Next Expiration Gamma Share

The chart below shows what percentage of gamma exists in the next expiration vs all expiration as a whole. If a position is very concentrated in the next expiration it could indicate a roll or pin may take place.

Note: the next expiration date is indicated in the center column header.

SPX Gamma Expiration Concentration:

SPX Expiration Concentration

expiration	Put	Call	Gamma Notional	Delta Notional	Gamma %	Delta %
03/12/2021	561,911	192,887	$183,507,456	$46,493,209,717	35.87%	2.42%
06/12/2021	140,414	33,563	$30,904,088	$13,404,100,106	6.04%	0.7%
08/12/2021	134,555	26,910	$32,251,351	$11,742,672,984	6.3%	0.61%
10/12/2021	246,910	80,417	$53,743,507	$27,070,884,151	10.5%	1.41%
13/12/2021	52,720	15,502	$13,746,997	$7,592,192,570	2.69%	0.4%
15/12/2021	39,517	10,473	$10,237,381	$5,830,586,009	2.0%	0.3%
17/12/2021	3,239,185	1,814,047	$12,870,475	$744,559,478,571	2.52%	38.77%
20/12/2021	16,755	9,283	$2,713,254	$2,955,937,631	0.53%	0.15%
22/12/2021	6,622	5,907	$32,706	$1,611,788,239	0.01%	0.08%
23/12/2021	128,962	41,434	$16,995,095	$15,267,926,951	3.32%	0.79%
27/12/2021	9,136	4,783	$1,298,135	$2,113,488,671	0.25%	0.11%
29/12/2021	5,022	4,743	$411,616	$1,132,242,059	0.08%	0.06%
31/12/2021	706,097	299,183	$21,679,076	$101,476,632,701	4.24%	5.28%
07/01/2022	109,882	25,634	$12,402,132	$12,526,093,023	2.42%	0.65%
14/01/2022	26,124	5,358	$2,763,649	$2,561,348,788	0.54%	0.13%
21/01/2022	1,258,718	535,415	$37,894,458	$206,974,102,289	7.41%	10.78%
31/01/2022	140,155	63,050	$324,398	$19,941,136,132	0.06%	1.04%
18/02/2022	463,718	153,869	$26,953,000	$65,010,075,643	5.27%	3.38%
28/02/2022	54,113	27,284	$1,954,395	$10,186,550,348	0.38%	0.53%
18/03/2022	804,549	393,046	$53,470	$146,922,363,221	0.01%	7.65%
31/03/2022	58,840	28,524	$365,880	$10,458,218,816	0.07%	0.54%
14/04/2022	151,943	60,925	$4,011,390	$25,696,407,720	0.78%	1.34%
29/04/2022	6,887	4,430	$83,056	$1,692,091,904	0.02%	0.09%
20/05/2022	128,787	45,239	$7,209,228	$22,544,357,655	1.41%	1.17%
31/05/2022	4	25	$6,061	$3,900,241	0.0%	0.0%
17/06/2022	641,618	279,274	$9,207,414	$111,125,716,719	1.8%	5.79%
30/06/2022	9,811	12,860	$1,697,582	$3,384,329,428	0.33%	0.18%
15/07/2022	49,741	38,485	$1,202,412	$13,387,521,241	0.24%	0.7%
19/08/2022	55,600	44,814	$1,711,063	$14,792,812,371	0.33%	0.77%
16/09/2022	174,873	123,455	$5,354,491	$39,845,127,979	1.05%	2.07%
30/09/2022	5,617	2,758	$229,173	$1,441,047,348	0.04%	0.08%
21/10/2022	34,007	26,849	$361,900	$9,490,880,427	0.07%	0.49%
18/11/2022	25,793	24,215	$738,728	$8,448,355,459	0.14%	0.44%
16/12/2022	690,403	361,645	$10,564,539	$134,016,503,285	2.06%	6.98%
20/01/2023	21,871	17,721	$135,441	$5,816,235,000	0.03%	0.3%
16/06/2023	75,226	29,689	$2,858,060	$14,926,402,373	0.56%	0.78%
15/12/2023	203,759	127,052	$2,275,717	$46,238,687,302	0.44%	2.41%
20/12/2024	18,466	11,709	$263,282	$5,534,712,402	0.05%	0.29%
19/12/2025	9,256	15,579	$578,361	$5,968,015,543	0.11%	0.31%
18/12/2026	1,899	1,031	$30,535	$421,031,881	0.01%	0.02%
expiration	Put	Call	Gamma Notional	Delta Notional	Gamma %	Delta %

