Dealer Gamma Positioning Screener

Methodology

For every optionable name we add up the gamma of each open contract within about 15% of the current price and about 90 days to expiry, weighted by open interest. Options dealers’ actual books are not public, so the estimate uses a standard simplifying assumption about which side they hold: long the open calls and short the open puts. The result is net dealer gamma. Because its size scales with how much open interest a chain carries, a raw number for one stock can’t be compared with another’s. Instead, each day’s value is ranked against the same name’s own history to give the net gamma percentile.

What the columns mean

Net γ percentile: today’s estimate ranked against the name’s history, 0 to 100. 5-day chg: the change in that percentile, in points, versus five snapshots earlier. Gamma tilt: call gamma minus put gamma, divided by the total. Vanna tilt and charm tilt: how lopsided the estimated hedge would be to a change in implied volatility and to the passage of time. Open interest: contracts in the tracked strike and expiry window.

Who is included

Stocks and ADRs worth at least $1 billion, plus ETFs, with at least 5,000 open contracts in the tracked window and about six months of history. Names with less history are left out because a percentile over a short record isn’t meaningful.

Frequently asked questions

What is net dealer gamma?

An estimate of the aggregate gamma held by options market makers across a stock's option chain, weighted by open interest, for contracts within about 15% of the stock price and about 90 days to expiry. Dealer positions are not public, so it uses a standard simplifying assumption: dealers are treated as long the calls and short the puts that are open.

What does the net gamma percentile mean?

It ranks today's net dealer gamma for a name against that same name's own daily history, from 0 (the lowest reading on record) to 100 (the highest). Raw gamma is not comparable across names because it scales with how much open interest each chain carries, so the percentile is the comparable number.

What are the gamma, vanna and charm tilts?

Each tilt runs from -1 to +1 and shows how lopsided the estimated dealer exposure is. Gamma tilt compares call gamma with put gamma. Vanna tilt describes how the hedge would shift if implied volatility changed, and charm tilt how it would shift with the passage of time.

Is this a trading signal?

No. The page describes estimated positioning and where it sits historically. It is not a forecast of price direction or volatility, and the simplifying assumption behind it means actual dealer books can differ. Treat it as context, not a recommendation.

Which stocks are included?

Optionable stocks and ADRs with a market value of at least $1 billion, plus ETFs, that have at least 5,000 open contracts in the tracked window and roughly six months of history.