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

1. Formule Mathématique et Identité de Valorisation

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

2. Mode d’Emploi et Paramètres d’Entrée

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.

3. Hypothèses Prudentielles et Limites du Modèle

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.

4. Questions Fréquentes et Notes de Risque (FAQ)

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.

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Avertissement : À des fins éducatives et de recherche quantitative uniquement ; ne constitue pas un conseil en investissement.