=== /gex — DEALER GAMMA REGIME · IWM === QUESTION: Is the market set up to BLAST in a direction, or chop in jagged broken shards? VERDICT: NO CLEAR GAMMA REGIME Net dealer gamma at this price is close to balanced, so hedging is not steering the tape either way. NO CLEAR GAMMA REGIME. Net dealer gamma at this price is close to balanced and price is away from the centre of mass, so dealer hedging is not shaping the tape much in either direction. Little of it expires today, so this neutral configuration is a durable one rather than a same-day quirk. DIRECTIONAL LEAN: DOWN WEAK DOWNWARD LEAN. Two asymmetries in the book point the same way: there is more open room between price and the heavy strike BELOW it than there is up to the heavy strike above, so the concentrated hedging is the nearer obstacle overhead rather than underneath — and the gamma centre of mass sits below spot. This describes where hedging is and is not concentrated, not a call on direction, and it is much weaker than the regime reading above it. -- DOES THE OPTION BOOK CALM OR AMPLIFY THIS MOVE? (regime curve, forward book) -- at spot the book is AMPLIFYING moves (dealers short gamma — hedging runs WITH the tape, an accelerant). dealer gamma at spot: -$220.3M per 1% move. flip (regime boundary): 277.91, 0.40% above spot 276.80. MODELLED, NOT MEASURED. Each contract is repriced with Black-Scholes gamma while its implied vol and days-to-expiry are held FIXED and spot is hypothetically moved (a sticky-strike assumption); r=0; same-day options are floored to 1 day of time so their gamma stays finite (they are removed entirely on the forward book); the contract universe is identical to the per-strike chart (+/-15% of spot, nearest 6 expiries); OI-weighted, never volume; calls +1, puts -1, netted per contract. -- WHAT TIME AND VOL FORCE DEALERS TO DO (same signed book, forward book) -- as of 2026-10-26T20:23:02+00:00 · remaining time to the banked texp instant, 5-minute floor · source: gamma/data/chain x-block + header texp/rate/q; OI-only; never volume CHARM at spot: -$156.33B dollar-delta per year = -$428.0M per calendar day. Time passing is forcing dealers to BUY the underlying to stay hedged (they are decaying into a shorter delta). Under the usual dealer-side convention only — if the convention is wrong, they sell instead. of which 0DTE — / rest -$156.33B (0 same-day contracts). charm flip (where time-decay hedge flow changes sign): 285.35, 3.09% from spot. VANNA at spot: +$11.07B dollar-delta per 1.00 vol = +$110.7M per vol-point. If implied vol FALLS 1 point, dealers would have to BUY the underlying to stay hedged (and SELL if vol rises). Under the usual dealer-side convention only. chain's own xcharm/xvanna (not fused; archive 12h floor): -$156.33B / +$11.07B LATE-DAY GAMMA absent: this snapshot is already past 15:45 ET (or past 15 minutes before expiry) — a late-day reprice is not invented from a later clock CONVENTIONAL AMPLIFIERS / ABSORBERS (most-negative / most-positive dollar-gamma inside ±2% of price). Not VolSignals tests — we cannot see who is actually short. amplifier 1 275.00 -0.65% -$91.0M per 1% 17,951 net contracts amplifier 2 272.00 -1.73% -$75.2M per 1% 22,729 net contracts amplifier 3 274.00 -1.01% -$51.3M per 1% 11,597 net contracts absorber 1 280.00 +1.16% +$102.0M per 1% 21,812 net contracts absorber 2 282.00 +1.88% +$49.1M per 1% 14,448 net contracts absorber 3 279.00 +0.79% +$36.4M per 1% 6,830 net contracts 0DTE ACTIVITY (not a position): in-band 675,396 contracts of volume across 128 listed lines; 28 lines still report OI 0 with volume > 0. Never used as a weight. including outside the ±15% band: 675,421 contracts, 33 oi=0-with-volume lines. ! WHICH SIDE ARE DEALERS ACTUALLY ON? These greeks cannot see it. Every sign here infers dealers long calls and short puts. When customers have been BUYING calls, dealers are short them and a "long" line is actually a short — the absorb/amplify label flips. Nothing on this page confirms the direction. VolSignals, 2026-08-31: 20 of 36 SPX 0DTE lines over 300 contracts carried the opposite sign under this convention. ! These numbers are not an input to verdict.regime / decay / pin / lean. MODELLED, NOT MEASURED. Same signed book as the per-strike GEX chart (±15% of spot, nearest 6 expiries, OI-only, never volume). Time remaining is the clock to the banked expiry instant, not a 1-day floor — so 0DTE gamma and charm into the close are visible here and hidden on the regime curve above (that curve keeps the 1-day floor so it stays comparable to the banked history). The late-day gamma slice is the SAME open-interest book with less time left — not a forecast of trades or of price. 