Case study
SPY sits under its gamma flip. What does that tell you, and what doesn't it?
Dealer gamma is one of the most quoted numbers in options, and one of the most assumed. Here is one path through it in Options Meerkat, a step at a time, on the most traded fund there is: SPY.
The data: the close of Friday, October 23, 2026, with SPY at $759.97, and the open interest published for that session. Every number on this page comes from that close. The answers the dashboard plays with each step were recorded then, from the same data; the dashboard around them is live.
Recorded answers from the close of October 23, 2026, played on the live dashboard.
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Step 1 of 5 · The profile
Find the flip and the walls
“Open SPY's gamma exposure. Where is the flip, how far is it from the price, and where are the call and put walls?”
Dealer gamma exposure estimates how much stock the market makers on the other side of the open interest would trade to stay hedged as the price moves. Summed over every strike, it has a sign. Above zero, their hedging leans against a move: they sell into rallies and buy dips. Below zero, it leans with the move. The flip is the price where the sum changes sign; the walls are the strikes that hold the most call and the most put gamma. (Gamma exposure)
- SPY
- $759.97
- Gamma flip
- 774.34 1.9% above the price
- Call wall
- 770
- Put wall
- 750
- Net gamma
- −$14.4B of stock per 1% move
SPY closed under its flip, between the 750 put wall and the 770 call wall. Read at face value, a 1% move would have dealers trading about $14 billion of stock in the same direction as the move.
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Step 2 of 5 · Against its neighbors
Compare it with other symbols
“Compare dealer gamma exposure for SPY, QQQ, NVDA and TSLA: the gamma flip, the largest call and put walls, and whether dealers are long or short gamma at the price.”
Symbol Price Flip Walls Net per 1% SPY 759.97 774.34 770 / 750 −$14.4B QQQ 704.88 730.17 720 / 700 −$6.0B NVDA 211.11 211.72 230 / 210 +$0.2M TSLA 372.45 368.41 400 / 380 +$60.1M The two index funds sit under their flips, NVDA right on its own, and TSLA above, the one of the four where the model has dealers damping moves. The sizes are not alike either: SPY's figure is billions, the single stocks' millions. An index fund's open interest is where the market's hedges live, so its profile says more about the whole market than any one stock's.
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Step 3 of 5 · The calendar
See which expiries hold the gamma
“Which of SPY's expiries hold most of its dealer gamma, and how much of it expires this week?”
Expiry Gamma per 1% Share Mon, Oct 26 −$4.17B 29% Oct 27–29 −$1.45B 10% Fri, Oct 30 −$4.23B 29% Nov 2–13 −$1.28B 9% Nov 20 −$2.82B 20% Nov 27–Dec 4 −$0.42B 3% Gamma is largest in the options closest to expiry, so the profile is mostly this week's: the five expiries of October 26 to 30 hold $9.86 billion of the $14.38 billion, 69%, and two days, Monday and Friday, hold most of that. When they expire, that part of the profile goes with them, and the flip and the walls are rebuilt from what is left. A profile is a picture of one day's open interest, not a level that lasts.
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Step 4 of 5 · Against the tape
Check what the stock actually did
“SPY is below its gamma flip. How do its 10-day and 20-day realized volatility and its daily ranges this past month compare with its 30-day IV?”
- 30-day IV
- 15.2% 65th percentile of its year
- Realized 10d
- 10.8%
- Realized 20d
- 9.8%
- Average day's range
- 6.1 pts 0.80%, last 21 sessions
- Widest day
- 12.6 pts Oct 16
If dealers' hedging were pushing every move further, you might expect a jumpy tape. SPY's past month was the opposite: it moved at about 10% a year, two-thirds of what its options price, with an average day's range of 0.8%. The negative-gamma reading and a quiet market sat side by side. Hedging flows are one force among many, and the profile does not say how strong they are against everything else that trades. (Implied vs realized volatility)
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Step 5 of 5 · The edge of the data
Name what the model assumes
“What does the dealer gamma model assume, and what can't SPY's gamma flip tell me about the next few sessions?”
- Who holds what. The model takes dealers to be long every call and short every put the public holds. Open interest does not say who is on which side; a fund that sold calls against its shares turns that sign around.
- That the open interest stays. It is the count from the session before. Trades opened or closed today, and this week's expiries, change it.
- Which way, or how far. The flip is a threshold in a model, not a target the price is drawn to, and walls are crossed.
- The rest of the market. News, the macro calendar, and every other buyer and seller are outside it.
- Your situation. What the rest of your account holds, and how much of it you can lose.
The data narrowed “SPY is in negative gamma” to “by one convention, this week's expiring options would have dealers lean with a move, while the market has been moving less than its options price.” That is context for a trade, not a forecast of one.
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Your turn
Ask your own questions
The same path works on any symbol of the S&P 500 or the Nasdaq-100. Open the dashboard, sign in free, press @, and ask Meerkat:
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More case studies: a high IV percentile · deep put blocks · an earnings report · the wheel, backtested
Click a question to copy it. Nothing on this page is investment advice; options can lose their whole value quickly.