Gamma Exposure (GEX), Call Wall, Put Wall and Gamma Flip Explained

Gamma exposure (GEX) estimates how much option hedging would have to change if the stock moved 1%, in dollars. Vyreon publishes it for calls and for puts as plain totals of open positions, and beside them the conventional "net GEX", which rests on an assumption about who holds those options that nobody can observe.

What Is Gamma Exposure (GEX)?

An option's delta is how much its price moves with the stock. Gamma is how fast that delta changes as the stock moves. Someone who hedges an option position has to buy or sell stock as delta changes, and gamma tells them how much.

Gamma exposure adds that up across every open contract and converts it into dollars of stock per 1% move:

GEX = Σ open interest × gamma × 100 × S² × 0.01

where S is the share price and 100 is the standard number of shares per contract.

Illustrative example: 1,000 open calls with a gamma of 0.02 per share on a $100 stock give 1,000 × 0.02 × 100 × 100² × 0.01 = $200,000 per 1% move. A $1 move changes those contracts' delta by 2,000 shares, worth $200,000.

Net GEX And The Dealer Assumption

The conventional GEX figure is a single net number: calls minus puts. That sign convention assumes dealers (market makers) are long the calls and short the puts. Open-interest data does not say who holds which side, so this is a convention, not an observation. If the assumption is wrong for a given stock or day, the net figure and its sign are wrong too.

Vyreon reports the call and put totals, which need no assumption, and labels the net figure as conventional, with the assumption stated next to it.

Call Wall And Put Wall

The call wall is the strike where open-interest-weighted gamma is largest among calls, summed across all expiries. The put wall is the same for puts. Vyreon shows each wall's strike and its distance from the closing price. Walls describe where gamma is concentrated. They are not price targets, support or resistance.

What Is The Gamma Flip?

The gamma flip is the share price at which conventional net gamma changes sign. Vyreon recomputes conventional net gamma at hypothetical prices from 20% below to 20% above the close, in 0.5% steps, holding each contract's implied volatility fixed (sticky strike). It reports the crossing nearest the current price, interpolated linearly between grid points, and its distance from the close. Because it is built from the net figure, the flip depends on the same dealer assumption. If net gamma does not change sign within ±20%, no flip is shown.

How Vyreon Measures It

Contracts: every listed contract with open interest that expires after the session and whose implied volatility can be solved from its closing quote.
Open interest: as of the previous session's close (the clearing process finalizes it overnight).
Gamma: Black–Scholes–Merton, from each contract's implied volatility at the closing quote, priced at the session's unadjusted closing share price.
Units: US dollars of stock per 1% move; total, calls, puts and conventional net (calls minus puts).
Multiplier: 100 shares per contract, a stated assumption.

What It Does Not Tell You

Who holds the options. Dealer positions are not observed, so the net figure, its sign and the gamma flip are conventions.
Whether anyone actually hedges, or how much.
Where the price will go. GEX, walls and the flip are descriptions of open positions, not forecasts.
Intraday changes. Open interest is a once-a-day number.

Sources

Fischer Black and Myron Scholes, "The Pricing of Options and Corporate Liabilities", Journal of Political Economy (1973), and Robert C. Merton, "Theory of Rational Option Pricing", Bell Journal of Economics and Management Science (1973): the model used for each contract's gamma.
John C. Hull, Options, Futures, and Other Derivatives (Pearson, many editions): delta, gamma and delta hedging.
Emanuel Derman, "Regimes of Volatility", Risk (1999): the "sticky strike" assumption of holding each strike's implied volatility fixed as the price moves.

Net GEX, its dealer sign convention, call and put walls and the gamma flip are market conventions; we know of no peer-reviewed source establishing them.