GammaFlip computes gamma exposure (GEX) from the open interest of every listed option: gamma × open interest × contract multiplier × spot² × 0.01, in US dollars per 1% move of the underlying. Calls count as positive and puts as negative. The gamma flip is the price where the re-priced net gamma profile changes sign. Crypto data combines Deribit, Bybit, OKX, Derive and Binance and refreshes every 60 seconds; US options gamma updates intraday on live prices and implied volatility, with open interest from the previous session.
The formula
For each option contract:
GEX = gamma × open interest × contract multiplier × spot × spot × 0.01
- Units: US dollars of the underlying that dealers would buy or sell for a 1% move in price.
- Contract multiplier: 1 for crypto options (open interest is in coins), 100 for US options.
- Per strike: call GEX and put GEX are summed separately. Net GEX = call GEX − put GEX; total (absolute) GEX = call GEX + put GEX.
Sign convention and the dealer assumption
GammaFlip uses the standard convention: all open interest is treated as dealer exposure, with dealers long the calls and short the puts. Call gamma adds with a positive sign (hedging that dampens moves), put gamma with a negative sign (hedging that amplifies them).
We do not estimate which side of each trade the dealer took. Platforms that do, by classifying trades against the order book, publish smaller numbers because dealers hold only part of the open interest. The levels usually sit in similar places, but the totals differ; see why gamma exposure differs across platforms.
Where gamma comes from
| Source | Gamma used for GEX by strike | Implied volatility | Price used for spot² |
|---|---|---|---|
| Bybit | Bybit's published gamma | Bybit mark IV | Bybit's underlying price |
| Deribit | Computed by GammaFlip (Deribit's market summary has no greeks) | Deribit mark IV | Deribit's underlying price for each contract |
| OKX | OKX's published Black-Scholes gamma | OKX mark volatility | Bybit index |
| Derive | Derive's published gamma | Derive implied volatility | Bybit index |
| Binance | Computed by GammaFlip from mark IV on the forward, with Binance's per-contract rate. Binance's own gamma was unreliable on one-sided quotes, so it is not used | Binance mark IV | Bybit index |
| US options | Computed by GammaFlip | End-of-day implied volatility at the close, live implied volatility during the session | Underlying close, or the live price during the session |
When GammaFlip computes gamma it uses the Black-Scholes formula with a 365-day year. For crypto the rate is 0, which makes it the Black-76 form with the forward equal to spot. US options use the daily SOFR rate and no dividend yield. SPX options are AM-settled; the other US tickers are PM-settled.
Combining exchanges and expirations
- Combined crypto profile: rows from every venue that lists the coin are added together by strike, each with its own gamma and underlying price. The reference spot price is the Bybit index.
- Coverage: BTC and ETH from Deribit, Bybit, OKX, Derive and Binance; SOL and XRP from Deribit, Bybit, Derive and Binance; HYPE from Deribit, Bybit and Derive. OKX lists only bitcoin and ether options, and Binance has no HYPE options.
- Venue subsets: in the app and the API you can use any venue alone, all of them, or a subset such as Deribit + Derive.
- Expirations: TOTAL adds up every listed expiration; a single expiration uses only that date. US options include expirations up to 180 days out.
- Strikes: no strike or minimum open-interest filter in the app. The downloadable history files keep strikes within ±25% of spot.
How the levels are defined
- Gamma flip (F): the price where the net gamma profile (see below) crosses zero, found by linear interpolation between grid points. When there are several crossings, the primary flip is the one between V and S closest to spot; crossings outside that range sit in deep out-of-the-money noise. If all candidates lie within 1% of spot, they are published as one flip with a zone (low and high). Other crossings are shown as F2, F3.
- Regime: positive when spot is at or above the flip, negative when below.
- P1, P2: the two strikes with the largest positive net GEX.
- N1, N2: the two strikes with the most negative net GEX.
- A1, A2: the two strikes with the largest total (call + put) GEX.
- S (max stability) and V (max volatility): the prices where the net gamma profile peaks and bottoms. S2 and V2 are the next strongest local peak and trough.
- Max pain: the strike at which option holders would collectively lose the most at expiry: the strike K that minimises Σ call OI × max(K − k, 0) + Σ put OI × max(k − K, 0). It is meaningful for a single expiration. The API and history leave it empty for TOTAL, and the public ticker pages use the nearest expiration at least four days out.
The gamma profile (Net GEX forecast)
The profile answers "what would net GEX be if spot moved to this price?". For every listed strike used as a hypothetical spot price, gamma is recomputed for each contract with its implied volatility held fixed (sticky strike), and GEX is recomputed with that price. For the combined crypto profile, contracts with the same strike, expiration and type are merged across venues: open interest is added and implied volatility is weighted by open interest.
In TOTAL, contracts with less than four hours to expiry are priced as if four hours remained, because gamma explodes at the expiry instant. A single-expiration view applies no floor.
How fresh the data is
- Crypto in the app: option chains refresh every 60 seconds, the spot price every 5 seconds.
- US options in the app: during US market hours the spot price refreshes every 5 seconds and implied volatility every 5 minutes, and gamma is re-priced with both. Open interest is published once a day: during the session it is as of the previous session's close, from the OPRA report read each morning at 06:40 ET.
- History: a snapshot every 15 minutes (:00, :15, :30, :45) of every expiration and TOTAL, for each venue and the combined profile. US snapshots are taken from the open until 15 minutes after the close.
- Free daily pages at /gex: crypto from the 08:00 UTC snapshot (Deribit's daily expiry time), US tickers after the close.
Probabilities: Monte Carlo and reach probability
The Monte Carlo forecast simulates 20,000 price paths. Volatility starts from the at-the-money implied volatility of the selected expiration (for TOTAL, the expiration nearest seven days out) and is scaled at each step by the net gamma profile at the path's price: lower where gamma is positive, higher where it is negative. The effect fades as open interest expires. A random volatility-of-volatility factor per path widens the tails.
Reach probability is the probability that price ends at or above a level above spot, or at or below a level below spot, at the chosen horizon. It is not the probability of touching the level along the way. The model's constants are set by judgement and have not yet been fitted to historical data, so treat the numbers as structured estimates rather than calibrated odds.
Known limitations
- The dealer assumption: real dealer positioning is unknown. Treating all open interest as dealer exposure overstates totals and can get the sign wrong at strikes where customers are short.
- US open interest lags a session. Gamma moves intraday, positioning does not until the next morning's report.
- Derive: a large share of its open interest comes from structured and vault programs, which concentrates walls on a few strikes.
- Thin books: HYPE options are thin outside a few quarterly expirations, and SOL and XRP have fewer venues than bitcoin and ether, so each level rests on less positioning.
- Near expiry: gamma of contracts close to expiry is unstable, hence the four-hour floor in TOTAL.
- Flat profiles: when net gamma is close to zero over a wide range, several flip crossings appear; GammaFlip publishes them as one flip zone when they sit within 1% of spot.
- US implied volatility: when IV cannot be computed for a deep in-the-money contract, that contract keeps its open interest but adds no gamma.
Who builds GammaFlip
GammaFlip is built by Victor Bucha, its founder and CEO of QUANTUMGARDEN – UNIPESSOAL LDA (Lisbon), the company that operates it. He holds a PhD in computer vision and image processing and has about 20 years in R&D and data science, including eight years at Samsung R&D, where he led an algorithms group. He has authored about 40 scientific publications and 15+ patents, and has traded crypto derivatives through Quantum Garden since 2024. LinkedIn.
Questions about the methodology: support@gammaflip.io. The API fields are documented in the data dictionary.