Gamma Wall Data Conflicts: Why SpotGamma ≠ SqueezeMetrics ≠ Bloomberg

Gamma Wall Data Conflicts: Why SpotGamma ≠ SqueezeMetrics ≠ Bloomberg

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  • finance
  • options

Tags

  • gamma-exposure
  • data-quality
  • options-analytics
  • market-data
  • trading-systems
  • quantitative-analysis

The Confusion: Three Platforms, Three Different Numbers

You’re doing your homework. Tesla is trading at $439, and you want to find the Gamma Walls.

You check:

  • SpotGamma: Call Wall at $500, Put Wall at $420, Gamma Flip at $430
  • SqueezeMetrics: Call Wall at $510, Put Wall at $415, Gamma Flip at $435
  • Bloomberg OMON: Highest Gamma Strike at $505, Absolute OI concentration at $425

Your reaction: “Which one is right?!”

The truth: They’re all “right”—and all incomplete. Here’s why.

🎭 Part 1: The Formula Wars—Why GEX Numbers Differ

The Core Problem: No Standard Definition

Gamma Exposure (GEX) should be simple: Convert option Gamma to dollar value. But the industry can’t agree on the formula.

GEX Formula Comparison Two major schools: Dollar Gamma (no 0.5) vs Taylor Expansion (with 0.5)

Method A: Dollar Gamma (Used by some platforms)

GEX = Γ × OI × Contract Multiplier × S

Logic: How many dollars of stock exposure changes when price moves $1

Example (SPX $4,500, Γ=0.001, OI=10,000):

GEX = 0.001 × 10,000 × 100 × 4,500 = $4.5M

Method B: Second-Order Taylor Expansion (SpotGamma, SqueezeMetrics)

GEX = 0.5 × Γ × OI × Contract Multiplier × S²

Logic: From options pricing formula ΔV ≈ Δ·ΔS + 0.5·Γ·(ΔS)²

Same example:

GEX = 0.5 × 0.001 × 10,000 × 100 × (4,500)² = $10.125B

Notice: Same Gamma, 2,250× different GEX number due to S² vs S and 0.5 factor!

Why This Matters (And Doesn’t)

❌ Comparing absolute GEX across platforms = meaningless

  • “$500M Call Wall” on Platform A ≠ “$2B Call Wall” on Platform B
  • They might be showing the SAME options position

✅ What actually matters:

  • Relative strength within ONE platform (which strike has highest GEX?)
  • Trend direction (is Gamma increasing or decreasing over time?)
  • Ratio comparisons (Call GEX vs Put GEX on same platform)

Pro Tip: Pick ONE data source and stick with it for consistency. Don’t mix SpotGamma and Bloomberg numbers in the same analysis.

🔢 Part 2: The Sign Convention Debate—Why Puts Show Negative

The Confusion

You see this on Gamma charts:

  • Call GEX: +$500M (positive, orange bars pointing up)
  • Put GEX: -$300M (negative, blue bars pointing down)

Your question: “But aren’t Puts also options? Why negative Gamma?”

The Mathematical Truth

Gamma itself is ALWAYS positive for both Calls and Puts. From Black-Scholes:

Γ_call = Γ_put = N'(d₁)/(S·σ·√T)

Same formula. Same positive number.

The Convention Trick

Platforms use DEALER PERSPECTIVE to show market impact:

Option Type Customer Position Dealer Position Display Convention
Call Long (bought) Short (sold) Positive GEX ↑
Put Long (bought) Short (sold) Negative GEX ↓

Why? To show hedging flow direction:

  • Calls: Dealers hedge by buying rallies → Upward pressure (positive)
  • Puts: Dealers hedge by selling dips → Downward pressure (negative)

This is presentational choice, not physics. Some platforms (Bloomberg OMON) show absolute values only.

Dealer Hedging Perspective Same Gamma value, different display based on hedging mechanics

What You Should Remember

Net GEX = Sum(Call GEX) + Sum(Put GEX)

  • Net GEX > 0: More Call exposure → Dealers hedge by selling rallies → Stabilizes market
  • Net GEX < 0: More Put exposure → Dealers hedge by selling dips → Amplifies volatility

Signs are just a compass—focus on whether Net is positive or negative, not the absolute numbers.

🎯 Part 3: The Gamma Flip Mystery—Why “The Line” Moves

What IS Gamma Flip?

