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Theta Vantage
iShares Russell 2000 Index Fund
279.11−4.90 (−1.73%)
Day276.91 – 282.7152W228.90 – 305.18

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IWM gamma levels (GEX): call wall, put wall, and zero gamma

Spot 0.0σ from the Oct 30 close 279.11
Nov 2 · 3d

Levels

All expirations
Negative gamma
LevelPriceFrom spot
Zero gamma286.03+2.48%
Max pain · Nov 2280+0.32%
Spot279.11
Near put wall279−0.04%
Call wall278−0.40%
Put wall270−3.26%
Expected move · Nov 2275.23–282.99from the Oct 30 close±3.880.0σ
Total$
Net GEX per 1%−$2.45B
Vanna (VEX) per vol pt$1.24B
Charm (CHEX) per day$1.87B
Dealer delta (DEX) + dealers long$68.8B

Major levels · largest |net GEX|

270−$494M−3.26%
265−$334M−5.06%
260−$272M−6.85%
279−$268M−0.04%
278$254M−0.40%

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Negative gamma at 279.11.

Zero gamma is 286.03, 2.48% above spot, about 1.8 expected moves away.

Call wall 278 (−0.40%). Put wall 270 (−3.26%).

Near put wall 279 (−0.04%).

The Nov 2 expected move from the Oct 30 close runs 275.23 to 282.99; spot is 0.0σ; max pain for that expiration is 280.

Dealer delta (DEX) is $68.8B. Positive: dealers long delta.