0DTE contracts with oi=0 do not appear. The dealer-side sign is the usual convention (customers sell calls / buy puts) and is often wrong; VolSignals showed 20 of 36 large 0DTE lines carrying the wrong sign under it. Read the NUMBERS as concentrations; read the DIRECTION as an assumption. -- TIME-DECAY HEDGING, THE SESSION AHEAD (charm field) -- session 2026-10-27, 09:30 to 16:00 ET in 5-minute steps (79 of them) x 22 levels 271.50 to 282.00 (forward book). Each cell is the dealer dollar-delta that must be hedged over that one step at that level, with the index standing still. Negative = dealers BUY, positive = they SELL. NEXT 60 MINUTES at 277.00: -$18.3M = -130.9 RTY contracts — dealers BUY (convention). for scale, a 5-minute bar trades about 1,637 contracts in the regular session and 187 overnight. THE FLIP — the level where the field changes sign, nearest price: open 09:30 no flip inside the grid cell at 277.00: -$1.5M = -10.89 RTY morning 10:00 no flip inside the grid cell at 277.00: -$1.5M = -10.91 RTY midday 12:00 no flip inside the grid cell at 277.00: -$1.5M = -10.91 RTY last hr 15:00 no flip inside the grid cell at 277.00: -$1.4M = -10.35 RTY POCKETS: none — no run of cells disagrees with the band around it. Absent, not zero. CONVERSION: RTY contracts = the cell's dollars / (that index level in RTY points x 50). The index level is put into RTY points with this page's existing anchor ratio: RTY closed at 2,795.50 while IWM stood at 276.80, so one IWM point is 10.099350 RTY points. The basis and any index/ETF ratio cancel because both sit in the anchor. Applied when this payload is read, so it always uses the live front month. The charm sum of the forward book, evaluated on a grid instead of at one instant. For each cell (t, S) every contract is repriced with remaining time from t to its OWN banked expiry instant (ACT/365.25, floored to 5 minutes) and with spot held at S; its implied vol, strike, open interest, r and q are unchanged (sticky-strike, exactly as the panel above). A contract whose expiry instant has already passed at t is EXCLUDED from that column and counted (census.expired_at_last_step) — never floored into a position that no longer exists. Volume is never used. This is a picture of the SAME open interest with less time left, not a forecast of trades or of price. ! WHICH SIDE ARE DEALERS ACTUALLY ON? These greeks cannot see it. Every sign here infers dealers long calls and short puts. When customers have been BUYING calls, dealers are short them and a "long" line is actually a short — the absorb/amplify label flips. Nothing on this page confirms the direction. VolSignals, 2026-08-31: 20 of 36 SPX 0DTE lines over 300 contracts carried the opposite sign under this convention. ! These numbers are not an input to verdict.regime / decay / pin / lean. -- THE RANGE THE OPTION MARKET IS CHARGING FOR -- daily breakeven 1.03% (front at-the-money implied vol 16.38% (expiry 2026-10-27) / sqrt(252)) gamma-conditional range median 1.49%, middle half 1.16% to 2.10% (quintile 3 of banked history, n=28) NOTE: shown for completeness. Part B found the gamma reading adds nothing to the breakeven above. wall-to-wall corridor 3.61% (put wall 270.00 to call wall 280.00) last session delivered 1.01% (5-min sampled) = 0.98x the breakeven -- OVERNIGHT: RTY AGAINST THE FROZEN WALLS -- RTY has traded up 0.14% since the cash close, which puts IWM at about 277.18. That sits 1.02% below the call wall at 280.00 and 2.59% above the put wall at 270.00. The wall levels themselves are frozen from the last session's settled open interest and do not move until the next session settles. E-mini Russell 2000 (RTYZ6) 2,799.30 28861s old as IWM-equivalent 277.18 (+0.14% since the cash close at 276.80) vs frozen call wall 280.00 price is 1.02% below it vs frozen put wall 270.00 price is 2.59% above it vs frozen gamma centre 274.36 price is 1.01% above it CONVERSION: RTY shown as IWM-equivalent: RTY now 2,799.30, RTY at the Mon close 2,795.50, so 276.80 x (2,799.30 / 2,795.50) = 