Dealer gamma · CSCO
Computed 2026-09-21 after the close from CSCO's listed option chain. Nothing here is predicted: these are the strikes where dealer hedging concentrates, recomputed every trading night.
Computed 2026-09-21 22:40 · refreshed nightly
| Night | Spot | Flip | Call wall | Put wall | Net gamma |
|---|---|---|---|---|---|
| 2026-09-21 | 109.51 | 120 | 115 | 105 | +$0.02bn |
| 2026-09-20 | 109.51 | 130 | 115 | 105 | +$0.01bn |
| 2026-09-19 | 109.51 | 130 | 115 | 105 | +$0.01bn |
| 2026-09-18 | 110.24 | 112 | 110 | 105 | +$0.04bn |
| 2026-09-17 | 107.74 | 119 | 115 | 110 | +$0.02bn |
| 2026-09-16 | 107.74 | 135 | 115 | 105 | +$0.01bn |
| 2026-09-15 | 110.06 | 115 | 115 | 105 | +$0.03bn |
| 2026-09-14 | 112.13 | 115 | 115 | 105 | +$0.03bn |
| 2026-09-13 |
What a wall is: the strike where dealers' hedging exposure concentrates. Price approaching a large call wall tends to meet hedging flow that leans against the move; losing a put wall can accelerate one. A wall is a level that usually matters — not a promise. Our index levels are graded publicly against every session for exactly that reason.
Where this data goes: this same nightly computation feeds the Intel Clearance morning wire — filings, 13F moves, dark-pool share and these walls on the names you follow, read for you by 07:40. And inside the terminal, the index books recompute through the session as 0DTE flow rebuilds the surface.
| 112.13 |
| 120 |
| 115 |
| 105 |
| +$0.02bn |
| 2026-09-12 | 112.13 | 120 | 115 | 105 | +$0.02bn |