Dealer gamma · SPY
Computed 2026-10-12 after the close from SPY's listed option chain. Nothing here is predicted: these are the strikes where dealer hedging concentrates, recomputed every trading night.
Computed 2026-10-12 21:36 · refreshed nightly
| Night | Spot | Flip | Call wall | Put wall | Net gamma |
|---|---|---|---|---|---|
| 2026-10-12 | 778.57 | 795 | 778 | 772 | +$5.87bn |
| 2026-10-11 | 778.57 | 805 | 785 | 755 | +$3.55bn |
| 2026-10-10 | 778.57 | 805 | 785 | 755 | +$3.66bn |
| 2026-10-08 | 777.22 | — | 780 | 774 | -$3.86bn |
| 2026-10-07 | 779.09 | — | 785 | 777 | -$6.62bn |
| 2026-10-06 | 774.83 | 781 | 780 | 755 | +$16.87bn |
| 2026-10-05 | 769.64 | 785 | 775 | 755 | +$11.60bn |
| 2026-10-04 | 769.64 | — | 785 | 745 | -$1.90bn |
| 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.
| 769.64 |
| — |
| 785 |
| 745 |
| -$1.83bn |
| 2026-10-02 | 763.99 | 793 | 770 | 745 | +$4.38bn |