277.18. The move in the future since the cash close, applied to IWM's price at that close — the basis and the index/ETF ratio cancel out, so no ratio is estimated. SCALE: shared — the overlay is in the same units as the wall levels ! The wall levels and the futures price are deliberately from DIFFERENT CLOCKS. Wall levels come from settled open interest, which the clearing house publishes overnight and does not revise during a session — so a wall is a constant until the next settlement, not a stale reading. Futures trade around the clock. Comparing the two is what shows whether price is drifting toward or away from the level while the cash market is shut. ! Overnight futures liquidity is far thinner than the regular session. A wall approached at 03:00 on light volume is not the same event as one approached at 14:00, and neither this page nor the dealer hedging behind the wall treats it as one. measured: overnight bars average 187 contracts per 5 minutes against 1,637 in the regular session (11.4%). ! The dealer hedging that would enforce a wall is largely NOT ACTIVE while the cash market is shut, so an overnight approach to a level is not the same event as a daytime one. The caveat about which side dealers are actually on applies here more strongly, not less. ! This overlay adds no predictive power, and this app measured that: when price reached the call wall it closed back below only 37.2% of the time against 38.0% for an arbitrary level the same distance away. The overlay shows WHERE price is relative to a frozen level, nothing more. -- MAJOR SUPPORT & RESISTANCE (forward book) -- These are where dealer hedging CONCENTRATES. They are not levels price is obliged to respect: a big enough directional move overwhelms even a massive wall of gamma. MEASURED: reaching the call wall, price closed back below it 39.9% of the time (n=293); the put wall held 39.9% of 218. Neither beat a level the same distance away with no gamma in it, so these rows are ranked by concentration, not reliability. 284.00 +7.20 pts +2.60% RESISTANCE call wall (largest) 4.5% of book 32,569 net contracts The heaviest call hedging overhead. On the usual assumption that dealers are LONG these calls, staying hedged means selling into rallies as price approaches — which is what would slow a move here. 283.00 +6.20 pts +2.24% RESISTANCE secondary call concentration (2nd largest) 3.7% of book 27,141 net contracts A further band of call hedging above price, lighter than the wall but closer to the tape than the numbers alone suggest. The same mechanics apply, at smaller size. 280.00 +3.20 pts +1.16% RESISTANCE secondary call concentration (3rd largest) 3.0% of book 21,812 net contracts A further band of call hedging above price, lighter than the wall but closer to the tape than the numbers alone suggest. The same mechanics apply, at smaller size. 276.80 <<<< PRICE IS HERE 270.00 -6.80 pts -2.46% SUPPORT secondary put concentration (3rd largest) 6.1% of book 44,551 net contracts A further band of put hedging below price, lighter than the wall. The same mechanics apply, at smaller size. 260.00 -16.80 pts -6.07% SUPPORT put wall (largest) 12.3% of book 89,740 net contracts The heaviest put hedging below. On the usual assumption that dealers are SHORT these puts, staying hedged means buying as price falls toward it — which is what would cushion a move here. 250.00 -26.80 pts -9.68% SUPPORT secondary put concentration (2nd largest) 6.6% of book 48,233 net contracts A further band of put hedging below price, lighter than the wall. The same mechanics apply, at smaller size. 274.36 -0.88% MAGNET — the opposite of a barrier The gamma-weighted centre of the book: the level hedging flow pulls price TOWARD, rather than a level that pushes price away. Price sitting on it is the pinned configuration. ! WHICH SIDE ARE DEALERS ACTUALLY ON? This is the one thing gamma exposure cannot see, and it decides whether a wall brakes or accelerates. Every number here INFERS it from a convention — that customers sell calls and buy puts, so dealers end up long calls and short puts, which is what makes a call wall behave like a ceiling. When that convention is wrong the sign flips with it: if customers are BUYING calls, dealers are SHORT them, and staying hedged means buying INTO a rally through the same strike — the level becomes an accelerant