GEX aims to calculate the gamma exposure of Market Makers (MMs) and the resulting number of underlying contracts they must trade to keep their book delta-hedged. “Positive/long gamma” => more underlying stability because of “Buy low, sell high” “Negative/short gamma” => more underlying volatility because of “Sell low, buy high” Starting point is the direction of trades with our proprietary algorithm “AMBERDATA DIRECTION” composed of over 30 heuristics that estimate the “correct direction” = side of the initiator/aggressor of the trade at which other side there is “likely” a MMs. With this algorithm we are able to flag every trades by tracking the orderbook at millisecond level, to calculate and maintain a database of MMs gamma exposure