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 % |
---|---|---|---|---|---|---|
03/02/2023 | 444,557 | 119,396 | 119,705,349 | 15,462,630,747 | 13.56 | 1.00 |
06/02/2023 | 146,206 | 32,861 | 33,394,830 | 8,312,803,437 | 3.78 | 0.54 |
07/02/2023 | 37,507 | 15,910 | 8,057,895 | 2,348,532,174 | 0.91 | 0.15 |
08/02/2023 | 73,677 | 25,065 | 23,743,169 | 5,974,760,349 | 2.69 | 0.38 |
09/02/2023 | 43,753 | 7,574 | 1,867,987 | 1,442,920,836 | 0.21 | 0.09 |
10/02/2023 | 182,440 | 62,405 | 56,977,693 | 15,088,737,308 | 6.46 | 0.97 |
13/02/2023 | 57,806 | 19,217 | 13,189,579 | 5,538,976,472 | 1.49 | 0.36 |
14/02/2023 | 22,438 | 13,274 | 4,517,580 | 4,025,915,901 | 0.51 | 0.26 |
15/02/2023 | 35,071 | 13,828 | 8,238,215 | 3,730,129,581 | 0.93 | 0.24 |
16/02/2023 | 9,233 | 3,004 | 798,102 | 1,164,546,159 | 0.09 | 0.07 |
17/02/2023 | 1,318,489 | 588,608 | 178,383,114 | 162,616,986,331 | 20.21 | 10.47 |
21/02/2023 | 4,476 | 3,391 | 1,310,696 | 940,999,772 | 0.15 | 0.06 |
22/02/2023 | 7,519 | 4,238 | 2,798,487 | 1,366,501,799 | 0.32 | 0.09 |
23/02/2023 | 1,208 | 1,322 | 501,222 | 255,311,809 | 0.06 | 0.02 |
24/02/2023 | 99,729 | 39,987 | 20,127,517 | 11,128,525,058 | 2.28 | 0.72 |
27/02/2023 | 7,802 | 4,620 | 2,418,910 | 1,071,852,265 | 0.27 | 0.07 |
28/02/2023 | 257,134 | 71,467 | 29,959,622 | 17,988,312,083 | 3.39 | 1.16 |
01/03/2023 | 6,910 | 5,883 | 3,955,534 | 1,732,547,185 | 0.45 | 0.11 |
02/03/2023 | 1,047 | 182 | 64,379 | 62,204,270 | 0.01 | 0.00 |
03/03/2023 | 93,273 | 30,748 | 12,459,493 | 8,308,852,699 | 1.41 | 0.54 |
06/03/2023 | 5,769 | 4,151 | 1,014,767 | 1,464,181,335 | 0.11 | 0.09 |
10/03/2023 | 48,190 | 13,167 | 4,587,045 | 3,359,022,638 | 0.52 | 0.22 |
13/03/2023 | 1,648 | 106 | 553,817 | 154,377,053 | 0.06 | 0.01 |
17/03/2023 | 2,279,567 | 1,349,948 | 155,391,862 | 422,038,592,607 | 17.61 | 27.18 |
24/03/2023 | 17,502 | 2,160 | 3,113,477 | 1,548,792,029 | 0.35 | 0.10 |
31/03/2023 | 450,423 | 195,749 | 61,049,126 | 58,936,286,766 | 6.92 | 3.80 |
21/04/2023 | 729,886 | 262,865 | 26,397,392 | 71,162,442,251 | 2.99 | 4.58 |
28/04/2023 | 89,666 | 33,531 | 5,463,006 | 9,666,432,757 | 0.62 | 0.62 |
19/05/2023 | 309,235 | 124,122 | 13,317,923 | 34,161,682,095 | 1.51 | 2.20 |
31/05/2023 | 46,081 | 6,098 | 1,377,928 | 2,879,435,018 | 0.16 | 0.19 |
16/06/2023 | 1,175,865 | 592,977 | 26,044,444 | 177,970,390,025 | 2.95 | 11.46 |
30/06/2023 | 50,245 | 30,207 | 3,310,584 | 10,225,056,342 | 0.38 | 0.66 |
21/07/2023 | 183,534 | 61,133 | 1,980,330 | 20,250,912,695 | 0.22 | 1.30 |
31/07/2023 | 3,365 | 1,038 | 130,867 | 452,182,903 | 0.01 | 0.03 |
18/08/2023 | 130,180 | 69,204 | 6,468,222 | 18,849,565,446 | 0.73 | 1.21 |
15/09/2023 | 368,063 | 247,434 | 19,099,683 | 64,060,053,605 | 2.16 | 4.12 |
29/09/2023 | 23,589 | 29,008 | 5,197,716 | 7,931,699,492 | 0.59 | 0.51 |
20/10/2023 | 84,436 | 59,057 | 5,255,810 | 15,129,016,366 | 0.60 | 0.97 |
17/11/2023 | 69,204 | 51,168 | 2,768,716 | 16,957,104,890 | 0.31 | 1.09 |
15/12/2023 | 1,054,663 | 739,288 | 4,541,024 | 210,944,226,789 | 0.51 | 13.58 |
29/12/2023 | 5,074 | 6,285 | 654,996 | 2,276,755,920 | 0.07 | 0.15 |
