Definition

The Gamma Normalized in USD chart depicts the impact of GVOL GEX in terms of million dollars notional in the underlying asset for a 1% move in spot prices. This reflects the sum of the total outstanding gamma exposure across dealers.

Gamma Snapshots (GEX) calculates the gamma exposure of Market Makers (MMs) and the number of underlying contracts they must trade to maintain a delta-hedged book.

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Details

• Gamma Normalized in USD:
  • Displays the total impact of GVOL GEX in terms of notional USD for a 1% move in spot prices.
  • Represents the cumulative gamma exposure across all dealers.
    
    
• Gamma Snapshots (GEX):
  • GVOL GEX calculates the gamma exposure of Market Makers and their required number of underlying contracts to stay delta-hedged.
  • Uses the DIRECTION algorithm, which employs over 30 heuristics to estimate the trade direction of initiators/aggressors and identify likely Market Makers.
  • Tracks trades at a millisecond level to compute and maintain a database of gamma exposure.
    Aggregates GEX values by multiplying with the gamma value of specific expirations and summarizes at the strike level.
  • For more information, visit this link.

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Availability

/Gamma Normalized in USD

/Gamma Snapshots (GEX)

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Frequently Asked Questions

Q: What does the "Gamma Normalized in USD" chart represent?

A: It shows the total impact of GVOL GEX in million dollars notional for a 1% move in spot prices, summarizing the total outstanding gamma exposure across dealers.

Q: How is GVOL GEX used to calculate gamma exposure?

A: GVOL GEX uses the DIRECTION algorithm to estimate the trade direction and track gamma exposure, helping Market Makers maintain a delta-hedged book.

Q: What is the role of the DIRECTION algorithm in Gamma Snapshots (GEX)?

A: The DIRECTION algorithm estimates the correct trade direction and identifies Market Makers by analyzing order book data, which is then used to compute and maintain gamma exposure.