Trading glossary
Gamma Exposure Calculation
Gamma exposure (GEX) is calculated strike by strike: take the gamma of the options at that strike, multiply by open interest, by 100 shares per standard contract, and by the spot price squared times 0.01. Calls add positive exposure and puts add negative exposure under a common simplified assumption that dealers are long calls and short puts. Add every strike together to get the market’s total estimated gamma exposure.
The formula, piece by piece
| Part | What it is | Where you get it |
|---|---|---|
| Gamma | Estimated delta change for a $1 move | Options chain or data provider |
| Open interest | Contracts still open at that strike | Options chain |
| 100 | Shares represented by a standard equity option | Contract specification |
| Spot² × 0.01 | Converts the estimate to dollars per 1% move | Current underlying price |
Gamma changes with spot, volatility, time, and expiration. Open interest is also a snapshot rather than a live map of who owns each side. The calculation is an estimate built on those inputs and a sign convention.
A worked example
These numbers are illustrative. Assume spot is $500, one call strike has 0.02 gamma, and 10,000 contracts are open.
First calculate the 1% spot conversion:
$500² × 0.01 = $250,000 × 0.01 = $2,500
Then carry the strike through the formula:
0.02 × 10,000 = 200
200 × 100 shares = 20,000
20,000 × $2,500 = $50,000,000 per 1% move
Now assume a put strike produces $35,000,000 under the same arithmetic. Under the calls-positive, puts-negative convention:
+$50,000,000 − $35,000,000 = +$15,000,000 net GEX
Repeat the arithmetic across every strike and expiration to build the full profile.
What the total means, briefly
A positive total is commonly associated with hedging that may dampen moves as dealers sell rallies and buy dips to stay neutral. A negative total is commonly associated with hedging that may amplify moves. These are modeled tendencies, not guaranteed market behavior. Read the complete GEX guide for the trading context.
Where traders get the inputs
Open interest and gamma appear on many options chains. Running the calculation across thousands of contracts requires clean chain data, consistent expirations, and a documented sign convention, so most retail traders use a platform that calculates the profile for them.
Frequently asked questions
How do you calculate gamma exposure?
Multiply gamma by open interest, by 100, and by spot price squared times 0.01. Calculate each strike, apply the sign convention, and add the results.
Why is spot price squared in the GEX formula?
Gamma is measured as delta change for a $1 move. Spot squared times 0.01 converts that sensitivity into estimated dollar exposure for a 1% move.
Is GEX calculated with calls positive and puts negative?
Under a common simplified dealer-positioning convention, yes. Other models use different signs or infer positioning from trades. Always check the methodology before comparing providers.
Related terms
Put the definition into practice