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GEX & sensitivities
Inspect option exposure proxies across strikes and hypothetical underlying prices.
07 / 14GEX & sensitivities
Interactive interface · ArcDelta dataOpening the workspace…
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- 01Select an underlying and expiries.
- 02Compare strike exposures and the price-scenario profile.
- 03Read sign convention, units and chain freshness.
Inputs
Validated option chain, normalized OI, expiry forward and IV.
General limitations
Read the source timestamp and venue coverage. No data is different from zero; stale observations must not be read as current.
- Calculation
- GEX sums gamma × OI × underlying price² × 0.01, assigning positive sign to calls and negative to puts. Gamma is recomputed with Black-76 where possible. DEX sums delta × OI × underlying price.
GEX proxy = Σ sign(call/put) × gamma × OI × S² × 0.01 - Reading & controls
- GEX is quoted as USD sensitivity for a 1% underlying move. Change expiries to inspect which contracts contribute.
- Limitations
- Call/put signs are a display assumption. The chain does not identify dealer ownership, actual hedging or the direction of inventory.
- Calculation
- Greeks are recalculated along a hypothetical price grid with other inputs held as specified. Zero gamma is the nearest usable crossing of the signed GEX profile; strike concentrations follow the selected OI/exposure aggregation.
- Reading & controls
- Inspect the profile and its expiry selection; the zero marker can be absent or there can be several crossings.
- Limitations
- These are scenario sensitivities and concentrations, not observed resting orders or guaranteed price barriers.