SPX gamma levels
Zero Gamma, Call Wall, Put Wall and Max Gamma of the dealer positioning in S&P 500 index options (SPX), computed on the full option chain and refreshed every 5 minutes during the session.
Yesterday's session, verifiable · 2026-09-04
The session opened with these levels (computed at 09:32 ET, before anything happened) and this is what price did.
Regime at the open: positive gamma- 09:30 Opened above Zero Gamma (65 pts over)
- 11:11 Put Wall touched and held
- 16:00 Closed 16 pts above Put Wall
Today's levels · 2026-09-06
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Regime now: positive gamma · dampeningZero Gamma
Where dealers' net gamma flips sign. Above it they dampen (buy dips, sell rips); below it they amplify.
Call Wall
The strike with the most call gamma above spot: resistance and magnet; likely ceiling of the day's range.
Put Wall
The strike with the most put gamma below spot: support; likely floor of the day's range.
Max Gamma
The strike with the largest absolute net gamma in the whole chain: the strongest pin, especially into expiration.
Frequently asked questions
What is Zero Gamma?
The price where dealers' net gamma flips sign. Above it they tend to dampen moves (positive gamma); below it they amplify them (negative gamma).
What are the Call Wall and the Put Wall?
The strike with the most call gamma above spot (likely ceiling of the range) and the strike with the most put gamma below (likely floor). Computed from the open interest of the whole chain.
What data are they computed from?
From CBOE's full option chain (~15-minute delayed data), Black-Scholes greeks with each contract's implied volatility and the industry-standard convention: dealers long calls, short puts. Descriptive levels, not investment advice.
Descriptive levels of options positioning, computed from CBOE data ~15 minutes delayed. Not a recommendation or investment advice.