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Mapping Options Gamma Exposure, Dealer Walls, and the Zero-Gamma Flip

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Summary

The article builds a MetaTrader 5 chart tool that aggregates option gamma by strike to display a signed gamma exposure profile. It describes calculating Black-Scholes gamma, weighting contracts by open interest, and deriving call and put walls from the largest positive and negative exposures. A zero-gamma flip is found where aggregate exposure changes sign. The article interprets positive dealer gamma as tending to damp price moves and negative gamma as tending to amplify them, offering the flip as a possible regime reference for mean reversion versus trend behavior.

The implementation supports either a CSV option chain or native MetaTrader 5 option symbols. The numeric components include Black-Scholes pricing with carry, implied-volatility inversion, and gamma calculation; the chart overlay displays exposure by strike alongside spot and the flip. These explanations and the sample chain demonstrate how the tool is constructed, not whether its levels predict market behavior.

The author stresses that results depend on the quality of open-interest and option-chain data. The dealer-sign convention is assumed rather than observed, and the map omits other hedging flows such as vanna and charm. The sample data is synthetic, so its displayed levels are illustrative rather than live-market evidence.

Key ideas

  • Gamma describes how option delta changes as the underlying price moves, shaping dealer hedging flows.
  • The tool aggregates Black-Scholes gamma by strike and weights contributions using open interest.
  • Call and put walls mark strikes with the largest positive and negative exposure in the chosen sign convention.
  • The zero-gamma flip is presented as a possible boundary between stabilizing and trend-amplifying hedging regimes.
  • Interpretation depends on chain quality and an assumed dealer positioning convention, while other Greeks are excluded.

Tags

OptionsDerivatives pricingVolatilityMean reversionTrend following

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.