S&P 500 Dealer Gamma Imbalance (SPX only)

The SPX dealer gamma imbalance (GEX) is running at 905 mln as of Wed, Jul 15, up 220 mln from the day before. This puts the number in the 92nd percentile.

Dealer gamma determines how much delta hedging a market maker needs to do as prices move. The bigger the gamma exposure, the bigger the forced flows. These flows are non-discretionary. Dealers have to hedge, regardless of liquidity conditions.

How this affects markets depends entirely on how dealers are positioned.

Long gamma: dealers must buy low and sell high to stay hedged. As the market rises, they sell. As it falls, they buy. This acts as a natural stabilizer, dampening volatility, adding liquidity, and keeping price action relatively contained.

Short gamma: the dynamic flips. To hedge, dealers must buy as the market rises and sell as it falls, chasing price in both directions. This amplifies moves, drains liquidity at exactly the wrong moments, and can turn a routine selloff into a disorderly one.