HVL, gamma flip and zero gamma compared

What the HVL is

The HVL is one of the daily levels Owl Mastery publishes for each stock and index with options data. It is always a strike price, and it comes from gamma exposure (GEX). GEX estimates how many dollars of the underlying options dealers may need to buy or sell, for each $1 move, to keep their hedges in place.

The HVL splits the strikes into two groups. The strikes below it carry negative net exposure on balance, and the strikes above it carry positive net exposure on balance. Under the dealer-hedging model, those two sides behave differently, so it matters which side of the HVL price sits on.

How Owl Mastery computes the HVL

The HVL starts from net gamma exposure by strike. For each strike, exposure is the dollars of delta-hedging exposure per $1 move in the underlying, summed across all expiries. Calls count as positive and puts as negative, and net exposure is call exposure plus put exposure.

1. Line up every strike from the lowest to the highest.
2. Keep a running sum of net exposure, adding each strike to the total of the strikes below it.
3. Find the strike where that running sum is lowest. That strike is the HVL.

Owl Mastery runs this over every strike, not only the strikes near the price, once a day after the US close. The methodology page lists the formula for every level.

Why the lowest point of the running sum

The running sum falls at each strike with negative net exposure and rises at each strike with positive net exposure. Its lowest point is where it stops falling and starts rising. So any run of strikes that ends at the HVL adds up to zero or less, and any run that starts just above it adds up to zero or more. That is what "negative below, positive above" means.

A worked example

The numbers below are illustrative. They are not live data for any stock. Net exposure is in millions of dollars per $1 move.

Strike	Net exposure	Running sum
90	-20	-20
95	-35	-55
100	-10	-65
105	+15	-50
110	+40	-10
115	+25	+15

The running sum is lowest at the 100 strike, at -65, so the HVL is 100. In the same table, put support is 95, the most negative strike, and call resistance is 110, the largest positive strike. The call wall and put wall article explains those two. The live SPX table above shows the latest real levels.

HVL, gamma flip and zero gamma compared

Gamma flip and zero gamma are names other sites use for levels with a similar purpose. They aim to mark where dealer gamma may change from positive to negative. The names have no single standard definition. Some providers may compute them by recomputing total gamma exposure at a range of hypothetical prices and taking the price where the total crosses zero. That approach differs from Owl Mastery's, which reads one snapshot at the close across strikes. The two can give different numbers for the same stock on the same day.

Name	How Owl Mastery uses it	What to check when another site uses it
HVL	The strike where the running sum of net exposure, from the lowest strike up, is lowest. Computed over every strike after each US close.	Whether the site means the same calculation. The name is not a standard.
Gamma flip	Not a separate level. The HVL is the nearest Owl Mastery equivalent.	Whether it is a strike or a computed price, whether total gamma is recomputed at hypothetical prices, which expiries count, how calls and puts are signed, and how often it updates.
Zero gamma	Not a separate level. The HVL is the nearest Owl Mastery equivalent.	The same checks as for gamma flip. Some sites may use the two names for one level.

When two sites disagree on this level, the methods can differ as well as the data. Compare definitions before you compare numbers.

How to read the HVL

• The side of the close. Owl Mastery's dashboard marks whether the close is above or below the HVL. Above it, on the positive-gamma side, hedging tends to lean against moves. Below it, on the negative-gamma side, hedging tends to add to them.
• The distance. Each ticker page shows how far the HVL sits from the close, in percent. Compare it with the one-day range. When the HVL lies outside that range, reaching it would take more than a one-standard-deviation move at the current implied volatility.
• A change of side. A close that crosses the HVL moves from one hedging regime to the other, as the model describes them.

The SPX page shows the HVL next to call resistance, put support and the one-day range. The guide to reading gamma levels puts them together.

Limits of the HVL

• Assumed positioning. The signs assume that dealers are long the calls and short the puts their customers trade. Open interest does not show who holds each side. If real positioning differs, the HVL can sit somewhere else.
• One snapshot a day. The HVL comes from the options open interest for that day and stays fixed through the next session, while gamma shifts with price, time to expiry and implied volatility.
• Strike steps. The HVL is always a listed strike, so it moves in steps the size of the strike spacing.
• A tendency, not a forecast. The model links each side of the HVL to a kind of hedging flow. Price can stay on either side for days, and news, earnings or broad selling can outweigh hedging.
• Different methods. Comparing Owl Mastery's HVL with another site's gamma flip compares two methods as well as two numbers.