Calculator
Black–Scholes option Greeks & gamma exposure (GEX) estimator
Dealer Gamma Exposure (GEX) measures how much underlying notional market makers must buy or sell to stay delta-neutral when spot moves by 1%. Positive net GEX dampens realised volatility as dealers buy dips and sell rallies; negative net GEX amplifies directional moves.
Net dealer GEX (per 1% spot move)
733,788,236.73
Positive gamma (volatility dampening)
- Call GEX / Put GEX
- 2,088,474,212.23 / -1,354,685,975.50
- Unit Gamma
- 0.00336
- Call price / Delta
- 48.70 (Δ 0.513)
- Put price / Delta
- 46.07 (Δ -0.487)
| Spot level | Gamma | Net GEX ($ / 1% move) |
|---|---|---|
| 5684.0 (-2.0%) | 0.00217 | 456,432,647.26 |
| 5742.0 (-1.0%) | 0.00305 | 654,347,481.27 |
| 5771.0 (-0.5%) | 0.00330 | 714,204,899.97 |
| 5800.0 (+0.0%) | 0.00336 | 733,788,236.73 |
| 5829.0 (+0.5%) | 0.00322 | 710,303,471.22 |
| 5858.0 (+1.0%) | 0.00291 | 648,376,141.97 |
| 5916.0 (+2.0%) | 0.00200 | 454,597,209.06 |
Formula
Gamma = e^(−qT) φ(d₁) ÷ (S × σ × √T)
Call GEX ($ per 1% move) = +Gamma × OI_call × Multiplier × S² × 0.01
Put GEX ($ per 1% move) = −Gamma × OI_put × Multiplier × S² × 0.01
How to use it
Enter spot, strike, days to expiry, implied volatility, risk-free rate, dividend yield and the call and put open interest at that strike.
View single-contract Black–Scholes Greeks alongside aggregate dealer Call GEX, Put GEX and Net GEX across a spot ladder.
Assumptions and limits
- Follows the standard street convention that dealers are net long calls (positive gamma) and net short puts (negative gamma).
- Uses constant Black–Scholes implied volatility across the local spot ladder.
Common questions
What does negative net GEX indicate?
When put open interest dominates and dealers are short puts, a drop in spot makes dealers shorter delta, forcing them to sell more underlying into weakness and accelerating intraday trend moves.
Why is GEX scaled by S² × 0.01?
Gamma measures share delta change per $1 move in spot. Multiplying by S gives share delta per 100% move, multiplying by 0.01 scales to a 1% move, and multiplying by S again converts shares into dollar notional.
For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.