Gamma Exposure Heatmap: IWM by Strike and Expiration

As of 2026-10-08, SquawkFlow computes total IWM dealer gamma at -5.7B per 1% move with spot at $277.57.

That total spans all 31 expiries in the chain. The 10 expiries and 25 strikes shown in the grid sum to -3.4B.

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The grid above covers 25 strikes nearest spot across 10 expirations, drawn from 5,582 contracts spanning 31 expiries in the full chain.

This total is summed from the gamma published with each contract on the delayed Cboe chain, across every expiration dated today or later. The SPX total on the /gex levels page is a different book, where every contract is re-priced with Black-Scholes at the evaluation spot from an archived implied volatility surface, so the two totals are not directly comparable. Both derive from daily-settled Cboe open interest.

Dealer positioning is an assumption, not an observable: open interest shows that a contract exists, never which side a dealer holds. Machine-readable version.

Building on this data? Welcome, it is free to reuse with attribution (a visible link to squawkflow.com). The open dataset updates every trading day and is more stable than parsing this page; questions via contact.

1. Dealers are net short about $5.7B of gamma per 1% move, so their hedging trades in the same direction as price; this state has historically meant faster, trend-prone sessions. That figure spans all 31 expiries in the chain; the 10 expiries and 25 strikes shown in the grid sum to -$3.4B.
2. Below 277 the strike totals turn negative, meaning a move through that level would meet hedging that chases the move instead of absorbing it.
3. Time decay alone shifts the aggregate dealer hedge by about $680M of delta in the ETF per day, and rebalancing that drift implies steady mechanical buying, heaviest into the close.
4. Since the prior session's settlement, open interest at 270 grew by 40,697 contracts, the largest overnight change on this grid; those added positions carry gamma at that strike for as long as they stay open.

Composed from the numbers on this page, not opinion: each sentence restates one figure on this page and its mechanical consequence. Descriptive only, never advice.

How to read it

Scan down a column to see where hedging is concentrated for one expiration. Scan across a row to see whether a strike matters today or only later in the month. The All column is the strike summed across every expiration in the chain, which is the number a conventional gamma chart would show you on its own. A run of strikes above spot that each carry more call gamma than the last is what desks call a gamma ramp, and the grid is where its shape is actually legible, because it separates the near-dated gamma from the rest.

The near-dated columns dominate in absolute size, and that is real rather than a display artefact: gamma rises steeply as expiration approaches for strikes near the money. Each column is therefore shaded against its own range, so a quiet expiry stays readable next to a loud one. Compare tint within a column, never across two.

Questions

What does this IWM gamma heatmap show?

Net dealer gamma exposure in dollars per 1% move in the IWM ETF, split by strike (rows) and expiration date (columns). The grid is built from daily-settled Cboe open interest, updated each session. Positive cells mean dealers are estimated to be long gamma at that strike and expiry; negative cells mean short gamma.

How is IWM different from the SPX heatmap on this site?

IWM options are American-style on an ETF with physical delivery at exercise. SPX options are European-style on a cash-settled index, and the small-cap companies IWM holds are a different set from the S&P 500.

Why do the IWM expiration columns look the way they do?

IWM lists weekly and standard monthly expirations, so the nearest columns are dense. The heatmap shows the nearest expirations in the chain, capped for readability, and each column is shaded against its own range.

How are the numbers calculated?

For every IWM contract: gamma multiplied by open interest, by the 100-share contract multiplier, by spot squared, by 0.01, which converts to dollars of delta per 1% move in the IWM ETF. Calls are counted positive and puts negative under the standard dealer-sign convention. Values are summed per strike and expiration across the full chain.

Is dealer positioning actually known?

No. Open interest shows that a contract exists, not which side a dealer holds. Every published gamma figure inherits the assumption that dealers are long calls and short puts against customer flow. Treat the grid as a map of where hedging pressure would concentrate if that convention holds.

What are the charm and vanna numbers?

Charm is dollar delta the estimated dealer hedge gains or sheds per day from time decay; vanna is dollar delta it gains or loses per one-point rise in implied volatility. Both are Black-Scholes model outputs computed from each contract’s own implied volatility and summed with the same dealer sign convention as gamma.

What is overnight open interest change?

The net change in contracts open at each strike between the two most recent daily settlements, summed across expirations and both calls and puts. Open interest is published once per session after the close, so this compares settlement snapshots only. Intraday opens and closes never appear until the next settlement.

How often does the data refresh?

The page revalidates every four minutes. The underlying figures are daily-settled Cboe open interest, updated each session after settlement, not an intraday tape.

Related

• IWM options flow, GEX and key levels
• SPX gamma exposure, walls, flip and vol trigger
• What is gamma exposure (GEX)?
• Gamma pinning