Definition: The stock price where Net GEX crosses from positive to negative (or vice versa)

Mathematical: At price S_flip, when you recalculate all options’ Gamma:

Net GEX(S_flip) ≈ 0
Net GEX(S_flip + $1) and Net GEX(S_flip - $1) have opposite signs

Market meaning: The pivot point where dealer hedging switches from stabilizing to destabilizing

Why Platforms Show Different Flip Points

The calculation is forward-looking:

  1. Take current open interest at all strikes
  2. Re-price every option as if stock was at $430, then $435, then $440…
  3. Recalculate Gamma for each hypothetical price
  4. Find where Net GEX curve crosses zero

Platforms differ in:

  • Which expiration dates to include (weekly? monthly? LEAPS?)
  • How to weight near-term vs far-term expirations
  • Whether to use mid-price, bid, ask, or last traded price for IV
  • Rounding/grid resolution ($1 increments vs $5 increments)

Result: SpotGamma says $430, SqueezeMetrics says $435—both are approximations

Gamma Flip Zone Visualization Not a line—a fuzzy transition zone where market character changes

How to Use Flip Points (Correctly)

❌ Don’t:

  • Trade mechanically when price crosses $430.00
  • Assume exact precision (it’s not $430.47, it’s “around $430-435”)
  • Panic if Flip moves $5 intraday (noise in calculations)

✅ Do:

  • Understand market regime: “We’re $10 above Flip = relatively stable”
  • Track Flip TREND: Moving higher? Bullish structure building
  • Watch for convergence: Current price approaching Flip = regime change possible

Real example (TSLA):

  • Price $439, Flip at $430 → Currently in positive Gamma zone (calm)
  • If price drops to $428 → Crosses into negative Gamma → Expect volatility spike
  • If Flip rises to $440 → Zone shrinking → Bullish (dealers defending higher levels)

📊 Part 4: Open Interest (OI) vs Volume—The Rookie Mistake

The Mix-Up

You see:

  • Strike $500: 50,000 OI, 200,000 volume today

Wrong conclusion: “Massive new Call buying at $500! Gamma Wall building!”

Reality check: Those 200k contracts might be day-traders flipping the same contracts 4 times. OI might have only increased 10,000.

The Definitions

Metric Meaning Updates When Matters For
Open Interest (OI) Contracts held overnight End of day settlement Gamma Wall strength
Volume Contracts traded today Real-time, intraday Sentiment, flow direction

For Gamma analysis, OI is king. Volume shows activity, OI shows conviction.

The Trap: 0DTE Options

Zero Days To Expiration (0DTE) contracts have:

  • ✅ Massive volume (50%+ of SPX options volume some days)
  • ❌ Low overnight OI (traders close before expiration)

Impact on Gamma:

  • Intraday: Huge Gamma swings (0DTE ATM options have explosive Gamma)
  • Overnight: Gamma disappears (contracts expire worthless or exercised)

Platforms using end-of-day OI miss 0DTE impact, making Gamma Walls look weaker than they actually are during trading hours.

Solution: Real-time Gamma tracking (expensive) or focus on weekly/monthly expirations for more stable walls.

🌐 Part 5: The Data Source Jungle

Where Does Data Come From?

Exchange-Traded Options (What you see):

  • CBOE (SPX, VIX options)
  • CME (futures options)
  • Nasdaq (equity options)
  • Transparency: Full OI, volume, IV surface published
  • Coverage: ~30-40% of total options market by notional

Over-The-Counter (OTC) - What you DON’T see:

  • Goldman Sachs, Morgan Stanley, Citadel custom options
  • Hedge fund structured products via Prime Brokers
  • Corporate hedging (Apple, Tesla hedging FX/commodity risk)
  • Transparency: ZERO. Private bilateral contracts.
  • Coverage: 60-70% of market by institutional estimates

Exchange vs OTC Options Market The iceberg problem: Most Gamma is hidden underwater

Why This Destroys Precision

Scenario:

  • SpotGamma shows huge Call Wall at $500 (based on exchange data)
  • But OTC market has even bigger Put spread at $490-500 (invisible)
  • Real net effect: Put Wall dominates, $500 isn’t resistance at all

You’ll only know when price easily breaks through $500—the “wall” was a mirage.

Goldman Sachs’s Warning:

“We adopt a conservative approach to estimating Gamma positioning, because erroneous assumptions can easily lead to overestimation of Gamma effects.”

Translation: “We know about OTC positions (we’re the dealers). You don’t. Be careful.”

🧭 Part 6: How to Navigate the Data Swamp

Good use:

  • “Call Wall has been building at $500 for 3 days (OI +15,000)” ✅
  • “Net GEX shifted from -$2B to +$500M this week” ✅

Bad use:

  • “Gamma Flip is exactly $430.23, I’ll place stop-loss at $430.20” ❌
  • “SpotGamma says $500M but Bloomberg says $1.2B, which is right?” ❌

Rule 2: Confirm With Price Action

The ultimate test:

  1. Gamma data says massive Call Wall at $500
  2. Price approaches $500
  3. Does it actually struggle? Or blow through easily?

