How DealerEdgecalculates GEX.

If you are new to the concept itself, start with What Is Gamma Exposure? - this page assumes you know what gamma is and focuses on how our numbers are actually produced.

1. Data sources

Every GEX figure on DealerEdge is built from a live listed options chain. For each ticker we take a current snapshot of the contracts that matter for hedging and use:

• Gamma - the per-contract gamma from the chain. When a greek is missing on a thin name, we estimate it from the available contract inputs so the strike still appears.
• Open interest- the contract's reported open interest. Important caveat: open interest is an exchange-reported figure that updates once per day, before the open. Intraday GEX changes you see come from spot, greeks, and volume moving - not from intraday OI updates. See Limitations.
• Day volume - used as a fallback weight when a contract has no reported open interest (typical for contracts listed today), and displayed alongside OI in the heatmap.
• Implied volatility - used for the vanna (VEX) and charm surfaces.

Spot price comes from the live index or equity quote for that ticker, with fallbacks so a single feed hiccup does not blank the model.

The model stays focused on strikes and expirations that actually matter for hedging, then the heatmap shows the nearby grid around spot.

2. How contracts become GEX

Each contract's gamma is signed for dealer positioning (calls add, puts subtract), scaled to the standard option contract size, and weighted by open interest. If OI is missing, we fall back to day volume so a newly listed strike still registers.

Those contributions are summed by expiration and strike. That grid - strike rows by expiration columns - is what the DealerEdge heatmap renders. For the key levels described below, the grid is collapsed into a single net GEX per strike by summing across expirations.

The figure is a signed, relative measure of where hedging pressure concentrates - not a dollars-per-percent-move "notional dollar GEX." Compare our magnitudes inside our own charts, not against another platform's units.

Alongside gamma we compute two second-order surfaces from the same chain: VEX (vanna exposure - sensitivity of delta to implied volatility) and charm (delta decay over time). Both use the same call-positive / put-negative convention and the same open-interest-first weighting as gamma.

3. The dealer-positioning assumption

This is the most important paragraph on this page. 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 so do we.

Our convention is the standard one used across the GEX literature: call gamma is counted as positive dealer gamma and put gamma as negative dealer gamma. That encodes the assumption that, in aggregate, customers tend to sell calls (covered calls, overwriting) and buy puts (hedging), leaving dealers net long calls and net short puts. When that assumption holds, positive net GEX means dealers hedge against price moves (sell rallies, buy dips - stabilizing) and negative net GEX means dealers hedge with price moves (sell weakness, buy strength - destabilizing).

The assumption is reasonable on broad indices most of the time, and it is exactly that - an assumption. In names or moments where customer flow inverts (heavy call buying in a meme-stock squeeze, for example), the true dealer book can be positioned opposite to what any fixed sign convention implies. We state this plainly rather than pretending the model sees dealer inventory directly.

4. How the Flip Point is derived

The Flip Point is the price level where net GEX changes sign - the boundary between the stabilizing (positive-gamma) and destabilizing (negative-gamma) regimes. The GEX Flip Point explainer covers how traders use it. In short, we look at net GEX by strike, find where the profile changes sign, and pick the crossing nearest to spot so the level matches the hedging regime price is actually in.

If every strike has the same sign, there is no true flip, and we fall back to the strike with the weakest net GEX near spot. If there is no usable data, the Flip Point is reported at spot rather than fabricated.

5. How the Anchor is selected

The Anchor Point is simply the strike with the largest absolute net GEX across all expirations - the single strike where the most hedging gravity is concentrated, whichever sign it carries. Price tends to get drawn toward and pinned near heavily positive anchors, and to move violently through heavily negative ones.

DealerEdge also computes a Charm Anchor using the identical max-absolute-sum rule applied to the charm surface instead of gamma: the strike where aggregate delta decay is strongest, which is where time-decay-driven hedging tends to pull price as expiration approaches.

6. How Defense Lines are selected

Defense Lines are the next largest GEX concentrations after the Anchor. They are secondary levels where dealer flows are large enough to act as support or resistance. Selection is mechanical: no curve fitting and no discretion.

7. The GEX Rating (1-5)

The GEX Rating compresses the whole per-strike profile into a single 1-5 score from the balance of positive versus negative net GEX. Higher scores mean a more positive-gamma (stabilizing) book. Lower scores mean a more negative-gamma (volatile) book.

The rating is a volatility-regime score, not a directional signal. A 5 does not mean "bullish" and a 1 does not mean "bearish." A 4-5 environment is one where dealer hedging dampens moves in both directions; a 1-2 environment is one where hedging amplifies moves in both directions. A market can grind down through a rating-5 regime and squeeze violently upward through a rating-1 regime. When the chain is empty or balanced, the rating sits at a neutral 3. The GEX Rating explainer covers how to trade around each regime.

GEX updates on this schedule (all times Eastern, market holidays skipped):

During regular trading hours, those live updates also feed DealerEdge replay. The intraday GEX history you can scrub through is the same data members saw live, not a reconstruction.

Same-day (0DTE) expirations are included in the chain throughout the trading session. Given how much SPX and SPY volume now trades in 0DTE contracts, excluding them would make the model blind to the largest driver of intraday dealer hedging.

The roll happens after the close: expired same-day contracts leave the grid, and the front expiration column is rebuilt so the evening and next open show the live chain. Time-sensitive greeks (VEX and charm) decay through the session instead of sitting at a full calendar day until midnight.

One practical consequence worth knowing: because expired strikes drop out at the roll, a large gap between the 4:05 PM close snapshot and the next morning's picture usually reflects expiration mechanics, not new positioning.