Concept

The gamma flip point

The level where dealer hedging stops damping the market and starts feeding it.

SPY right now

Spot 757.17
Environment negative gamma
Net gamma exposure -$634.6M
Computed moments ago · 15-minute delayed option data.

Why the sign matters more than the size

Market makers who have sold options hold the other side of every position a trader carries, and hedge in the underlying to stay neutral. The direction of that hedging depends on the sign of their aggregate gamma, not its magnitude. A very large positive number and a very large negative number describe opposite markets.

Above the flip: hedging leans against price

Dealers long gamma sell into rallies and buy into dips, because that is what keeps them delta-neutral as price moves. The effect is mechanical and it compresses realised range. Breakouts need more fuel than usual and moves that would run on another day stall.

Below the flip: hedging runs with price

The same mechanism inverts. Dealers short gamma must sell as price falls and buy as it rises, so selling begets selling and a move that starts small extends. This is why range and direction are separate questions: the flip tells you which kind of session the book is set up for, not which way it goes.

What it does not tell you

Nothing on this page has been measured walk-forward in this product. Gamma at a strike is also partly endogenous to price, open interest builds at strikes price is approaching, so "the node pulled price up" may have the causality backwards.

Related

Live flip levels by indexDealer positioning

Other concepts

VannaDealer positioningQuantitative Exhaustion

See it on live chains

Dealer gamma across the expiry curve, and a written read every session.

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