Daily dealer gamma (GEX), vanna (VEX) and charm (CEX) exposure with the gamma flip

Index Gamma flip Net GEX < 0

Index and gamma flip

Net GEX, % of gross |GEX|

Click a day on either chart to open its strike exposure and profile below.

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GEX by strike (±10% of spot, all expiries)

GEX profile by price

Net GEX % vs next-day return

Scatter: each dot is one day in the selected range — the net exposure as % of its gross (sum of |call| + |put| by strike) that day against the index return to the next close; the dashed line marks the selected day. Dealers assumed long calls and short puts, open interest at that day's close. GEX = gamma × OI × 100 × S² × 1% (USD per 1% move). VEX = vanna × OI × 100 × S × 1% (change in dealer delta, USD, when IV rises 1 vol pt). CEX = charm × OI × 100 × S / 365 (change in dealer delta, USD, as one day passes). Vanna and charm use each expiry's implied rate and dividend from put-call parity. For VEX and CEX the middle panel shows net exposure by moneyness bucket (0.5% bins) instead of a profile. Gamma flip = first zero crossing of the repriced profile within ±20% of spot (blank when the whole profile is negative). Data from Cboe and historical end-of-day option chains. Expiries: All, Weekly (expirations within 7 days) or Monthly (within 30 days); the strike, profile and moneyness panels always use all expiries. CSV (Pro): the selected range with date, index close, and gamma flip, net GEX, CEX and VEX for all expiries, Weekly and Monthly. The last 12 months are free; earlier history and CSV downloads are part of I ♡ VOL Pro (coming soon).

SPX dealer exposure history

This page shows how option dealers' hedging exposure in SPX, NDX and RUT has changed day by day: gamma exposure (GEX), vanna exposure (VEX) and charm exposure (CEX), together with the gamma flip. Each day uses that day's closing option prices and the open interest at that day's close, computed the same way as the live GEX page.

How to read this page

Index and gamma flip plots the index with the gamma flip level. Shaded days had negative net GEX, when dealer hedging tends to add to moves rather than dampen them.
Net exposure bars show the selected measure each day, either as a share of gross exposure (comparable across years) or in billions of dollars.
Click a day to see that day's exposure by strike, the GEX profile by price (or VEX/CEX by moneyness), and where it sits on the scatter of net exposure against the next day's index return.

Definitions

GEX = gamma × open interest × 100 × S² × 1%: the dollar change in dealer delta for a 1% move.
VEX = vanna × open interest × 100 × S × 1%: the dollar change in dealer delta when implied volatility rises one point.
CEX = charm × open interest × 100 × S / 365: the dollar change in dealer delta as one day passes.
Dealers are assumed long calls and short puts, the standard convention for index options. Actual positioning is not observable and can differ.

Free and Pro

The last 12 months of daily history and day-by-day detail are free. Longer history back to 2002 and CSV downloads of the daily series (index close, and gamma flip, net GEX, CEX and VEX for all expiries, Weekly and Monthly) are planned for I ♡ VOL Pro, which has not launched yet.

Learn more

How to read GEX
Live SPX gamma exposure
Black-Scholes and the Greeks, where gamma, vanna and charm come from

Statistics describe the past and can be wrong. Nothing here is investment advice.