How to Track Dealer Gamma Exposure

There is no dealer gamma feed to subscribe to, because the underlying positions are private. What exists is a reconstruction: the options chain is public, open interest is published after each settle, and the standard model of dealer positioning is well documented. Tracking gamma exposure is the discipline of running that reconstruction on a schedule — a fresh settled base every day, repriced as spot moves — and reading the same few levels off it every time.

The reconstruction has six steps, and the order matters: each one carries an assumption the next inherits, which is why two honest trackers can publish different levels for the same symbol on the same morning.

1. 01
   Start from the settled open-interest baseOpen interest — the count of open contracts per strike and expiry — is compiled by the Options Clearing Corporation and settled overnight. That settled figure is the base of every GEX calculation, and its date is part of the data: a surface built on Monday's settle says Monday's positioning, however fresh the spot price painted on it is. Profit Builders' settled snapshot runs at 4:10 PM ET, after the close, and its public pages rebuild at 4:33 PM ET.
2. 02
   Compute gamma for every contractEach contract's gamma must be computed at the current spot price — solve implied volatility from the contract's own market price (Profit Builders solves it from the contract's live quoted mid price), then compute gamma from that volatility. Near-the-money and near-expiry contracts dominate the result; deep out-of-the-money gamma rounds to zero, which is why raw open interest is a poor substitute.
3. 03
   Sign it as dealer exposureApply the dealer-positioning convention: call gamma counts positive, put gamma counts negative. The assumption underneath is that customers in aggregate sell calls (covered calls, overwriting) and buy puts (hedging), leaving dealers long call gamma and short put gamma. This is the step where trackers diverge most, and the step to ask any vendor about first.
4. 04
   Weight by open interest and aggregate by strikeMultiply each contract's signed gamma by its open interest and the spot price squared — that is what puts the answer in dollars, dollar gamma per share-price move — then sum across all expiries per strike. The output is the net GEX profile: hedging dollars by price level, the map everything else is read from.
5. 05
   Read the levels off the profileFour readings make the daily summary: the gamma flip (zero gamma) — where the cumulative profile changes sign, i.e. the boundary of the current regime; the call wall — the largest call-side strike; the put wall — the largest put-side strike; and spot's position relative to all three. Record them before the open; they are the day's terrain map.
6. 06
   Keep it current — reprice intraday, rebuild at the settleGamma is spot-dependent, so on a fixed open-interest base the levels still drift as spot moves: reprice the chain against live spot through the session (on Profit Builders, roughly every 30 seconds for the 20 most active names; the rest of the 194 from the daily settled snapshot and on demand). Then rebuild from the new settled base after the close — a position opened at 10 AM today enters the base only in tomorrow's settle, and no method can change that.

• The pre-open routineMost of the value is in a two-minute habit: after the new settle, note the flip, both walls, and spot's side of the flip for the symbols you trade. That is the regime, the ceiling reference, and the floor reference — the context every other decision of the day sits inside.
• Intraday: watch drift, not noiseThrough the session, the useful question is whether spot is approaching a level or a level is migrating toward spot. Repricing handles the arithmetic; the trader's job is noticing when the terrain itself is about to change regime.
• After the close: compare, don't just refreshDiffing today's profile against yesterday's — walls moving, flip migrating, total exposure growing or shrinking — turns a static map into a positioning story. Positioning builds over days; the settle-by-settle comparison is where that shows.

• It is not tracking live open interest. No such feed exists for anyone; open interest is an overnight settlement artifact. Any surface claiming live OI is layering a model on the settled base — sometimes a good one, always an estimate.
• It is not a one-time calculation. A gamma map computed once and framed is a historical document by tomorrow's settle. The tracking is the method, repeated.
• It is not a direction system. The method maps where hedging flow concentrates and which regime spot is in. What to do with that map — combined with flow, catalysts, and price action — remains the trader's call.

Worked on SPY, the routine looks like this: after the settle, SPY's new base rebuilds the profile; before the open you note the flip and which side of it SPY closed on, the call wall above and the put wall below, and how wide the defended range is. Through the session the levels reprice as SPY moves — a rally pressing into the call wall on a positive-gamma morning is a different trade from the same rally, same wall, with SPY already below its flip.

That daily SPY picture — flip, walls, and the full per-strike profile, with the settle date stamped on it — is maintained for you on the SPY gamma page, and the same routine exists for all 194 tracked symbols.

See today's SPY gamma levels →