Dealer gamma · SPGI
Computed 2026-10-12 after the close from SPGI's listed option chain. Nothing here is predicted: these are the strikes where dealer hedging concentrates, recomputed every trading night.
Computed 2026-10-12 23:39 · refreshed nightly
| Night | Spot | Flip | Call wall | Put wall | Net gamma |
|---|---|---|---|---|---|
| 2026-10-12 | 407.82 | — | 420 | 400 | -$0.00bn |
| 2026-10-11 | 407.82 | — | 420 | 400 | -$0.01bn |
| 2026-10-10 | 407.82 | — | 420 | 400 | -$0.01bn |
| 2026-10-08 | 395.18 | — | 490 | 400 | -$0.01bn |
| 2026-10-07 | 395.18 | — | 410 | 390 | -$0.01bn |
| 2026-10-06 | 390.92 | — | 490 | 400 | -$0.01bn |
| 2026-10-05 | 386.27 | — | 490 | 390 | -$0.01bn |
| 2026-10-04 | 386.27 | — | 490 | 390 | -$0.02bn |
| 2026-10-03 |
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.
| 386.27 |
| — |
| 490 |
| 390 |
| -$0.02bn |
| 2026-10-02 | 388.16 | — | 490 | 380 | -$0.01bn |
