Dealer exposure

The continuous buying and selling a market maker must do in the underlying to stay neutral after taking the other side of an options trade.

This is the mechanism the whole section rests on. A dealer who sells you a call does not want a directional position, so they buy the underlying to offset it, and they must keep adjusting that offset as price and time move.

An estimate of how much the underlying dealers must buy or sell for a given move in price, aggregated across all open option positions.

Positive aggregate gamma implies dealers sell into strength and buy into weakness, which is described as dampening. Negative implies the reverse, described as amplifying. Every published GEX figure rests on an assumption about who holds which side, because that is not disclosed.

An estimate of the aggregate directional exposure dealers carry across all open option positions, expressed in underlying-equivalent terms.

Where gamma exposure describes how hedging changes with price, delta exposure describes the size of the hedge that already exists. It is the stock of the position rather than the flow.

An estimate of the aggregate sensitivity of dealer positions to a change in implied volatility.

Useful for understanding who is exposed to a volatility repricing rather than a price move. It carries the same positioning assumption as every other aggregate exposure figure.

Aggregate sensitivity of dealer delta to a change in implied volatility, and therefore of the hedge they must hold.

Vanna is a second-order Greek: it describes how the hedge changes when volatility moves rather than when price moves. It is invoked to explain why hedging flows appear on days when price barely moved but volatility did.

Aggregate sensitivity of dealer delta to the passage of time, independent of any move in price.

Charm is why hedging activity is often described as clustering into expiry, particularly on the final morning. Options drifting toward certain expiry require the hedge to be unwound whether or not anything happens.

The price at which aggregate gamma exposure is estimated to cross from positive to negative.

Treated as a boundary between a dampening and an amplifying hedging regime. It is a derived level built on an assumed positioning model, and it moves as open interest changes, so it is not a fixed line on a chart.

Shorthand for whether dealers in aggregate are estimated to be positioned such that their hedging suppresses moves or accelerates them.

The claim is that a long-gamma market grinds and mean-reverts while a short-gamma market trends and gaps. Whether this holds in any particular market is an empirical question, and the estimate can be wrong about the sign entirely.

The unverifiable premise underneath every dealer exposure figure: that you can infer who is long and who is short from open interest alone.

Exchanges publish open interest, not ownership. The common convention assumes customers buy calls and sell puts, with dealers taking the opposite side. It is a modelling choice, it is sometimes wrong, and when it is wrong every figure built on it has the wrong sign.