Published Mon–Fri · 09:25 ET

GEX Levels

Today’s gamma-exposure map for ES, NQ and M2K: the zero-gamma flip, the call and put walls, and every significant level in between. Computed from SPY, QQQ and IWM option chains before the open and mapped onto futures prices.

How gamma moves the market

Generated Tue Nov 3, 14:25 UTC · computed from options open interest, not price or volume

ES

MES · NESfrom SPY

Short gamma-2.63 bn per 1% · dealers short gamma, moves amplified

Zero γ: 7,624.51
Call wall: 7,560.00
Put wall: 7,560.00

Price	Level	Net GEX
7,624.51	Zero γ	–
7,620.00	GEX level	-0.25 bn
7,610.00	GEX level	-0.38 bn
7,581.00	ES at run
7,570.00	GEX level	-0.34 bn
7,560.00	Call wall	-0.04 bn
7,560.00	Put wall	-0.04 bn
7,460.00	GEX level	-0.63 bn

Basis +60.00 · SPY spot 752.10 · Expiries Nov 3, Nov 4, Nov 5

NQ

MNQ · NNQfrom QQQ

Short gamma-1.32 bn per 1% · dealers short gamma, moves amplified

Zero γ: 28,485.75
Call wall: 28,388.56
Put wall: 28,265.56

Price	Level	Net GEX
28,485.75	Zero γ	–
28,470.56	GEX level	-0.12 bn
28,388.56	Call wall	+0.00 bn
28,347.56	GEX level	-0.24 bn
28,310.25	NQ at run
28,306.56	GEX level	-0.17 bn
28,265.56	Put wall	-0.64 bn
28,060.56	GEX level	-0.17 bn

Basis +385.56 · QQQ spot 681.09 · Expiries Nov 3, Nov 4, Nov 5

M2K

RTY · N2Kfrom IWM

Short gamma-0.14 bn per 1% · dealers short gamma, moves amplified

Zero γ: 2,838.47
Call wall: 2,836.10
Put wall: 2,836.10

Price	Level	Net GEX
2,846.10	GEX level	+0.03 bn
2,838.47	Zero γ	–
2,836.10	Call wall	-0.07 bn
2,836.10	Put wall	-0.07 bn
2,827.50	RTY at run
2,826.10	GEX level	-0.05 bn
2,816.10	GEX level	-0.02 bn
2,776.10	GEX level	-0.06 bn

Basis +36.10 · IWM spot 279.14 · Expiries Nov 3, Nov 4, Nov 5

How to read the map

Zero gamma

The price where dealers’ net gamma changes sign. Above it they are long gamma and their hedging tends to damp moves; below it they are short gamma and hedging tends to amplify them.

Call wall

The level with the largest positive gamma exposure. Dealer hedging around it often slows a rally, so it is widely watched as resistance.

Put wall

The level with the most negative gamma exposure, widely watched as support. A clean break through it can push the market into short-gamma territory.

Regime

Net dealer gamma in billions of dollars per 1% move. Long gamma means moves tend to be dampened; short gamma means they tend to be amplified.

These are proxy levels: ETF option gamma is not identical to futures gamma, so the map is best used for the big flip and walls rather than every strike. Each future is anchored to its live price at run time, which corrects the basis through quarterly rolls.

See the levels on your chart

The GEX Levels indicator for NinjaTrader 8 draws each day’s flip and walls on ES, NQ and M2K charts and their micro contracts, confined to that session.

About the indicator