instead of a brake. On the book these levels are drawn from, 9.4% of the gross gamma sits at the front expiry — the short-dated, retail-facing end of the chain, where that assumption is least safe. Nothing on this page can confirm the direction, so read the labels as where hedging is concentrated, not as which way it will push. ranked by: netted contract count at the strike (call open interest minus put open interest), as a share of the netted contracts across the whole band -- LEVELS (forward book) -- The session has closed, so the same-day contracts in the final snapshot are already dead. This verdict is built on the FORWARD book — the gamma that still exists for the next session. spot 276.80 as of 2026-10-26T20:23:02+00:00 (post_close) Gamma source per level — call wall 280: the vendor's own greeks, as sent (100%); put wall 270: the vendor's own greeks, as sent (100%); net gamma at spot: the vendor's own greeks, as sent (100%). The vendor's gamma is replaced only where it is below the precision floor (0.001: one significant digit or none at 4 decimals). 59 of 816 rows recomputed because the vendor's gamma was below 0.001. Same-day expiries always use the vendor's own gamma. Regime flip: repriced from the vendor's implied volatility. market closed — last update 2026-10-26 16:07 ET (Cboe) net gamma in +/-1% band -$6.1M across 6 strikes [THE REGIME MEASURE] = 3% of the gross gamma in that band, netting SHORT (flat below 20%) net dealer gamma at the single nearest strike +$868,383 at 277.00 whole-book gamma -$201.6M call wall 280.00 (1.16% above) put wall 270.00 (2.46% below) walls by CONTRACT COUNT call 284.00 put 260.00 [the stable read] gamma centre of mass 274.36 (-0.88% from spot) zero-gamma cross — NOTE: the zero-gamma cross is a LEVEL, not the regime boundary. The regime above is read from the NET GAMMA IN THE +/-1% BAND around spot. -- HOW FAST THIS REGIME DECAYS -- 9.4% — share of the FORWARD book's gross gamma sitting at its front expiry (2026-10-27) [drives the 'slow decay' in the verdict; fast at 50%] 21.3% of the gross gamma on the SESSION book expired at 2026-10-26's close 97% of the at-spot gamma disappeared with that expiry (+$26.7M on the session book -> +$868,383 on the forward book) -- WHERE THIS SITS VERSUS ITS OWN BANKED HISTORY -- net dealer gamma at spot 50.7 percentile Dealer gamma at spot is unremarkable — it sits about where it usually does. Hedging flow is neither strongly absorbing moves nor strongly adding to them, so the option book is not the dominant force in the tape at this price. share of the book at the front expiry 9.4 % of the book Only a small share of the gamma sits at the front expiry. Most of the hedging structure carries past it, so the levels on this page have a longer shelf life than usual. room between the walls 71.0 percentile The gap between the walls is about its usual width. Neither an unusually tight corridor nor an unusually open one. last session delivered vs what options charged 42.5 percentile The tape delivered roughly the movement the option market charged for. Realised and priced volatility are in their usual relationship. -- PART B: THIS APP MEASURING ITS OWN CLAIM -- THESIS HELD: NO NOT ESTABLISHED. Dealer gamma tracks the volatility regime, but it did not beat what the option market had already priced. - RAW, the thesis looks right: the most negative-gamma quintile was followed by a 1.74% median range and the most positive by 1.50% (pooled rho -0.065, p=0.0314). - CONTROLLED, it disappears. Measure the same range in units of what options charged for it (range / IV breakeven) and the relationship is rho 0.055, p=0.07 — nothing. Negative-gamma sessions ARE high-implied-vol sessions: median breakeven fell from 1.66% in the short-gamma quintile to 1.35% in the long-gamma quintile. Gamma was reading the thermometer, not adding to it. - The BLAST-vs-SHARDS part specifically shows nothing: path efficiency (how much of the day's travel became net progress) against gamma is rho -0.002, p=0.94. - The FAILED-BREAKOUT prediction runs the wrong way. Long dealer gamma is supposed to produce MORE failed breakouts; measured, long gamma faded 32.7% of breakout attempts and short gamma faded 33.6%. - No directional signal beat the base rate: 51.8% of next sessions closed up, and not one of the four asymmetries did better. + ONE reading did