Greek Exposure Analysis — Gamma, Vanna & Charm
Greek exposure quantifies how options market makers must hedge as price, volatility, and time change. The Greek Exposure page charts gamma exposure (GEX) by strike, the zero-gamma flip level, and the second-order Greeks — vanna (sensitivity to volatility) and charm (sensitivity to time decay) — that drive overnight and into-close hedging flows.
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- GEX by strike with the zero-gamma flip level
- Second-order Greeks: vanna and charm
- Read where dealer hedging dampens or amplifies moves
Read positive GEX zones as volatility-suppressing magnets where dealers buy weakness and sell strength. Read negative GEX zones as accelerators where the same hedging amplifies trend. Vanna and charm tell you which way that hedging will lean as IV moves or expiration approaches — useful for OPEX positioning and event-driven trades.
Frequently asked questions
What is the zero-gamma level?
The price at which net dealer gamma flips from positive to negative. Above zero gamma, hedging dampens moves; below it, hedging amplifies them. It is one of the most-watched levels by short-dated options desks.
Why does vanna matter?
Vanna measures how dealer delta changes when implied volatility changes. Falling IV into expiration forces dealers to buy back hedges, creating a bullish vanna tailwind that often shows up in the last hour of the trading day.
How is charm different from theta?
Theta is the time decay of an option price; charm is the time decay of its delta. Charm explains why dealer hedges drift through the day even when the underlying is flat — particularly into Friday OPEX.
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