How Profit Builders Calculates Gamma Exposure

Our GEX surface is built from settled open interest — the OCC's overnight count of open contracts — repriced against live spot through the session. Gamma for every contract is computed in-housefrom the contract's own market price; we do not take Greeks from a vendor chain. Dealer positioning is estimated with the standard sign convention, which is an assumption, and we treat it as one below.

• Open interest— the settled OCC figure for each contract. It is final for the prior session and refreshes once a day, after the close: our settled snapshot runs at 4:10 PM ET and the public ticker pages rebuild at 4:33 PM ET. Today's trades do not enter the open-interest base until tomorrow's settle.
• Spot price — live, from the Alpaca SIP feed.
• Option prices — the live NBBO for each contract, from Databento. The mid of that quote is the price we solve against.
• Universe — 194 tickers: the index ETFs and the liquid single names where dealer hedging actually concentrates.

For every contract in the chain we solve implied volatility numerically (Newton–Raphson) from the contract's NBBO mid and the live spot, then compute Black–Scholes gamma from that volatility. No vendor-supplied Greeks are used anywhere in the surface.

Each contract's gamma is then:

1. Signed by the dealer-positioning convention — call gamma positive, put gamma negative (see §3 for what that assumes).
2. Weighted by settled open interest and scaled by the standard 100-share contract multiplier.
3. Summed per strike across expirations, producing a net GEX profile by strike — the map our charts render against price.

Nobody outside a dealer's own risk system knows actual dealer inventory — not us, not any GEX vendor. Every GEX model converts an option chain into an estimate of dealer positioning by applying a sign convention, and ours is the standard one used across the GEX literature: customers, in aggregate, tend to sell calls (covered calls, overwriting) and buy puts (hedging), leaving dealers long call gamma and short put gamma.

When that assumption holds, positive net GEX means dealer hedging works against price moves — dealers sell rallies and buy dips, which dampens volatility — and negative net GEX means hedging works with price moves, which amplifies them. In names or moments where customer flow inverts — heavy speculative call buying is the classic case — the true dealer book can sit opposite to what any fixed convention implies. We state that plainly rather than pretending the model sees dealer books directly.

• Gamma flip — the price where net GEX changes sign: the boundary between the dampening regime and the amplifying one. Where several crossings exist, we show the one nearest spot, because that is the regime price is actually trading in.
• Largest gamma strikes — the strikes carrying the biggest absolute net GEX. These are where hedging flow concentrates if price reaches them: a heavily positive strike tends to pin and resist price; a heavily negative one tends to let price move through violently.

Levels describe where mechanical hedging flow should appear. They are not direction calls, and they are not predictions.

What does notmove intraday is the open-interest base itself: a position opened at 10 AM is invisible to OI-weighted GEX until tomorrow's settle. Every chart discloses this — each one is stamped with the date its open interest was settled. We are calibrating a separate flow-based estimate of intraday open interest; the published surface does not use it, and will not until it has proven itself against enough settled days.

• Open interest lags by a day.This is a property of the OCC settlement process, not of our pipeline. Any vendor showing “live OI” is showing an estimate on top of the same settled base.
• The sign convention is an assumption, as covered in §3. When real customer flow inverts, the sign of the estimate can be wrong.
• Vendors disagree. Strike windows, expiration windows, weighting, and units differ across providers. Our magnitudes are relative within our own charts; compare regimes and levels across platforms, not raw numbers.
• Thin chains carry more model risk. Index names are deep and well quoted. Sparse names have fewer contracts and noisier quotes, and their surfaces should be read with more caution.
• GEX is context, not prediction. It maps the hedging pressure field price is moving through. Earnings, macro prints, and forced liquidations run straight through gamma levels regularly. Let price action confirm whether the mechanical flows actually appeared.

The surface described here is the one running on Profit Builders now: gamma pages for all 194 names, updated on the cadence above, next to the live options flow that shows what is actually trading against that terrain.