Where does SPX sit against its gamma walls, and how has dealer gamma changed?
SELECT date, spot, regime,
call_wall - spot AS pts_to_call_wall,
spot - put_wall AS pts_above_put_wall,
net_gex_blended AS net_gex
FROM gex ORDER BY date DESC LIMIT 1The walls are the strikes with the most call and put gamma.
SELECT date, spot, call_wall, put_wall FROM gex ORDER BY date
Positive means dealers damp moves. Negative means they add to moves.
SELECT date, net_gex_blended FROM gex ORDER BY date
Average and spread of the next session's point move, grouped by today's sign of net gamma.
| regime | sessions | avg_move_pts | avg_abs_move_pts | best_pts | worst_pts |
|---|---|---|---|---|---|
| Negative gamma | 50 | 8.20 | 46.60 | 147.70 | -134.00 |
| Positive gamma | 81 | 8.40 | 45.50 | 196.00 | -200.60 |
WITH t AS (
SELECT date, net_gex_blended,
LEAD(spot) OVER (ORDER BY date) - spot AS next_move
FROM gex)
SELECT CASE WHEN net_gex_blended >= 0 THEN 'Positive gamma' ELSE 'Negative gamma' END AS regime,
COUNT(next_move) AS sessions,
ROUND(AVG(next_move), 1) AS avg_move_pts,
ROUND(AVG(ABS(next_move)), 1) AS avg_abs_move_pts,
ROUND(MAX(next_move), 1) AS best_pts,
ROUND(MIN(next_move), 1) AS worst_pts
FROM t WHERE next_move IS NOT NULL
GROUP BY 1 ORDER BY 1SELECT date, spot_chg_1d FROM gex WHERE spot_chg_1d IS NOT NULL ORDER BY date