🔬 Data & Methodology

• Options chains — end-of-day and intraday snapshots from institutional data vendors, covering ~6,000 US-listed optionable tickers.
• Spot prices — real-time (delayed ~15s) equity quotes used to position strikes relative to the current price.
• Implied volatility — vendor-provided per-contract IV; GammaBaba does not currently recompute IV from mid-market.

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.

For each contract, contribution to aggregate gamma exposure is:

• Γ — contract gamma (Black-Scholes).
• OI — open interest.
• 100 — standard equity-option contract multiplier.
• S² — spot squared, convertin gamma to a $-per-1%-move scale.
• sign — assumed dealer positioning: +1 for calls (dealers long call gamma), -1for puts (dealers short put gamma). This is the standard “Squeezemetrics convention” and a simplifying assumption — see caveats below.

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.

• Open interest is snapshot-based. Intraday OI changes only materialize after the vendor reconciles the previous session.
• 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.