If price ignores the “wall”:

  • OTC positions likely offset exchange data
  • Or institutional flows dominate dealer hedging
  • Or the wall was overstated

Price action is truth. Gamma is a probabilistic guide.

Rule 3: Focus on Relative Strength

Within one platform:

  • Which strike has the tallest bar? (Most concentrated Gamma)
  • Is Call or Put GEX relatively larger? (Market bias)
  • Is ATM Gamma increasing or decreasing over time? (Pinning strength)

Don’t compare absolute dollars across platforms.

Rule 4: Watch Gamma Flip MOVEMENT

Static Flip: Gamma Flip at $430 for a week

  • Market structure stable
  • Dealers defending $430 level
  • Safe to trade around this anchor

Rising Flip: Gamma Flip climbs from $420→$430→$440 over 5 days

  • Bullish repositioning
  • Put protection being placed higher
  • Structural shift upward

Falling Flip: Flips drops from $450→$440→$430

  • Bear warning
  • Call interest fading
  • Defensive posture

Direction of change > absolute level

💡 Part 7: The Practical Synthesis—What Actually Matters

After all this complexity, here’s what matters for trading:

The Three Things to Track

  1. Net GEX Sign (Positive or Negative?)
    • Positive → Expect calm, mean-reversion, range-bound
    • Negative → Expect volatility, trending, breakouts
  2. Strongest Walls (Where are the peaks?)
    • Call Wall = likely resistance zone
    • Put Wall = likely support zone
    • But verify with volume, price action
  3. Proximity to Gamma Flip (How close is current price?)
    • Far above Flip (+$20) = stable positive Gamma zone
    • Near Flip (±$5) = transition zone, unstable
    • Far below Flip (-$20) = chaotic negative Gamma zone

The Decision Tree

Is Net GEX positive?
├─ YES → Market calm, sell premium strategies (iron condor, straddle)
│   └─ Is price between Put/Call Walls? → Range trade
│
└─ NO → Market volatile, buy options or trend follow
    └─ Is price near Gamma Flip? → Expect regime change, stay flexible

That’s it. Everything else is noise.

🎓 Lessons From the Data Wars

What We Learned

  1. Formula differences are cosmetic—use one platform consistently
  2. Sign conventions are arbitrary—focus on Net GEX direction
  3. Gamma Flip is a zone, not a price—don’t overtrade precision
  4. OI matters, volume is noise—for structural analysis
  5. OTC market is invisible—all public data is incomplete (~30%)

The Meta-Lesson

Gamma Wall analysis is:

  • ✅ A useful heuristic for identifying zones of interest
  • ✅ A framework for understanding dealer flow mechanics
  • ✅ A tool for contextualizing price action

It is NOT:

  • ❌ A precise predictive model
  • ❌ A standalone trading signal
  • ❌ A complete picture of market structure

Use it like a weather forecast: Helpful for planning, but bring an umbrella just in case.

🔑 Key Takeaways

  1. Data conflicts are inevitable—platforms use different formulas, sign conventions, aggregation methods
  2. You’re only seeing 30% of reality—OTC options are invisible, making absolute precision impossible
  3. Focus on trends and zones, not exact numbers—Gamma Wall moving higher/lower? Net GEX flipping sign?
  4. Price action is the final arbiter—if the “wall” doesn’t hold, it wasn’t significant
  5. Save money on expensive data—free platforms + sound interpretation > costly dashboards with same blind spots

📚 Further Reading

Next in Series:

  • Part 3: Market Maker Perspective—How They Actually Move Prices (exact hedging mechanics, when walls work vs fail)
  • Part 4: The Fog of War—OTC Blind Spots Explained (why Goldman Sachs is conservative, what you’re missing)

Data Platform Comparisons:

  • SpotGamma: Best for retail, dealer perspective, daily updates
  • SqueezeMetrics: GEX index tracking, institutional focus
  • Bloomberg OMON: Gold standard (but $24k/year), absolute values

Technical Resources:

  • CBOE: Options Open Interest Data
  • Goldman Sachs: “Greeksplainer” research series
  • BIS: OTC Derivatives Market Statistics (semi-annual)

Previous Article: ← The Secret Behind Price Magnets

Next Article: Market Maker Perspective: How They Move Prices → (Coming soon)

Series Navigation:

  1. The Secret Behind Price Magnets
  2. Why Models Conflict (You are here)
  3. Market Maker Deep-Dive (Hedging mechanics)
  4. The Fog of War (OTC blind spots)

⚠️ Disclaimer: Options data is inherently incomplete due to OTC market opacity. Gamma analysis should supplement, not replace, fundamental research and risk management. This is educational content, not investment advice.