Per option: back-solve implied volatility from the bid-ask midpoint, compute gamma with Black-Scholes, multiply by open interest, the contract multiplier and spot² × 1% (dollars per 1% move). Sum per strike, sign by the standard assumption that market makers are long calls and short puts, and you get net GEX by strike, the net gamma curve across hypothetical spot prices, and the gamma flip. Indices add one refinement: spot is derived via put-call parity from the option chain itself, so SPX does not depend on a delayed index feed.
WHAT WE REFUSE TO HIDE
Open interest is OCC data published after settlement — a lag that every view carries as an as-of note. The Nasdaq-100 view is QQQ rescaled to NDX points and is labeled as a proxy until native NDX data lands. SPX uses monthly (AM-settled) contracts only — weeklies (SPXW) are not included — so its expected move is monthly only. Thin chains that fail our data-sufficiency gate are reported as insufficient rather than charted anyway. And the chart itself tells you gamma levels describe structure, not direction.
How is gamma exposure calculated on TradeAI News?
Gamma is not vendor data — we compute it. For each option in the chain, implied volatility is back-solved from the bid-ask midpoint, gamma follows from Black-Scholes, and the per-strike exposure is gamma × open interest × contract multiplier × spot² × 1%, in dollars per 1% move. Open interest comes from OCC and is published after settlement; we label that lag instead of hiding it. Sign convention: the standard assumption that market makers are long calls and short puts.
What is the gamma flip and why does it matter structurally?
The gamma flip is the spot level where Estimated Gamma Exposure changes sign. It is a structural landmark: above it, market-maker hedging tends to dampen moves; below it, hedging tends to amplify them. It describes the option-positioning terrain — it does not predict which way price will go, and we never present it as if it did.
Do you cover index options or only ETFs?
Both. SPX is computed from its own index option chain — monthly (AM-settled) contracts only; weeklies (SPXW) are not included — with spot derived via put-call parity. The Nasdaq-100 view is currently served from QQQ options rescaled to NDX points — a proxy we label explicitly in the payload rather than passing it off as native NDX. The tickers in our gamma universe are available in the dashboard.
What is the expected move shown with GEX?
The expected move is derived from the at-the-money straddle price for the nearest suitable expiration: the market’s own pricing of how far the underlying might travel. For SPX only monthly contracts are used, so its expected move is monthly only; daily and weekly expected moves are not available for SPX. It is a volatility measure, not a direction.
How fresh is the data?
Option chains and spot are fetched when you load a ticker (the public SPY view is refreshed during the session), and index GEX levels are snapshotted every 5 minutes during market hours for the journal’s context layer. The one honestly stale input is open interest — OCC publishes it with a lag, and every GEX view carries that as-of note.
Do gamma levels predict where price will go?
No, and we say so on the chart itself. GEX describes hedging pressure around price levels — the structure a move would have to travel through. Treating it as a directional oracle is exactly the black-box framing we built this to avoid. Our own research into short-horizon direction was falsified, and we publish that too.