Gamma Flip Level¶
The gamma flip level (also called the gamma flip point or zero-gamma level) is the underlying price at which aggregate dealer gamma exposure crosses zero. Above it, dealers are net long gamma and hedge in ways that suppress volatility; below it, dealers are net short gamma and hedge in ways that amplify every move. The level marks the dividing line between a mean-reverting tape and a trending, unstable one.
HOW IT WORKS¶
The flip level is derived by computing gamma exposure (GEX) across the full option chain — every strike and expiration — and finding the price at which total dealer GEX equals zero. For each strike, the Black-Scholes gamma is multiplied by open interest and the contract multiplier, then signed based on inferred dealer positioning (dealers are assumed short the options customers bought). Summing these values produces a GEX curve as a function of underlying price; the flip level is the root of that curve, the price S where GEX(S) = 0. Above S, a 1% rally forces dealers to sell into strength, dampening the move. Below S, a 1% decline forces dealers to sell into weakness, accelerating it.
IN TAPEBOARD¶
Tapeboard displays the current gamma flip level as a dynamic price overlay on index charts, updated intraday as open interest and spot price shift. Traders use it as a regime filter: when price is above the flip, the terminal highlights mean-reversion conditions and tighter expected ranges; when price breaks below, it flags a momentum regime with wider expected intraday ranges. The flip level is also surfaced in the 0DTE dashboard, where it migrates continuously as zero-day positions are opened and closed throughout the session. Risk tools in Tapeboard alert users when spot approaches the flip within a configurable threshold, giving time to adjust hedges before a potential regime change rather than after.