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S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

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Equity Analysis Glossary

For equities we assume all calls & puts are bought (dealers are short), and this places dealers in a negative gamma situation. Our goal here is to identify equities with large options positions and/or when these are set to expire. This may produce a change in dealer hedging activity and/or identify key support/resistance areas.

NOTE: This data is provided for informational purposes only.

  • Total Calls: sum of all call interest
  • Total Puts: sum of all put interest
  • Call Gamma: sum of all call gamma
  • Put Gamma: sum of all put gamma
  • Net Gamma: call gamma + put gamma
  • Call Delta: sum of call delta
  • Put Delta: sum of put delta
  • Net Delta: call delta + put delta
  • Hedge Wall – strike where model detects a largest change in gamma. Can mark pivot/pin area.
  • Lower Hedge Band – Where downside gamma reduces (stock may lose downside volatility)
  • Upper Hedge Band – Where upside gamma flattens (stock may lose upside volatility)
  • Key Gamma Strike – “Pivot” strike where volatility may increase/decrease
  • Key Delta Strike – Lots of large hedging flow may be linked to this strike, particularly as it goes in the money.
  • Top Call OI – which strike has the most call open interest
  • Top Put OI – which strike has the most put open interest
  • Gamma in Next Expiration – pct of total gamma expiring in next exp
  • Delta in Next Expiration – pct of total delta expiring in next exp
  • Highest Gamma Expiration Date – exp. date with most gamma concentration
  • Highest Delta Expiration Date – exp. date with most delta concentration
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