Gamma exposure, free.

What you get

• Net gamma exposure in dollars per one percent move in the underlying, for all expiries or for one
• Gamma exposure by strike, with the index marked and the zero gamma level drawn when all expiries are shown
• The zero gamma level: the underlying price at which modelled net dealer gamma changes sign, searched within thirty percent of the index
• Vanna exposure: how much dealer delta changes, in dollars, when implied volatility rises one point
• Charm exposure: how much dealer delta drifts, in dollars, for each day that passes
• The positioning assumption written beside every figure, so the chart never presents a model as a measurement

Why this is usually paid for

Gamma exposure became famous in equity options, where it is sold as a premium dataset. The inputs are open interest and a greeks model; the product is the modelling and the presentation.

In crypto, open interest and implied volatility are published by the venues for free. Basis computes each contract’s gamma with Black-76 on the venue’s own forward for that expiry, the convention the venues price with, and the model’s delta was checked against the greeks Deribit, OKX, Bybit and Binance publish. Vanna and charm come from the same model and were checked against finite differences.

What no one can publish is who holds each contract. Every gamma exposure chart rests on an assumption about that, and the useful thing a free tool can do is state its assumption plainly rather than hide it behind a confident colour scale.

How to use it

1. 1

   Open Options and read Net GEX

   The button below opens the options workspace. Net GEX and Zero gamma sit in the headline figures. Positive net gamma under the model means dealer hedging tends to lean against moves; negative means it tends to add to them.

2. 2

   Compare the index with the zero gamma level

   Price above the zero gamma level sits in the modelled positive-gamma region; below it, the negative one. The level moves as open interest and volatility change, so it is a reading for now, not a line drawn for the week.

3. 3

   Find the strikes that dominate

   The gamma chart by strike usually has a few bars that dwarf the rest. Those strikes, especially on a near expiry, are where hedging activity is modelled to be heaviest as price approaches them. Select an expiry chip to see how much of it comes from one date.

4. 4

   Switch to vanna and charm before big dates

   Charm grows into expiry and vanna matters when implied volatility moves sharply. Switching the chart to either shows which strikes carry the delta that has to be re-hedged as time passes or volatility shifts, which is often more useful near a large expiry than gamma alone.

Questions

Also free