PROTECTED SOURCE SCRIPT
Options GEX by Julio
GAMMA EXPOSURE (GEX) is the assumed $ value of gamma exposure that market makers need to hedge per 1% change of the underlying stock's price movement. A positive value is long gamma while a negative value is short gamma.
Investors and large funds lower risk and protect their money by selling calls and buying puts. Market makers provide the liquidity to facilitate these trades.
GEX assumes that market makers are part of every transaction and that the bulk of their transactions are buying calls and selling puts to investors hedging their portfolios.
If a market maker has one contract open with a gamma value of 0.05, then if the underlying stock price moves by 1%, that market maker is exposed to $[0.05 gamma * (100 shares * 0.01) * stock price * underlying parameter of the greek variable]. The total market maker spot exposure is calculated by summing up the spot exposure of all open contracts determined by the daily open interest (purple) or by volume (yellow).
Investors and large funds lower risk and protect their money by selling calls and buying puts. Market makers provide the liquidity to facilitate these trades.
GEX assumes that market makers are part of every transaction and that the bulk of their transactions are buying calls and selling puts to investors hedging their portfolios.
If a market maker has one contract open with a gamma value of 0.05, then if the underlying stock price moves by 1%, that market maker is exposed to $[0.05 gamma * (100 shares * 0.01) * stock price * underlying parameter of the greek variable]. The total market maker spot exposure is calculated by summing up the spot exposure of all open contracts determined by the daily open interest (purple) or by volume (yellow).
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As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.