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 %
03/02/2023	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 %