19/01/2024 | 87,447 | 61,773 | 1,809,025 | 20,515,843,130 | 0.20 | 1.32 |
16/02/2024 | 4,288 | 5,564 | 257,764 | 785,911,942 | 0.03 | 0.05 |
15/03/2024 | 26,410 | 18,767 | 374,862 | 5,854,677,367 | 0.04 | 0.38 |
21/06/2024 | 211,254 | 89,741 | 7,395,538 | 36,274,063,836 | 0.84 | 2.34 |
20/12/2024 | 204,670 | 194,650 | 1,992,362 | 49,430,600,918 | 0.23 | 3.18 |
19/12/2025 | 45,400 | 35,852 | 6,078 | 13,192,937,761 | 0.00 | 0.85 |
18/12/2026 | 20,657 | 53,357 | 593,512 | 5,600,656,448 | 0.07 | 0.36 |
17/12/2027 | 8,615 | 6,892 | 5,168 | 2,338,643,505 | 0.00 | 0.15 |
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 % |
---|---|---|---|---|---|---|
03/02/2023 | 1,146,949 | 308,492 | 263,149,413 | 5,720,066,077 | 33.08 | 3.41 |
06/02/2023 | 217,687 | 109,883 | 41,129,093 | 3,104,931,602 | 5.17 | 1.85 |
07/02/2023 | 88,689 | 41,859 | 7,847,147 | 1,276,367,706 | 0.99 | 0.76 |
08/02/2023 | 112,467 | 49,428 | 2,894,112 | 1,641,393,529 | 0.36 | 0.98 |
09/02/2023 | 72,904 | 30,734 | 2,767,102 | 1,106,632,960 | 0.35 | 0.66 |
10/02/2023 | 760,260 | 250,255 | 166,403,896 | 7,490,342,075 | 20.92 | 4.46 |
13/02/2023 | 21,600 | 17,800 | 8,711,497 | 592,320,928 | 1.10 | 0.35 |
14/02/2023 | 31,241 | 24,042 | 2,144,275 | 811,675,856 | 0.27 | 0.48 |
15/02/2023 | 15,698 | 11,741 | 688,115 | 378,233,277 | 0.09 | 0.23 |
16/02/2023 | 2,733 | 5,474 | 624,622 | 88,348,221 | 0.08 | 0.05 |
17/02/2023 | 3,164,686 | 907,787 | 77,906,153 | 27,300,163,565 | 9.79 | 16.26 |
24/02/2023 | 417,162 | 102,375 | 9,666,809 | 3,981,475,682 | 1.22 | 2.37 |
03/03/2023 | 356,805 | 105,565 | 2,263,534 | 3,866,541,295 | 0.28 | 2.30 |
10/03/2023 | 218,034 | 27,518 | 12,501,259 | 1,298,251,224 | 1.57 | 0.77 |
17/03/2023 | 2,725,436 | 1,229,541 | 33,512,833 | 36,781,589,652 | 4.21 | 21.90 |
24/03/2023 | 5,964 | 635 | 1,291,282 | 53,044,832 | 0.16 | 0.03 |
31/03/2023 | 754,521 | 235,936 | 16,424,764 | 7,004,428,657 | 2.07 | 4.17 |
21/04/2023 | 992,736 | 314,542 | 30,866,434 | 11,277,350,995 | 3.88 | 6.72 |
19/05/2023 | 322,132 | 56,088 | 44,336,698 | 3,521,120,553 | 5.57 | 2.10 |
16/06/2023 | 1,169,489 | 702,449 | 21,739,361 | 22,338,689,736 | 2.73 | 13.30 |
30/06/2023 | 148,006 | 87,827 | 5,178,182 | 2,402,737,920 | 0.65 | 1.43 |
21/07/2023 | 116,589 | 29,619 | 7,385,310 | 1,208,623,792 | 0.93 | 0.72 |
15/09/2023 | 297,664 | 101,938 | 14,411,605 | 3,959,852,443 | 1.81 | 2.36 |
29/09/2023 | 18,867 | 13,333 | 316,009 | 420,200,508 | 0.04 | 0.25 |
15/12/2023 | 506,982 | 429,832 | 9,530,633 | 7,784,527,225 | 1.20 | 4.64 |
29/12/2023 | 6,513 | 4,330 | 117,294 | 108,983,926 | 0.01 | 0.06 |
19/01/2024 | 240,309 | 194,032 | 1,312,333 | 4,714,086,086 | 0.16 | 2.81 |
15/03/2024 | 538 | 449 | 16,367 | 18,266,546 | 0.00 | 0.01 |
21/06/2024 | 115,707 | 185,848 | 9,244,429 | 3,530,316,054 | 1.16 | 2.10 |
20/12/2024 | 182,419 | 128,498 | 234,684 | 3,412,446,090 | 0.03 | 2.03 |
17/01/2025 | 18,003 | 12,434 | 383,752 | 447,941,756 | 0.05 | 0.27 |
21/03/2025 | 1,430 | 1,074 | 4,968 | 38,297,239 | 0.00 | 0.02 |
19/12/2025 | 7,634 | 10,703 | 383,195 | 238,969,902 | 0.05 | 0.14 |
expiration | Put | Call | Gamma Notional | Delta Notional | Gamma % | Delta % |