/zero-dte-gamma

name: zero-dte-gamma
description: Estimate net dealer gamma exposure (GEX) for same-day-expiry (or nearest-expiry) SPY / SPX / QQQ / IWM options and identify gamma pins. Uses Black-Scholes gamma applied to reported open interest with a standard dealer positioning assumption (short customer calls, long customer puts). Reports net dealer gamma, gamma regime (long / short), gamma flip strike, and top 5 gamma pin strikes with per-side notional gamma. Motivated by 2024-25 research on how 0DTE options now drive systematic intraday moves through market-maker delta hedging pressure. Requires Options Developer.

zero-dte-gamma

You hand over an underlying (default SPY). The skill pulls the options chain snapshot for the nearest expiry, computes per-contract gamma exposure using Black-Scholes greeks and reported open interest, aggregates by strike, and reports the net dealer gamma regime along with the top pins.

Motivated by 2024-25 research (Baltussen-Terhorst-Van Vliet 2024, Bhattacharya 2024, others) documenting that 0-day-to-expiration options now drive systematic intraday moves through market-maker delta hedging pressure. This phenomenon didn't exist meaningfully before 2022 (when CBOE expanded 0DTE availability); by 2024-25 it's a first-order intraday factor.

Interpretation

• **Long gamma regime** (net dealer gamma > 0): dealers hedge

against price moves, compressing intraday range. Late-day chop typical. Sell-vol strategies favored.

• **Short gamma regime** (net dealer gamma < 0): dealers hedge with

the market, amplifying moves. Trend days more likely, especially in the last hour. Buy-vol / breakout strategies favored.

• **Gamma flip strike**: the level where cumulative dealer GEX

crosses zero. Break past it and the hedging regime changes.

• **Gamma pins**: strikes with the largest concentrated open

interest gamma. Spot tends to gravitate toward these on expiry day.

When to invoke

• "What's the gamma regime on SPY today?"
• Pre-market prep on an SPX / QQQ options trader's watchlist
• Sizing risk for a 0DTE strategy
• The user says "gamma flip", "gamma pins", "0DTE",

"dealer positioning"

Not for: single-name equity options (this is calibrated to index / ETF flow assumptions). Not for real-time (this is snapshot-based; end-of-day is fine, intraday drift can be substantial).

What you need

• Underlying ticker (`--underlying`, default SPY)
• `MASSIVE_API_KEY` exported
• **Options Developer** or higher entitlement. Returns a clean

NOT_AUTHORIZED tier caveat without it.

Optional:

• `--expiration-date` (YYYY-MM-DD): pin a specific expiry. Default:

nearest listed expiration to today.

• `--risk-free-rate` (default 0.045)
• `--default-iv` (default 0.15): fallback when Massive's greeks

or IV field is missing on a contract.

What you get back

Two output layers.

**Layer 1: canonical JSON**. Per-strike `call_gamma_notional`, `put_gamma_notional`, `dealer_gex`, `cum_dealer_gex`, `call_oi`, `put_oi`. Top-level `net_dealer_gex`, `gamma_regime`, `gamma_flip_strike`, `top_gamma_pins` (top 5 by absolute notional), plus `spot`, `days_to_expiration`, and full `gamma_by_strike` for downstream consumers.

**Layer 2: rendered note**. Header + regime label + gamma flip level, top 5 pin table, one-line Take.

How it works

1. **Pick nearest expiry** from `/v3/reference/options/contracts?underlying_ticker={U}`. 2. **Fetch chain snapshot** from `/v3/snapshot/options/{U}?expiration_date={D}`. Massive returns per-contract greeks + open interest + IV. 3. **Compute gamma** per contract. Prefer Massive's returned gamma; fall back to Black-Scholes with the reported IV (or `default_iv` when missing). 4. **Cash gamma** per contract = gamma × OI × 100 × spot² / 100. This is dollar-gamma per 1% underlying move. 5. **Dealer positioning assumption**: short customer calls, long customer puts. So `dealer_gex(call) = -cash_gamma`, `dealer_gex(put) = +cash_gamma`. This is the standard 0DTE convention; not exact for any given book, but consistent across time. 6. **Aggregate per strike**, compute cumulative GEX walking from lowest to highest strike, find gamma-flip strike where cumulative crosses zero. 7. **Top pins** = strikes with the largest total notional gamma (call + put), sorted descending.

Foundations used

• [`massive-api-patterns`](../massive-api-patterns) for REST auth,

retry, and options chain snapshot.

Output mode: note

Narrative note with a per-strike table. A single expiry chain produces 50-200 strikes; the top-5 pin table is the digestible view.

Endpoints used

• `GET /v3/reference/options/contracts?underlying_ticker={U}`

(list expirations)

• `GET /v3/snapshot/options/{U}?expiration_date={D}`

(chain snapshot with greeks + OI)

• `GET /v2/snapshot/locale/us/markets/stocks/tickers/{U}`

(spot fallback chain)

Doesn't handle (yet)

• **Intraday updates.** Snapshot only. For live updates, wire the

same aggregation onto the options WebSocket.

• **Vanna and charm.** Only gamma. Second-order greeks (vanna =

d²/dS/dσ, charm = d²/dS/dt) are the natural next layer for a full "dealer hedging response" model.

• **Actual dealer books.** The short-calls / long-puts assumption

is retail-flow convention. On event days (Fed, CPI, earnings), actual dealer books can invert.

• **Non-index underlyings.** Calibrated for SPY / SPX / QQQ / IWM

where the flow assumption holds. Single-name equity gamma has different flow dynamics.

• **rBergomi-consistent IV.** Uses reported IV as-is; a rough-vol-

consistent IV surface would be a real research extension.

These are clean PR extensions.