🔬 Data & Methodology
Good analytics are only as trustworthy as the data and math behind them. This page documents the scope of GammaBaba's data, how often it refreshes, exactly how every Gamma Exposure (GEX) number is computed, and the assumptions baked into that math — so you can read the visualizations critically rather than taking them on faith.
Data scope#
- Options chains — end-of-day and intraday snapshots covering the entire US options universe of optionable stocks and ETFs, with strikes, expirations, open interest and per-contract Greeks.
- Spot prices — near-real-time equity quotes (delayed roughly 15 seconds) used to position strikes relative to the current price.
- Implied volatility — per-contract IV is taken as provided in the chain; GammaBaba does not currently recompute IV from mid-market quotes.
Refresh cadence#
You choose the refresh interval per view: 1m / 5m / 15m / 1h / 4h. The 1m cadence is best effort — during high-volume sessions snapshots may lag by a few seconds. Outside regular trading hours the board shows the last close.
How GEX is computed#
Each contract’s contribution to aggregate gamma exposure is produced by our in-house gamma engine, which combines several inputs into a single dollar-scaled measure of dealer gamma:
- Contract gamma — how fast a contract’s directional exposure changes as the underlying moves, derived from a proprietary GammaBaba options-pricing model.
- Open interest — the number of contracts outstanding, scaling each strike’s influence by how much is actually on the books.
- Contract size — the standard equity-option contract multiplier, so the result reflects real notional rather than per-share gamma.
- Spot scaling — the underlying price is folded in to convert gamma to a $-per-1%-move scale, making strikes comparable across names.
- Dealer sign — assumed dealer positioning: dealers are treated as long call gamma and short put gamma. This is a simplifying assumption — see caveats below.
Dealer-positioning assumptions#
GammaBaba uses the convention that dealers are long call gamma and short put gamma in aggregate. This is empirically reasonable for broad-market indices and most liquid equities, but it is a heuristic — not a certainty.
Caveats#
- Open interest is snapshot-based. Intraday OI changes only materialize after the previous session is reconciled, so same-day OI shifts are not reflected in real time.
- Vanna, charm, and higher-order Greeks are not currently included in the default GEX view.
- Very illiquid options may have stale IVs that distort gamma.
- Corporate actions, special dividends, and ex-dates can shift strike grids without being immediately reflected.