Skip to content

Public beta · now openThe workspace is open.Create an account, explore, and help shape Orogex.Create your account →

Sign inSign up

REFERENCE · METHODOLOGY

Methodology.

The concept articles explain the ideas in plain language. This page gives the precise definitions behind the numbers Orogex shows, and the research we rely on.

What goes in

Orogex starts from the options chain for each underlying: every listed contract, its official open interest (the daily count of open contracts), and its implied volatility and Greeks from our market-data provider. The exposure numbers on a screen come from one snapshot of the chain, so they share a timestamp. The spot price can be newer than that snapshot, and the expected range is the reading captured near the session open.

Orogex is not a streaming feed. A new snapshot is built every 1–2 minutes at the fastest, so treat every number as a recent reading, not a tick-by-tick quote.

Contracts that have expired, and contracts whose model values fail basic checks (for example an implied volatility too low to be real), are left out of the stored exposures rather than filled in.

The dealer sign convention

Orogex uses total open interest: every contract outstanding, whoever holds it. Open interest does not say who holds each contract, so Orogex does not know how much of it belongs to dealers. It assumes that dealers are long calls and short puts. Under this convention, call gamma counts as positive exposure and put gamma as negative exposure. The convention is widely used in public gamma-exposure analysis. Every statement on this site about what dealers would do is a statement about this assumed book, not about observed dealer positions.

The evidence for it differs by side and product. End users are net buyers of index options, especially out-of-the-money puts, which supports dealers being short index puts (Gârleanu, Pedersen & Poteshman, 2009). The call side, dealers long calls, is a simplification for every product, and the same study found end users slightly net short single-stock options. Treat every exposure number as an estimate under this assumption.

Gamma exposure and its units

For each contract, Orogex stores:

  • GEX = gamma × open interest × 100 × spot price, with the sign set negative for puts.
  • The unit is dollars of delta change per $1 move in the underlying. Dividing by the spot price gives shares per $1 move.
  • Some sources quote GEX per 1% move instead. To convert, multiply our number by spot ÷ 100. With SPY at $500, $10 million per $1 is $50 million per 1%.

Net GEX at a strike is the call GEX plus the (negative) put GEX at that strike. Totals are plain sums of the stored values, so every view reads the same numbers.

Delta exposure is delta × open interest × 100 × spot price, using each option's own delta sign. The way vanna and charm exposure are signed is being corrected; their method will be published here with that fix.

Expiry scope

Exposure is shown for the expirations you select: a single expiration, or any set of expirations you choose, built by adding exactly those expirations' values together. The walls, the Gamma Flip Level and the regime are computed for that same selection, so changing it can change them.

How each level is found

  • Call wall: the strike with the largest positive net GEX in the selected scope.
  • Put wall: the strike with the most negative net GEX in the selected scope.
  • Gamma Flip Level (GFL): the zero crossing of net GEX closest to the current price. Candidates are (a) each pair of neighboring strikes whose net GEX has opposite signs, taking the price between them where a straight line between their values crosses zero, and (b) any strike whose net GEX is exactly zero while it has call or put exposure, meaning the two sides cancel. If there is no candidate, there is no GFL.
  • Max Pain: for each expiration on its own, the strike at which the total expiry value of open calls and puts would be smallest, searched over strikes within 30% of the current price.
  • Expected range: spot × implied volatility × √(days to expiry ÷ 365), with a one-day minimum. The implied volatility is that expiration's average across contracts with implied volatility between 5% and 200%, weighted by the session's traded volume with a minimum weight of one contract, so before much trades it is close to an equal-weight average. On the map it is captured near the session open. It is a one-standard-deviation estimate, not a limit.
  • Regime: the sign of net GEX at the current price, read between the two strikes around it. Positive means the convention book is long gamma there, negative means short gamma. Inside the two strikes that bracket the GFL, the regime reads as a transition.

The GFL and regime are local readings at today's price. They are different from a “scenario” gamma flip, which recalculates every option's gamma at a range of hypothetical prices and finds where the total changes sign. The two methods can give different answers, so compare definitions before comparing levels across services.

What is an estimate

  • Dealer positions are assumed from the sign convention above, not observed.
  • Hedging flows assume dealers hedge fully toward delta-neutral with the underlying. In practice they may offset risk with other options, hedge partly, or hedge late.
  • Open interest is a daily count. Intraday trading changes positions before the next count appears.
  • Greeks come from a pricing model. A change in an exposure number can come from new positions or from repricing as price, volatility and time change.
  • Named regimes and scores summarize these inputs. They are descriptions, not forecasts or win rates.

What the research supports

We cite research for the mechanisms the map is built on, and say where it stops.

  • Pinning. Stock prices cluster at strikes on expiration days (Ni, Pearson & Poteshman, 2005), and S&P 500 futures show a similar effect (Golez & Jackwerth, 2012). Hedging by long-gamma dealers is one mechanism that produces it (Avellaneda & Lipkin, 2003).
  • Hedging and volatility. Option hedging affects the volatility of the underlying stock (Ni, Pearson, Poteshman & White, 2021). Hedging by short-gamma positions is linked to momentum late in the trading day (Baltussen, Da, Lammers & Martens, 2021), and a working paper links dealer short gamma to intraday momentum and long gamma to reversal (Barbon & Buraschi).
  • 0DTE options. Cboe's research finds net market-maker gamma in SPX 0DTE options small relative to S&P 500 futures liquidity, and customer 0DTE flow close to balanced (Cboe, 2023 and 2025). A working paper finds 0DTE positioning did not amplify index moves in its sample (Dim, Eraker & Vilkov, 2024).
  • Volatility risk premium. It is defined and measured as the gap between option-implied and realized variance (Carr & Wu, 2009) and carries information about future returns (Bollerslev, Tauchen & Zhou, 2009).

We do not publish weekday patterns, fixed VIX thresholds, expiration multipliers or hit rates for levels unless we can show the study behind them.

References

Sources support the mechanisms described. They do not evaluate or endorse Orogex. Back to the concept library.