Unusual Whales Platform: Gamma Exposure Dashboard

Key Concepts

• Gamma: Rate of change of a contract's Delta.
  • Analogy: Delta (velocity) vs Gamma (acceleration).
• Gamma Peak: Occurs 'At the Money' (ATM).
  • Total gamma at a strike may be larger if there is high open interest.

Gamma Exposure

• Positive Gamma: Market makers sell into rallies and buy into dips.
• Negative Gamma: Market makers sell into dips and buy into rallies.
• Volatility: Negative gamma can lead to higher price volatility.

Amazon Gamma Exposure Example

• Amazon has largely had a positive gamma exposure.
• As of September to October 2023, brief periods of negative gamma were noted.
• Positive gamma results in market makers gently selling into rips and buying into dips.

Gamma Exposure by Strike

• Table Analysis: Ignores contract expiration dates.
  • Nearer dated options have higher gamma than those further out.
  • E.g., $180 strike shows higher gamma at a nearer expiration date.
• Gamma Concentration: Highest at 'At the Money' but decreases further away.
  • E.g., $185 call strike shows significant gamma concentration.

Net Gamma

• Net Gamma View: Combines call and put gamma.
  • The $185 strike holds the most gamma, indicating suppressed volatility around this level.

Meta vs Amazon Gamma Environment

• Meta: Less positive gamma environment, resulting in more volatile price action.
• Amazon: Consistent positive gamma with a steady price uptrend.

Market Maker Activities

• $185 Strike Activity: Market makers suppress volatility as stock approaches strike.
  • As stock moves above $185, market makers sell shares, causing intraday pullbacks.

Gamma Exposure by Expiry

• Short-term Options: Represent significant gamma due to active trading.
• Near-dated options can result in rapid trades to monetize positions.

Trading Strategies

• Gamma Exposure as a Trading Strategy: Use gamma charts to identify profitable trade entries and exits.
  • E.g., $185 strike in May 2024 expiration influenced by market makers' actions.

Conclusion

• Gamma Exposure Insights: Helps in understanding market maker influence on stock volatility and price movements.
• Practical Application: Utilize gamma charts to select trading strikes and profit-taking points.