Gamma exposure and trading signals glossary

Guides

• 50-day moving average explained

  The 50-day moving average is the mean of the last 50 daily closing prices, recalculated each day as the newest close enters and the oldest drops out. It gives a guide to the medium-term trend, since a close above it is higher than the average close of roughly the last ten weeks of trading. Owl Mastery shows how far each close sits from its 50-day average, in percent.

• Call wall and put wall explained

  Call wall and put wall are common names for the strikes where call or put options positioning is largest. On Owl Mastery, call resistance (call wall) is the strike with the largest net gamma exposure. Put support (put wall) is the strike with the most negative net gamma exposure. Other sites may define their walls by call-only or put-only gamma or by open interest, so their strikes can differ.

• Distance from the 52-week high explained

  Distance from the 52-week high is how far the latest close sits below the highest price of the past year, in percent. A reading near zero means price is close to its high for the year, and a large negative reading means it has fallen well below it. Owl Mastery computes it as the close divided by the highest high of the last 252 daily bars, minus 1, times 100.

• How to read gamma levels on a chart

  Check the date of the levels, then whether the close is above or below the HVL. Hedging may damp moves above the HVL and add to them below it. Call resistance marks the strike with the largest positive net gamma exposure, and put support marks the strike with the most negative net gamma exposure. The one-day range is the move priced in by implied volatility for one day. Treat each level as a place where hedging flows may change, not a price that has to hold.

• HVL, gamma flip and zero gamma compared

  Owl Mastery's HVL (high volatility level) is found by adding net gamma exposure from the lowest strike upward. The HVL is the strike where that running total reaches its lowest point. Net exposure is negative on balance below the HVL and positive on balance above it. Other sites publish gamma flip or zero gamma levels for a similar boundary, but they may calculate them differently, so the numbers need not match.

• Positive vs negative gamma and dealer hedging

  Positive and negative gamma describe how options dealers' hedging may react to a price move. When dealers are long gamma, they tend to sell into rallies and buy into dips, which may damp moves. When they are short gamma, they tend to buy as price rises and sell as it falls, which may make moves larger.

• What is gamma exposure (GEX)?

  Gamma exposure (GEX) estimates the dollar value of the underlying that options dealers may need to buy or sell for each $1 move to maintain their hedges. Owl Mastery calculates it strike by strike from that day's options open interest, counting calls as positive and puts as negative. Positive net GEX may accompany calmer, range-bound trading, while negative net GEX may accompany larger, faster moves.

• What is historical volatility and how is it annualized?

  Historical volatility, also called realized volatility, measures how much a price actually moved over a past window. It is the standard deviation of daily returns, scaled to a year by the square root of the number of trading days, which is 252 for US stocks and usually 365 for crypto. Owl Mastery's Volatility (20D) is the sample standard deviation of the last 20 daily log returns, times the square root of 252, times 100.

• What is RSI? Relative strength index explained

  The relative strength index (RSI) is a momentum indicator that compares the size of recent gains with the size of recent losses on a scale from 0 to 100. J. Welles Wilder Jr. introduced it in 1978 with a 14-period setting, and readings of 70 or more are commonly called overbought and 30 or less oversold. Owl Mastery computes Wilder's RSI over 14 daily closes for every US stock and index it covers.

• What is the expected move? The implied one-day range

  The expected move is the price range implied by option prices for a period, usually one standard deviation on either side of the current price. Owl Mastery's one-day range is spot plus or minus spot times IV30 divided by the square root of 252. IV30 is the implied volatility of the listed expiry closest to 30 trading days out. Under a normal model, the next close lands outside a one-standard-deviation range on roughly one day in three.

• What is the gamma wall?

  On Owl Mastery, the gamma wall and call resistance are the same strike by construction. The gamma wall marks where net options gamma is most concentrated. It is the strike with the largest gamma times open interest, with puts counted as negative, computed over every strike after each US close. Owl Mastery shows both names in one row of the levels table. Other providers may compute a gamma wall differently.

Glossary

Gamma (option greek)

Gamma is the rate at which an option's delta changes when the underlying price moves by $1. It is highest for options near the money and close to expiry. Dealers who hedge options with the underlying use gamma to judge how much that hedge must change as price moves.

Delta

Delta measures how much an option's price changes for a $1 move in the underlying. A call's delta runs from 0 to 1 and a put's from 0 to -1. Delta times the contract size, usually 100 shares, is the number of shares that offsets one contract, which is how dealers size their hedges.

Open interest

Open interest is the number of option contracts at one strike and expiry that are still open at the end of a trading day. It rises when new positions open and falls when positions close or expire. It does not show who bought and who sold. Owl Mastery builds its gamma levels from it.

Gamma exposure (GEX)

Gamma exposure (GEX) estimates how many dollars of the underlying options dealers may need to buy or sell, per $1 move, to keep their hedges in place. Owl Mastery computes it per strike from open interest, summed across expiries, with calls positive and puts negative. Net GEX is call GEX plus put GEX.

Dealer positioning

Dealer positioning is the net options position of the market makers and dealers who take the other side of customer trades. Public data does not show it, so gamma models have to assume it. Owl Mastery uses a common simplification, that dealers are long the calls and short the puts their customers trade.

Dealer hedging

Dealer hedging is the trading options dealers do in the underlying to offset the delta of the options they hold. As price moves, gamma changes that delta, so the hedge has to be adjusted. Long-gamma dealers sell into rallies and buy dips. Short-gamma dealers buy as price rises and sell as it falls.

Positive (long) gamma

Positive gamma describes a market where dealers are assumed to be net long gamma, which shows up as positive net GEX. Their hedging leans against price moves, selling as price rises and buying as it falls. Because hedging leans against moves, it can come with smaller daily ranges, but it does not say which way price will go.