SPY Gamma Expiration Concentration:

SPY Expiration Concentration

expiration	Put	Call	Gamma Notional	Delta Notional	Gamma %	Delta %
03/12/2021	932,553	510,585	$458,132,328	$17,349,676,735	34.38%	7.47%
06/12/2021	233,228	150,900	$105,808,457	$4,445,530,422	7.94%	1.92%
08/12/2021	122,495	110,853	$39,540,244	$2,541,716,296	2.97%	1.09%
10/12/2021	549,500	218,665	$193,512,718	$9,059,170,237	14.52%	3.9%
13/12/2021	81,465	64,935	$22,381,988	$1,583,985,645	1.68%	0.68%
15/12/2021	208,850	226,939	$11,154,282	$8,492,827,357	0.84%	3.66%
17/12/2021	3,399,314	1,746,440	$181,852,371	$55,275,581,213	13.65%	23.81%
20/12/2021	38,089	51,948	$6,668,421	$1,248,409,860	0.5%	0.54%
22/12/2021	26,800	25,928	$1,492,672	$460,666,922	0.11%	0.2%
23/12/2021	272,352	99,235	$50,643,995	$3,959,492,137	3.8%	1.71%
27/12/2021	20,237	23,090	$1,931,446	$634,323,556	0.14%	0.27%
29/12/2021	21,462	24,926	$5,820,040	$680,041,088	0.44%	0.29%
31/12/2021	1,081,843	814,599	$16,155,262	$16,346,661,373	1.21%	7.04%
03/01/2022	13,141	13,514	$1,314,062	$332,728,108	0.1%	0.14%
05/01/2022	2,916	5,094	$1,321,424	$115,764,667	0.1%	0.05%
07/01/2022	33,431	35,160	$2,001,132	$755,054,057	0.15%	0.33%
21/01/2022	2,503,675	1,057,008	$94,145,517	$39,845,127,683	7.07%	17.17%
18/02/2022	570,870	362,660	$10,299,210	$11,965,157,837	0.77%	5.15%
18/03/2022	927,530	347,008	$50,953,173	$15,588,885,485	3.82%	6.72%
31/03/2022	95,048	32,520	$10,374,803	$1,865,611,348	0.78%	0.8%
14/04/2022	52,099	24,433	$3,056,417	$1,090,427,918	0.23%	0.47%
20/05/2022	101,458	44,476	$6,600,555	$1,967,913,507	0.5%	0.85%
17/06/2022	611,063	228,894	$19,014,370	$9,466,932,350	1.43%	4.08%
30/06/2022	11,832	16,162	$1,508,021	$457,670,231	0.11%	0.2%
16/09/2022	268,437	140,685	$2,488,240	$4,618,308,635	0.19%	1.99%
30/09/2022	13,529	15,452	$699,636	$559,862,658	0.05%	0.24%
16/12/2022	374,573	377,999	$19,744,948	$12,536,115,300	1.48%	5.4%
20/01/2023	120,772	97,669	$609,081	$3,247,062,832	0.05%	1.4%
17/03/2023	43,398	96,116	$8,197,924	$1,768,915,338	0.62%	0.76%
16/06/2023	26,173	25,944	$581,485	$669,999,412	0.04%	0.29%
15/12/2023	117,395	96,261	$3,882,691	$2,799,854,852	0.29%	1.21%
19/01/2024	9,402	19,479	$574,313	$391,200,156	0.04%	0.17%
expiration	Put	Call	Gamma Notional	Delta Notional	Gamma %	Delta %