Macro — Dealer-Gamma Regime
How market structure may transmit a move — not whether one is coming. The headline is distance-to-flip: how far spot sits from the zero-gamma level where dealer hedging flips from dampening (stable, moves fade) to amplifying (fragile, moves accelerate). Treat it as a regime label and a fragility trend, not a price target — and weight it modestly, behind skew and the VIX term structure on the Risk tab.
As of 2026-07-02 · risk-free r = 3.85% (FRED:DGS3MO) · EOD option chains (Alpha Vantage, ~1-day lag) · percentile, not z-score · standalone bundle
V1 · Regime gauge — distance-to-flip
The daily headline. Each number line places spot relative to the zero-gamma flip: left of center (red) = below the flip = NEGATIVE-gamma = fragile, moves accelerate; right (teal) = above = POSITIVE-gamma = stable, moves fade. A trend toward 0 from the stable side is rising fragility.
V2 · Distance-to-flip history
Daily distance-to-flip (%). Below 0 (red shading) = fragile regime; above (teal) = stable. Dotted lines mark sign-crossings — the moments the market structurally flipped between dampening and amplifying.
V3 · Net-GEX percentile
Net GEX ranked as a percentile over the trailing 252 days (percentile, not z-score — a hard standard here), so today's reading is contextual rather than a raw $bn number. Each dot is colored by the sign of that day's net gamma (green = +gamma).
V4 · Net GEX vs hypothetical spot
Total dealer gamma repriced (Black-Scholes) across a ±10% spot grid, each contract keeping its own IV. Where the curve crosses zero is the regime boundary; left of it (lower prices) is fragile, right is stable. How far spot sits from the crossing is the air-pocket risk.
V4b · Signed GEX by strike (drill-down)
The raw by-strike bars, demoted to a drill-down. Walls within 0.3% of spot or held fewer than 2 days are greyed/dashed as transient — on OpEx-eve the call and put walls often collapse onto spot and are NOT standing structure. Only walls ≥1% away, held multiple days, are drawn boldly.
V5 · Expiry decomposition (near / front / back)
Net GEX and a zero-gamma level computed separately for the near (0–2 DTE) slice, the current monthly OpEx, and everything beyond. The near-share of |gamma| exposes when a snapshot is dominated by this-week expiry noise rather than standing structure.
V6 · Realized-range validation — the trust check
Classifies every historical day fragile vs stable and compares the median daily realized range (high−low / prev close) in each regime. If fragile days do NOT show bigger ranges in this symbol's own history, the whole construct is down-weighted accordingly.