Ethereum gamma exposure, free.

What you get

• Net ETH gamma exposure in dollars per one percent move, for all expiries together or for a single date
• Gamma exposure by strike, with the ETH index marked and the zero gamma level drawn when all expiries are shown
• The zero gamma level: the ETH price at which modelled net dealer gamma changes sign, searched within thirty percent of the index
• Vanna exposure, how much dealer delta changes when implied volatility rises one point, and charm exposure, how much it drifts each day
• The positioning assumption written beside every figure, so a model is never presented as a measurement
• ETH DVOL, the volatility smile and the term structure in the same workspace, to see what the gamma figures rest on

Why this is usually paid for

Gamma exposure charts grew up in equity options, where they are sold as a premium dataset. Ethereum is the second-largest crypto options market, and its inputs, open interest and implied volatility, are published free by every venue that lists it. What takes effort is the modelling: four venues, four sets of units, and a greeks model that agrees with how each venue prices.

Basis computes each ETH 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 the venues publish. Vanna and charm come from the same model. What no venue publishes is who holds each contract, so the chart states its assumption rather than hiding it behind a confident colour scale.

How to use it

1. 1

   Open Options on Ethereum

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

2. 2

   Place the index against the zero gamma level

   ETH above its zero gamma level sits in the modelled positive-gamma region; below it, the negative one. The level shifts as open interest and volatility change, so read it as a reading for now rather than a line for the week.

3. 3

   Find the strikes that carry the gamma

   A few bars usually dwarf the rest on the by-strike chart. On a near expiry, those strikes are where hedging is modelled to be heaviest as ETH approaches them. Select an expiry chip to see how much of the total sits on one date.

4. 4

   Switch to vanna and charm into big expiries

   Charm grows as expiry approaches, and vanna matters when ETH implied volatility moves sharply. Either view shows which strikes hold delta that will need re-hedging as time passes or volatility shifts, which is often more useful near a large expiry than gamma alone.

Questions

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