Negative (short) gamma

Negative gamma describes a market where dealers are assumed to be net short gamma, which shows up as negative net GEX. Their hedging goes with price moves, buying as price rises and selling as it falls, which can make moves larger and faster, but it does not say which way price will go.

HVL (high volatility level)

The HVL, or high volatility level, is the strike where the running sum of net gamma exposure, added up from the lowest strike, is lowest. Owl Mastery computes it over every strike. It may mark the line between the gamma regimes, with price above it on the calmer side and price below it on the more volatile side.

Gamma flip

Gamma flip is a common trader name for the price where dealer gamma is said to change sign, negative below it and positive above it. Other providers may compute it differently. Owl Mastery does not publish a separate gamma flip. Its closest level is the HVL, the strike where the running sum of net gamma exposure is lowest.

Zero gamma level

The zero gamma level is a common trader name for the price at which total dealer gamma exposure would net to zero. Other providers may compute it differently, and their numbers can disagree. Owl Mastery does not publish a zero gamma level. Its HVL is a related level, read from the running sum of net gamma exposure across strikes.

Call resistance

Call resistance is the strike with the largest net gamma exposure, computed by Owl Mastery over every strike and summed across expiries. It is a level where rallies may slow, because dealer hedging there is assumed to lean against the move. The call wall is a similar level that traders name.

Put support

Put support is the strike with the most negative net gamma exposure, computed by Owl Mastery over every strike and summed across expiries. It is a level where declines may slow, or speed up once price breaks through it. The put wall is a similar level that traders name.

Call wall

Call wall is a common trader name for the strike with the most call gamma or call open interest, read as a ceiling where rallies may stall. Other providers may compute it differently. The matching Owl Mastery level is call resistance, the strike with the largest net gamma exposure.

Put wall

Put wall is a common trader name for the strike with the most put gamma or put open interest, read as a floor where declines may slow. Other providers may compute it differently. The matching Owl Mastery level is put support, the strike with the most negative net gamma exposure.

Gamma wall

The gamma wall is the strike with the largest signed gamma times open interest, with puts counted as negative, computed over every strike. By construction it is the same strike as call resistance. Both names are shown, and the levels table merges them into one row. It is a price where moves may stall.

Strike price

The strike price is the price at which a call holder can buy, or a put holder can sell, the underlying. Listed options trade at a ladder of strikes around the current price. Owl Mastery's HVL, call resistance, put support and gamma wall are all strikes, so each one sits on that ladder.

Expiration (expiry)

Expiration, or expiry, is the date an option stops trading and is exercised, settled or left to expire worthless. One underlying can have options on many expiry dates at once. Owl Mastery sums gamma exposure across every expiry at each strike, and repeats its main levels for the nearest expiry alone for signed-in users.

OPEX (options expiration day)

OPEX, short for options expiration, is the day a set of listed options expires. Standard monthly US equity options expire on the third Friday of the month. When a large block of open interest expires, its gamma goes with it, so the levels computed after OPEX can differ from the levels before it.

0DTE options

0DTE options are options with zero days to expiration, traded on the day they expire. A position opened and closed within that day never appears in open interest, which is counted once a day. Owl Mastery builds its levels from open interest, so its levels do not reflect that same-day activity.

Implied volatility (IV)

Implied volatility (IV) is the volatility that option prices imply, worked back from those prices with an option pricing model. It is quoted as an annualized percentage and reflects what the market prices in, not what has happened. Higher IV means pricier options. Owl Mastery uses IV30, the implied volatility of the expiry closest to 30 trading days out.

IV30

IV30 is the implied volatility of the listed expiry closest to 30 trading days out. It gives one comparable number each day while individual expiries roll closer. Owl Mastery's 1-day range is spot plus or minus spot times IV30 divided by the square root of 252.

Expected move

The expected move is the price range that options imply for a period, derived from implied volatility. Owl Mastery's 1-day range is spot plus or minus spot times IV30 divided by the square root of 252, a one-day move at IV30. It is an estimate, not a limit, and price can close outside it.

Historical (realized) volatility

Historical, or realized, volatility measures how much a price actually moved over a past window, as the annualized standard deviation of its returns. Owl Mastery's Volatility (20D) is the sample standard deviation of the last 20 daily log returns, times the square root of 252, times 100. It looks back, while implied volatility looks ahead.

Annualizing volatility (252 vs 365 days)

Annualizing scales a daily volatility to a yearly one by multiplying it by the square root of the number of trading days in a year. US stocks use 252, about the number of US trading days. Crypto trades every day, so crypto volatility is usually annualized with 365. Owl Mastery covers US stocks and uses 252.

RSI (relative strength index)

The relative strength index (RSI) is a momentum indicator from 0 to 100 that compares the size of recent gains with recent losses. J. Welles Wilder Jr. introduced it in 1978. Owl Mastery computes Wilder's RSI over 14 daily closes and labels 70 or more Overbought and 30 or less Oversold.

Overbought and oversold

Overbought and oversold describe an indicator at an extreme. On RSI, 70 or more is commonly called overbought and 30 or less oversold, the levels Wilder suggested, and Owl Mastery uses the same thresholds. Neither is a trade signal by itself, because RSI can stay above 70 through a strong uptrend or below 30 through a downtrend.

Simple moving average (SMA)

A simple moving average (SMA) is the mean of the last N closes, recalculated each day as the oldest close drops out. Owl Mastery's vs 50D average signal is the close divided by the mean of the last 50 closes, minus 1, times 100. A positive reading means the close sits above its 50-day average.

52-week high

The 52-week high is the highest price a stock traded at over the past year. Owl Mastery's From 52W high signal is the close divided by the highest high of the last 252 daily bars, minus 1, times 100. Zero means the close equals that high, and every other reading is negative.