SPDR S&P 500 ETF, the most heavily traded options underlying in the world.
The flip is where the hedging regime changes. The heaviest positive node is the strike dealers lean against hardest; the heaviest negative node is where hedging pushes price away. Three different things, labelled separately.
Market makers who have sold options carry the other side of every position a trader holds. To stay neutral they hedge in the underlying, and the direction of that hedging depends on the sign of their aggregate gamma.
Above the flip, dealers are typically long gamma. Hedging then leans against price. They sell into rallies and buy into dips, which compresses realised range. Breakouts need more fuel than usual, and moves that would run on another day stall.
Below the flip, the same hedging runs with price instead of against it. Selling begets selling, and a move that starts small extends. This is why range and direction are different questions, and why the flip matters more than most single levels: it is where the market's behaviour changes, not merely where it might pause.
The strike carrying the largest positive gamma is defended, hedging into it resists moves away from it. The strike carrying the largest negative gamma is the opposite: hedging there pushes price away. Both are "the biggest number in the book", and treating the second as support is one of the more expensive mistakes available in this data.
This page names which one it is showing, every time.
Nothing on this page has been measured walk-forward in this product. It describes structure (where exposure sits and what hedging does around it) and it stops there. 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.
The two directional claims this product does publish with numbers behind them, including the tests that found no edge and cost us features, are on the proof page.
Strike-by-strike exposure across every expiry, the term structure, and a written read every session.
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