GEX Levels - Dealer Gamma Exposure GEX DAILY LEVELS — Dealer Gamma Exposure Levels
This indicator plots dealer gamma exposure (GEX) levels as horizontal lines, computed from index option chain data and supplied via a compact text string. It is designed for NQ/NDX but works with any instrument given matching data.
█ METHODOLOGY
The levels follow the standard "naive" dealer positioning convention (dealers long calls, short puts). Per-strike net GEX = gamma × open interest × contract multiplier × spot² × 1%, summed with calls positive and puts negative.
- Call Wall / Put Wall — strikes holding the maximum positive / most negative net GEX across expiries. Dealer hedging around these strikes dampens moves toward them in positive gamma (pinning) and defines major resistance/support.
- 0DTE Walls — the same computation restricted to the current session's expiry, isolating the most reactive intraday hedging flows.
- Gamma Flip — the spot level where aggregate dealer gamma changes sign, obtained by recomputing Black-Scholes gamma across a grid of hypothetical spot prices. Above it, hedging is mean-reverting; below it, hedging amplifies moves.
- Expected Move — the at-the-money straddle price for the nearest expiry: the move the options market is pricing for the day. Fractional bands (e.g. ±50%, ±150% of the straddle) are included because the straddle approximates 0.8 standard deviations, giving each band a defined statistical meaning.
- 1D Min/Max — the one-day range implied by annualized ATM volatility (IV/√252), a complementary volatility-based estimate.
- Max Pain — the strike minimizing total option holder payout at the nearest expiry.
- G+/G− — remaining top strikes ranked by absolute net GEX.
█ WHY A TEXT STRING INPUT
Open interest is static intraday, so gamma levels are constant for the session. Injecting them as data rather than recomputing on chart makes the indicator repaint-free, lookahead-free and provider-agnostic: any gamma data source, or your own option-chain computation, can feed it.
Format: price,label,kind;price,label,kind;...
Kind codes: res, sup (walls) · res0, sup0 (0DTE walls) · flip · emh, eml (expected move) · emb (fractional bands) · ivh, ivl (1D range) · mpain · gpos, gneg
Example: 21100.0,Call Wall,res;20950.5,Gamma Flip,flip;20800.0,Put Wall,sup
█ FEATURES
- Per-family styling: visibility, color, width (1–5), line style for each level type
- Alerts on price crossing walls, 0DTE walls or the gamma flip
- Proximity table showing the nearest level above and below current price with distances
- Label size, offset and price display options
█ LIMITATIONS
Levels are a pre-session snapshot; walls do not move intraday since open interest is settled overnight. The gamma flip may legitimately be absent in strongly positive gamma regimes. Educational tool; nothing here is financial advice.
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