📖 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.

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.

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.

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.