GEX, VEX, and CEX

Think of gamma as a sort of per strike "acceleration pedal" of the market. 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. (Delta of delta = gamma).

At strikes where market makers are short gamma (negative GEX), they have to buy rips and sell dips to stay hedged. This creates volatility in the price of the underlying and momentum moves around negative GEX strikes. At strikes where market makers are long gamma (positive GEX), they do the opposite - selling into rallies and buying dips, which dampens the volatility of the underlying.

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

We calculate total gamma exposure by summing up the dealer gamma exposure across all strikes for a given expiry.

Vanna measures how an option's delta changes when implied volatility changes. It's the intersection of where volatility and directional exposure meet.

Vanna 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 is our own heuristic that sums each of these exposures into a single directional measure on a per strike basis. The total sum of all net exposures at each strike for a given expiry 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 suggest an overall positive dealer buy back, pushing the market higher, while large positive exposure can suggest selling pressure, pushing the market lower.

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.

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.