📖 Glossary

Plain-English definitions for the terms you'll run into while using GammaBaba and reading options-market commentary. If you're brand new, start with What is GEX? and Reading the Heatmap. Many of the terms below — walls, the King Strike, the gamma flip — map directly to what you see on the heatmap.

GammaBaba GEX heatmap showing call and put walls, the King Strike and the gamma flip across strikes and expirations

Gamma: The rate of change of an option's delta for a $1 move in the underlying. Higher gamma = delta accelerates faster.
Delta: Approximate change in an option's price for a $1 move in the underlying. Also read as a rough probability of expiring ITM.
GEX (Gamma Exposure): Aggregated gamma across all open contracts, typically weighted to approximate dealer hedging pressure per $1 move.
Net GEX: Call gamma minus put gamma at a strike (or summed across the board). Positive net GEX suppresses moves; negative net GEX amplifies them.
Spot / Underlying: The current price of the stock or ETF. Most GEX context is read relative to where spot sits versus the walls and gamma flip.
King Strike: The strike with the largest total |GEX| on the board. Often acts as a pin or magnet intraday.
Call Wall: A strike with concentrated net-positive gamma from calls. Price tends to be drawn toward it and struggles to breach it.
Put Wall: A strike with concentrated net-negative gamma from puts. Often acts as a floor; a break can accelerate downside.
Gamma Flip: The price level where aggregate dealer gamma crosses from positive (mean-reverting) to negative (trend-amplifying).
Positive Gamma Regime: Dealers are long gamma → they sell rallies and buy dips → volatility is suppressed.
Negative Gamma Regime: Dealers are short gamma → they buy rallies and sell dips → moves get amplified.
Dealer Hedging: Market makers delta-hedging inventory they took on from customer options flow. The mechanical source of GEX-driven flow.
IV (Implied Volatility): The volatility level that makes an option's market price equal to its theoretical value. A forward-looking vol estimate.
Skew: The difference in IV between OTM puts and OTM calls at the same expiry. Typically puts are richer (fear premium).
Term Structure: IV across expirations for the same strike (or for ATM). Steep contango vs. backwardation tells a story.
ATM / ITM / OTM: At-, in- and out-of-the-money: a strike near spot, already profitable to exercise, or not yet, respectively. Gamma is largest near ATM.
0DTE: Zero-days-to-expiration options — same-day-expiry. Extreme gamma near spot, outsized intraday impact.
OpEx: Monthly options expiration (3rd Friday). Large amounts of open interest roll off, reshaping the gamma board.
Open Interest (OI): Number of contracts currently open for a strike/expiry. Basis for most GEX calculations.
Put/Call Ratio: Total put volume (or OI) divided by call volume (or OI). A rough sentiment proxy.
Vanna: Sensitivity of delta to changes in IV. Part of why IV shifts move the underlying (vanna flows).
Charm: Decay of delta over time. Drives the end-of-day/week-before-OpEx drift.
Pinning: Price sticking to a high-gamma strike into expiration because of hedging activity on both sides.
Heatmap: GammaBaba's color-coded grid of GEX by strike and expiry — the fastest way to spot walls, the King Strike and the gamma flip at a glance.