Dealer positioning and the levels

How Theta Vantage estimates dealer gamma, how zero gamma, the walls, max pain, and the expected move are computed, and how to read them.

Options dealers (market makers) take the other side of what traders buy and sell, then hedge in the underlying so a move doesn't hurt them. As price moves, an option's delta changes, and the hedge has to change with it. That rate of change is gamma. Add it up across every contract on a chain and you get an estimate of how much buying or selling a move would force on dealers, and in which direction. The levels are the prices where that estimate changes character.

Who holds what

Open interest says how many contracts are open at each strike, not who owns them. Theta Vantage assumes dealers are long calls and short puts: investors sell calls against stock they own and buy puts for protection, and dealers take the other side. This is the standard public convention for gamma exposure. It's an assumption, and where it breaks is covered below.

Open interest is published once a day, before the open, so every level describes positions as of the previous close. Contracts opened today show up tomorrow.

Gamma exposure (GEX)

For each contract, Theta Vantage computes gamma from its implied volatility, then:

GEX = sign × gamma × open interest × 100 × spot² × 0.01

The sign is +1 for calls and −1 for puts (the dealer's side). The result is in dollars of dealer delta per 1% move in the underlying, so a GEX of +$2B means a 1% rally would leave dealers about $2B longer, and they would sell about that much to stay hedged. Summing over every contract in the expiration set gives total GEX. See gamma exposure.

The regime

The sign of total GEX at the current price is the regime:

• Positive gamma: dealers sell into rallies and buy dips. Their hedging damps moves.
• Negative gamma: dealers buy into rallies and sell into drops. Their hedging can stretch moves.

The Levels card's chip says which one holds now. Positive gamma doesn't mean up and negative doesn't mean down. The regime describes how moves may behave, not which way they go.

Zero gamma

Zero gamma is the price where total GEX would change sign. Theta Vantage finds it with the gamma profile: it recomputes total GEX at 201 prices around spot (10% either side by default, wider for some volatile stocks), holding implied volatility, time, and open interest where they are, and finds where the curve crosses zero. If it crosses more than once, zero gamma is the crossing nearest spot. If it doesn't cross in that range, the search widens once; with no crossing at all there is no zero gamma, and the profile is on one side the whole way.

Above zero gamma the market sits in positive gamma, below it in negative gamma. Price crossing it is a change in how dealers' hedging behaves. Some tools call it the gamma flip and compute it differently, by adding up GEX strike by strike at today's price. The two can sit at different prices.

Call wall and put wall

• Call wall: the strike with the largest positive net GEX.
• Put wall: the strike with the most negative net GEX.

Net means calls and puts at the strike together, so a strike where matched call and put open interest cancels out doesn't make a wall. A wall can sit on either side of spot, and the strip says which. With no strike of positive net GEX there is no call wall, and the same for the put wall. The two together are the gamma walls.

Traders often read the call wall as resistance and the put wall as support, since dealer hedging is heaviest there. That's a tendency, strongest close to expiration, and a wall can move from one snapshot to the next as price and open interest change.

Near call wall and near put wall

The walls are the largest anywhere, so after a big day they can sit far away, or on the wrong side of price: a stock that rallied through its call wall has no wall above it. The near walls are the largest walls close to where price is:

• Near call wall: the strike above spot, within two expected moves, with the largest positive net GEX.
• Near put wall: the strike below spot, within two expected moves, with the most negative net GEX.

A near wall has to hold at least a quarter of its wall's gamma; a small strike close by isn't drawn as a wall. If none in reach does, there's no near wall on that side. When the wall itself is above spot (below, for the put wall) and within reach, it is the near wall too, and you see it once, as the wall. Near walls follow price: as price moves, the strikes in reach change.

On the strip, a wall further than two expected moves away shows as a tag at the end with its distance ("← Put wall 300 −26.32%"); press it to pin the wall on the charts.

Major levels

The five strikes with the largest net GEX either way, with their sign, listed on the Levels card. They show where the rest of the gamma sits beyond the two walls.

Max pain

For one expiration, max pain is the settlement price at which option holders would collect the least: for each listed strike as a candidate price, add up what every call and put would be worth at expiration, weighted by open interest, and take the strike with the smallest total.

pain(P) = Σ calls OI × 100 × max(P − K, 0) + Σ puts OI × 100 × max(K − P, 0)

It uses no greeks and no model, only open interest. Each expiration has its own, and there is no combined max pain across dates. On the site, /SPX/max-pain draws it for each expiration, and /SPX/strikes keeps it as a tab.

Expected move

The expected move is the one standard deviation range the options market prices for one expiration:

expected move = price × at-the-money IV × √(time to expiration in years)

At-the-money IV is the implied volatility at the price, read between the two strikes around it. Roughly two times in three, price finishes inside a one standard deviation range, if the options are priced right. The at-the-money straddle is shown beside it as a cross-check.

From the last close

The range you read against price, on the strip, on the chart, and in the summary, starts from the last close: the previous session's close during the session, and that day's close from 4:00 PM until the next open. Its width uses the at-the-money IV at that close, timed from the close to the expiration (the first in your expiration set that settles at or after the next close), and it stays put until the next close. So price moves through it instead of always sitting in the middle, and it doesn't shrink as the day goes on. The historical range beside it starts from the same close.

The σ reading says where price is in that range: "+0.8σ from the Oct 26 close" means price is 0.8 of an expected move above that close. Past +1σ or −1σ, price has left the one standard deviation range the options priced at the close.

The expected move on the option chain, the strike selector, the wheel, and the strategy calculator stays measured from the current price, since a strike you pick now is measured from now. When the last close isn't available for a ticker, the range is drawn around the current price, with no reading.

Units

Where the estimate breaks

Every number here rests on the long calls, short puts assumption, and it fits some markets better than others.

• It fits SPX best. A study of index option holders (Gârleanu, Pedersen, and Poteshman, 2009) found investors net long puts and net short calls, as the convention assumes.
• It fits single stocks worst. The same study found investors in single names net short both calls and puts, which would leave dealers long puts. A put wall on a single stock may be gamma dealers are long, not short.
• 0DTE flow is closer to balanced. Same-day options are traded heavily both ways, so the sign of today's 0DTE gamma is the least certain.
• Today's new positions are missing. Open interest is yesterday's. On a busy 0DTE day the real positioning can differ a lot from the estimate.
• Dividends are taken as zero for stock and ETF options, which slightly overstates call deltas on dividend payers.

Use the levels as a map of where hedging is likely to matter, and check them against price. Two tools can show different numbers for the same ticker because they make different assumptions.

Freshness

Snapshots of SPX, SPY, QQQ, and IWM are computed every minute through the session, and other tickers about every minute while someone has them open. Pro's page updates as each snapshot lands and moves the distances with the live price. Free refreshes in place. Without an account you see the last close.