The SPX Daily

What this is

The SPX Daily is a short read on S&P 500 index option positioning, published after the close every market day. It focuses on one thing: where option dealers are positioned in gamma, and how that positioning shapes the tape.

Gamma exposure

Market makers who take the other side of option flow hedge their exposure in the underlying. The direction and intensity of that hedging depends on net gamma. When dealers are long gamma, they sell strength and buy weakness, which suppresses movement and pins price near large strikes. When dealers are short gamma, they buy strength and sell weakness, which amplifies movement in both directions.

Sign convention

Nobody can observe dealer inventory directly, so every GEX model rests on an assumption about which side of the trade dealers hold. Our baseline assumes dealers are long calls sold by overwriters and short puts bought as protection, the most common convention. We state this openly because the assumption drives the sign of the output, and any service that hides its convention is asking you to trust a number you cannot interrogate.

The levels

Zero gamma is the spot level where net dealer gamma flips sign, the battleground between the pinned regime above and the fuel regime below. Walls are strikes with the largest concentrations of gamma, and they behave like decision points: in a positive regime they attract and hold price, in a negative regime they give way and accelerate it.

Data

Levels are computed from the full SPX option chain, refreshed throughout the session, and snapshotted at the close for each edition. The live strip on the front page updates every couple of minutes during market hours.

Not advice

The SPX Daily is market commentary and education. Nothing here is a recommendation to buy or sell any security. Options involve substantial risk and are not suitable for every investor.