to LTP. If that snapshot is unavailable—or the market is closed—the widget hydrates the latest completed TrueData OHLC/OI session and labels the result Previous session. Gamma and implied volatility are solved locally in both modes.
Open-interest units are detected rather than chosen: exchange OI in quantity is always a whole number of lots, so a chain whose OI values are all multiples of their lot size is read as quantity and anything else as contracts. The footer says which was found.
Outside market hours the connection dot shows Market closed rather than a fault, and the Previous session badge carries the time of the closing snapshot it is reading.
Open interest does not identify which side dealers hold. FutPrint uses the common call-positive / put-negative sign convention, which you can invert from the toolbar. When the net sits inside 10% of the gross the regime reads Balanced, because the sign guess cannot support a verdict there. Long gamma describes a potentially stabilising hedge response and short gamma an accelerating response; neither is inherently bullish or bearish. The Γ concentration view sidesteps the guess entirely.
What's saved
The underlying, expiry, strike scope, chart view, sign convention and model rates are saved with the workspace. Gamma Exposure also participates in symbol link groups and can be cloned like other panels.