Open interest is in contracts (Deribit BTC/ETH = 1 coin per contract, so leave contract size at 1). IV is per-strike implied volatility in %. Add or edit rows for the expiry you're watching.
| Strike ($) | Call OI | Put OI | IV (%) |
|---|
Net GEX breakdown
| Metric | Value |
|---|
Net GEX across a spot range — finding the flip
Gamma is a function of spot, so net GEX changes as price moves even with fixed open interest. This recomputes GEX at each hypothetical spot and marks where it crosses zero — the gamma flip level.
| Hypothetical spot | Net GEX (per 1% move) | Regime |
|---|
Why sign flips matter more than magnitude
Market makers who sell options end up net short calls and net short puts to the crowd that bought them — then they delta-hedge that position in spot and perps to stay flat. If dealers are modeled long gamma overall (net GEX positive), their hedging is counter-trend: they sell into rallies and buy dips, which compresses realized volatility and can pin price near heavy strikes. If they are modeled short gamma (net GEX negative), the hedging flips to trend-following: buying into rallies and selling into dips, which amplifies moves and raises realized volatility — the setup behind sharp, fast liquidation-driven candles. The absolute GEX number matters less than which side of the flip spot currently sits on, and how close the flip level is.
The math: real Black-Scholes gamma, summed across the book
Gamma exposure starts from the same gamma every options trader already uses. For each strike K, with spot S, implied vol σ, time to expiry T (years) and risk-free rate r: d1 = (ln(S/K) + (r + σ²/2)T) / (σ√T), then gamma = N'(d1) / (S·σ·√T), where N'(d1) is the standard normal density at d1. Gamma is identical for a call and a put at the same strike — what differs is who is assumed to hold it.
The standard retail-facing convention (used by every public GEX tracker, crypto or equity) assumes call open interest sits on the dealer's book as long gamma and put open interest as short gamma — the typical shape of a market where the crowd overwrites calls and buys downside puts. Per strike: GEX = gamma × (callOI − putOI) × contractMultiplier × S² × 0.01, scaled by spot squared and 0.01 so the number reads as dollars of hedging flow triggered by a 1% move. Sum that across every strike in the chain and you get net GEX at the current spot.
Because gamma peaks when spot sits at-the-money for a given strike and decays away from it, net GEX is not a fixed number — it is a curve in spot. This calculator recomputes gamma at every strike across a price range and plots the curve, marking the zero-crossing as the gamma flip level. That level moves every time open interest, IV or time-to-expiry changes, exactly like the real dealer book it is modeling — it is a live structural read, not a static line.
FAQ
What is dealer gamma exposure (GEX) in crypto options?
GEX is the open-interest-weighted gamma across every listed strike, converted into a dollar figure: how much the market's aggregate delta shifts for a 1% move in spot. A positive reading models dealers as net long gamma, which means their hedging (selling into rallies, buying dips) dampens volatility and can pin price. A negative reading models dealers as net short gamma, so their hedging (buying rallies, selling dips) amplifies moves and pushes realized volatility higher. It is a modeled estimate of the options market's structural positioning, not a directional price prediction.
How is GEX calculated from open interest and Black-Scholes gamma?
For each strike, gamma is computed with the standard Black-Scholes formula: d1 = (ln(S/K) + (r + sigma²/2)T) / (sigma·√T), then gamma = N'(d1) / (S·sigma·√T), where N'(d1) is the standard normal density. That per-contract gamma is multiplied by open interest, the contract multiplier and spot squared times 0.01 to express it as dollars of hedging pressure per 1% spot move: GEX = gamma × OI × multiplier × S² × 0.01. The standard convention counts call open interest as positive gamma and put open interest as negative, matching the typical retail book of call-overwriters and put-buyers, and dealer net GEX is the sum of this across every strike.
What is the gamma flip (zero gamma) level and why does it matter?
Gamma is a function of spot, so net GEX changes as price moves even if open interest stays fixed. The gamma flip level is the spot price where cumulative net GEX crosses zero. Above it dealers are modeled long gamma, hedging flows lean against the trend and realized volatility tends to compress. Below it dealers are modeled short gamma, hedging flows lean with the trend and realized volatility tends to expand. This calculator recomputes gamma at every strike across a spot range and finds where the net GEX curve crosses zero, the same method used by public GEX trackers for BTC and ETH options on Deribit.
Where do I get BTC/ETH options open interest and IV to plug in?
Deribit runs the large majority of BTC and ETH options volume and publishes open interest and implied volatility per strike and expiry on its options chain. Aggregators such as Coinglass, Laevitas and Amberdata mirror this data with OI-by-strike breakdowns. Pull the call and put open interest and the implied volatility for the strikes you care about into the table below; leave the contract multiplier at 1 since Deribit BTC and ETH options are coin-margined, one contract per coin.