Dealer Gamma: Detail
Dealer Gamma: Detail is a data page on the Options desk of Glassbox Auditing. Every dealer-gamma measure for one ticker on every look-back window: the walls stacked by expiration, what expires when, the event context, implied against realized volatility, and the blended reading with its parts, rule and check. It shows how much of the hedging picture rests on near-dated contracts that can expire within days.
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What is on this page today?
- SPY gamma conditions -3 of ±5: the kind that came with larger moves in this record — negative gamma · size-adjusted GEX at percentile 4 of its year · price 3.6% below zero gamma · implied volatility +0.5 pts against 20-day realised · after this reading the next session's median move, up or down, was… (U.S. options exchanges, 6 Nov 2026) SPY
- NVDA gamma conditions -2 of ±5: the kind that came with larger moves in this record — negative gamma · size-adjusted GEX at percentile 1 of its year · price 10.2% below zero gamma · implied volatility +12.2 pts against 20-day realised · after this reading the next session's median move, up or down, was… (U.S. options exchanges, 6 Nov 2026) NVDA
- MSFT gamma conditions +2 of ±5: the kind that came with smaller moves in this record — positive gamma · size-adjusted GEX at percentile 85 of its year · price 16.1% above zero gamma · implied volatility -4.9 pts against 20-day realised · after this reading the next session's median move, up or down, was… (U.S. options exchanges, 6 Nov 2026) MSFT
- GOOGL gamma conditions -4 of ±5: the kind that came with larger moves in this record — negative gamma · size-adjusted GEX at percentile 2 of its year · price 5.3% below zero gamma · implied volatility -19.3 pts against 20-day realised · after this reading the next session's median move, up or down, was… (U.S. options exchanges, 6 Nov 2026) GOOGL
- META gamma conditions +2 of ±5: the kind that came with smaller moves in this record — positive gamma · size-adjusted GEX at percentile 35 of its year · price 1.2% above zero gamma · implied volatility +1.1 pts against 20-day realised · after this reading the next session's median move, up or down, was… (U.S. options exchanges, 6 Nov 2026) META
- TSLA gamma conditions -4 of ±5: the kind that came with larger moves in this record — negative gamma · size-adjusted GEX at percentile 16 of its year · price 2.3% below zero gamma · implied volatility -6.5 pts against 20-day realised · after this reading the next session's median move, up or down, was… (U.S. options exchanges, 6 Nov 2026) TSLA
- AAPL gamma conditions +1 of ±5: mixed — positive gamma · size-adjusted GEX at percentile 22 of its year · price 4.0% above zero gamma · implied volatility +0.2 pts against 20-day realised · after this reading the next session's median move, up or down, was… (U.S. options exchanges, 6 Nov 2026) AAPL
- AMZN gamma conditions +1 of ±5: mixed — positive gamma · size-adjusted GEX at percentile 46 of its year · price 7.7% above zero gamma · implied volatility -5.4 pts against 20-day realised · after this reading the next session's median move, up or down, was… (U.S. options exchanges, 6 Nov 2026) AMZN
- MSFT's size-adjusted GEX is 9.34% of a normal day's share trading, above its usual against its past year — percentile 85 of 252 sessions, 5.72 points above its average over the year · the five highest among SPY and the ten largest companies · the 06 Nov session · assumes dealers are long the calls and short the puts… (U.S. options exchanges, 6 Nov 2026) MSFT
- META's median move the session after a monthly expiry was 2.11%, against 1.18% on other sessions — N=25 monthly expiries in its record · the gap in points, five widest among SPY and the ten largest companies · moves are in size, up or down (U.S. options exchanges, 6 Nov 2026) META
Where does the data come from?
Items on this page come from U.S. options exchanges. Each item links to its own source. All sources, how items are checked.
What does this page lead to?
- Federal Reports (Calendar): Contracts expiring right after CPI, jobs and Fed dates carry extra open interest, so a ticker's levels can shift around those days; Federal Reports gives the dates. (either way, depending on the cause; days around each release; economy scale) Source: Dealer gamma computed by the terminal (Black-Scholes greeks from closing mids; dealers assumed long calls and short puts).
- Upcoming (Calendar): Open interest tends to build in the contracts that expire just after a ticker's next report; Upcoming lists the reports ahead on one calendar. (either way, depending on the cause; days before each report; company scale) Source: SEC EDGAR filings (10-Q/10-K text).
- Fear Gauge (VIX) (Briefing): Implied volatility above realized means options are priced for bigger moves than recent ones, the same gap the VIX page shows for the S&P 500 against its actual swings. (moves the same way; same day; economy scale) Source: Cboe VIX index data (daily history and delayed quotes).
- SPY History (Markets): The blended reading's history sits beside SPY's calm or busy days on SPY History, where the usual claim that positive gamma comes with smaller daily moves can be checked. (moves the other way; same day; economy scale) Source: Dealer gamma computed by the terminal (Black-Scholes greeks from closing mids; dealers assumed long calls and short puts).