GEX, VEX, and CEX

Think of gamma as the "acceleration pedal" of options. While delta tells you how much an option's price moves when the underlying stock moves $1, gamma tells you how much that delta itself changes.

Here's why it matters: When market makers (the big institutions) are short gamma (negative GEX), they have to buy high and sell low to stay hedged. This creates volatility and momentum moves. When they're long gamma (positive GEX), they do the opposite - selling into rallies and buying dips, which dampens volatility.

Formula: Γ = ∂²V/∂S² where V is option value and S is stock price

We calculate total gamma exposure by summing up the gamma of all outstanding options contracts, weighted by open interest and multiplied by the underlying's price and contract multiplier (100 for equity options).

Vanna is the "cross-Greek" that measures how an option's delta changes when implied volatility changes. It's the intersection where volatility and directional exposure meet.

This gets interesting during earnings or major events. If market makers are short vanna, rising volatility forces them to buy more shares, potentially creating a feedback loop where volatility expansion drives price movement, which drives more volatility.

Formula: Vanna = ∂²V/∂S∂σ where σ is implied volatility

We track this across all strikes to understand how volatility changes will impact the underlying's price action. High positive vanna means volatility expansion could drive significant directional moves.

Charm measures how delta changes as time passes. It's essentially gamma's relationship with time decay. As options approach expiration, their gamma profile changes dramatically, and charm captures this evolution.

This is especially critical for 0DTE (zero days to expiration) options. On expiration day, charm can create massive gamma flips as options rapidly transition from in-the-money to out-of-the-money (or vice versa) with small price moves.

Formula: Charm = ∂²V/∂S∂τ where τ is time to expiration

Understanding charm exposure helps predict how gamma will evolve throughout the trading day, especially during the final hours before expiration when charm effects are most pronounced.

Net exposure combines all the Greeks into a single directional measure. It represents the aggregate positioning of market makers and the overall "lean" of the options market.

When net exposure is heavily skewed in one direction, it often indicates where the market wants to pin or repel from. Large negative net exposure can act as support levels, while large positive exposure can act as resistance.

Our calculations are based on live open interest data across all option strikes and expirations. We use the Black-Scholes model with live volatility surfaces to compute Greeks in real-time.

Starter Tier: Uses end-of-day open interest data updated throughout the session. This gives you the "footprint" of existing positions and how they'll behave.

Pro Tier: Adds real-time options flow via broker feeds, showing you not just what positions exist, but what's being traded intraday as the session develops. This includes unusual activity alerts and flow direction analysis.

Understanding options flow isn't just academic - it's practical alpha. Market makers have to hedge their positions, and those hedging flows often represent the largest volume in the market.

By tracking gamma, vanna, and charm exposure, you're essentially following the institutional money. You can anticipate where they'll need to buy or sell, and position accordingly.

This is especially powerful around major levels, earnings, and expiration cycles where options exposure can drive significant price action in the underlying.