keep a signal after the calendar was removed, and it is the DECAY RATE rather than the level: the 0DTE share of gamma. Ranked inside each (root x weekday) cell — which removes the weekday effect completely, not just its linear part — a higher 0DTE share went with the next session realising MORE range than options had charged for: pooled rho 0.070 (n=959 across 35 cells), and POSITIVE on all 7 roots tested. It is called SUGGESTIVE and not established, for three reasons: only 1 of 7 roots reach significance on their own, the pooled p-value is overstated because the roots share market days, and the sample is five months of one year. QUINTILES OF DEALER GAMMA AT SPOT -> WHAT THE NEXT SESSION DID (pooled, within-root cuts) Q n next range middle half breakeven ratio path eff failed breakouts 1 224 1.74% 1.04-2.85% 1.66% 1.06 0.459 33.0% of 203 2 216 1.73% 1.14-2.56% 1.77% 0.95 0.463 31.2% of 186 3 224 1.86% 1.20-2.73% 1.76% 1.04 0.435 35.9% of 209 4 216 1.71% 1.01-2.65% 1.51% 1.09 0.525 29.1% of 199 5 216 1.50% 0.91-2.36% 1.35% 1.10 0.426 36.0% of 189 Q1 = most NEGATIVE dealer gamma (blast end) Q5 = most POSITIVE (jagged/pinned end) ! POOLED SIGNIFICANCE IS OVERSTATED. The roots share the same market days and SPY/SPX/QQQ are close to the same trade, so a pooled n is not that many independent observations — the effective n is nearer the per-root session count. ! SPXW is excluded from every pooled set: same underlying as SPX, so its outcome rows are duplicates. ! THE WEEKEND ARTEFACT. breakeven divides by sqrt(252) TRADING days, so a Friday reading is compared against a Monday session carrying three calendar days of risk. Measured below as friday_artefact. Friday rows carry weekend_span=true. ! 2026 only. The OI-weighted gamma archive starts 2026-03-02 (the OCC open-interest purchase window), so there is no multi-year sample and no other market regime in it. ! This measures ASSOCIATION on banked sessions. It is not a trading result and carries no costs, slippage or capacity. ! DIFFERENT CONSTRUCTION FROM THE LIVE READ. These hit rates are measured on the DAILY DOLLAR-GEX AGGREGATE, because that is the only per-session gamma that exists back through 2026-02. The live panel on this page is built on per-strike NETTED CONTRACT COUNTS from the 5-minute chain recorder, which only starts 2026-08-05. Dollar gamma at a strike explodes as spot approaches it and collapses as it leaves, so the aggregate is exactly the weaker construction — this table does not validate the live measure exactly, and it is not claimed to. -- HOW FRESH, AND WHAT IS STALE BY DESIGN -- options chain 2026-10-26T20:23:02+00:00 expected every 5m [held at the last regular-hours reading — correct once the market closes, not a failure] profile build 2026-10-26T21:50:51Z expected every 10m [held at the last regular-hours reading — correct once the market closes, not a failure] open interest 2026-10-26 expected every 1d [settled once overnight — a day behind by market structure, not by neglect] daily history 2026-09-18 expected every 1d [settled once overnight — a day behind by market structure, not by neglect] RTY futures 2026-10-27T01:30:00+00:00 expected every 5m server clock now 2026-10-27T09:31:01Z (skew baseline only — NEVER a data timestamp) chain_day 2026-10-26 chain_asof 2026-10-26T20:23:02+00:00 chain_phase post_close chain_built 2026-10-26T21:50:51Z chain_cadence every 5 minutes in regular trading hours, plus a pre-open and a post-close bracket open_interest PREVIOUS session, settled overnight by the clearing house. It does not move intraday — a market-structure fact, not a defect. history_last 2026-09-18 history_gex_window from 2026-03-02 (the OCC open-interest purchase); continues past 2026-08-04 from the live chain recorder rather than ending there validation_built 2026-10-27T09:20:08Z open-interest census 816 known, 0 MISSING (excluded, never zeroed), 326 genuine zeros -- STANDING CAUTION -- Gamma is not destiny. A large enough directional move overwhelms even a very big wall of dealer gamma — the hedging flow described here is one force among several, and it is the one that gets run over when something bigger arrives. Everything on this page describes how the option book is positioned; none of it is a statement about what price does next. generated 2026-10-27T09:31:00Z · full JSON: /apps2/gex/api.php?sym=IWM&full=1