Gamma Exposure Heatmap: SPY by Strike and Expiration

As of 2026-09-11, SquawkFlow computes total SPY dealer gamma at -13.2B per 1% move with spot at $757.83. The grid below covers 25 strikes nearest spot across 10 expirations, drawn from 13,558 contracts spanning 32 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 $13.2B of gamma per 1% move, so their hedging trades in the same direction as price; this state has historically meant faster, trend-prone sessions.
2. About 40% of the near-term gamma on this grid expires today, so whatever pinning or momentum it creates resets at the close.
3. The heaviest same-day positive gamma near spot sits at 765; dealers hedging there lean against moves away from that strike, which tends to make price sticky around it into the close.
4. Below 757 the strike totals turn negative, meaning a move through that level would meet hedging that chases the move instead of absorbing it.
5. Time decay alone shifts the aggregate dealer hedge by about $2.4B of index delta per day, and rebalancing that drift implies steady mechanical buying, heaviest into the close.
6. Since the prior session's settlement, open interest at 750 grew by 29,901 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.

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.

SPY strikes are quoted in one-dollar increments near the money, so the grid is denser than the five-point SPX ladder. Each column is still shaded against its own range.

Questions

What does this SPY gamma heatmap show?

Net dealer gamma exposure in dollars per 1% move in the SPY 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 SPY different from the SPX heatmap on this site?

SPY options are American-style on an ETF with physical delivery at exercise. SPX options are European-style on a cash-settled index. SPY carries many more listed weeklies and monthlies, so the expiration columns are denser. Strikes are quoted in one-dollar increments near the money, which packs more rows into the same spot window than the five-point SPX ladder.

Why does SPY have so many expiration columns?

The SPDR S&P 500 ETF lists options on multiple weekly cycles plus standard monthlies and quarterlies. The heatmap shows the nearest expirations in the chain, capped for readability. Each column is shaded against its own range because near-dated gamma dominates in absolute size.

How are the numbers calculated?

For every SPY 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 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 sheds per day from time decay; vanna is dollar delta gained per one-point rise in implied volatility. Both are Black-Scholes model outputs summed with the same dealer sign convention as gamma. Same-day expiries dominate charm because it scales with one over time-to-expiry.

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

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