XLY gamma exposure and option levels
Consumer discretionary · close 115.4 (−0.67% on the day, +2.02% over 5 sessions)
Dealers were net short gamma (for 199 sessions): when the price moves, their hedging goes with it, which can let the move stretch. The call wall — the strike with the most call open interest in reach — stands at 120, 4.0% above the close, unchanged for 9 sessions. The put wall stands at 107.5, 6.8% below the close, unchanged for 36 sessions. Max pain for the front expiry is 115 (0.3% below the close). Implied volatility over 30 days is 20.9%, an IV rank of 18 on a scale where 0 is the lowest day of its own year and 100 the highest; realised volatility over 20 days is 14.6%. The options price a move of about ±6.0% over the next 30 days.
XLY levels tonight
| Level | Price | From the close | Note |
|---|---|---|---|
| Call wall | 120 | +4.0% | 9 sessions |
| Put wall | 107.5 | −6.8% | 36 sessions |
| Gamma flip | 131.9 | +14.3% | below it dealers are short gamma |
| Max pain, front expiry | 115 | −0.3% |
XLY and its option levels over the last year
The close, with the call wall and the put wall (the strikes the option book is heaviest at) and the gamma flip (the price where dealers’ net gamma changes sign). Each line is that day’s reading, not a level looked back on.
Implied against realised volatility
What the options charge for the next 30 days, against how much XLY actually moved over the last 20. A gap between the two is the market’s price for uncertainty.
How to read these figures
Gamma exposure (GEX)
How much dealers must buy or sell to stay hedged for each 1% move in the price. Long gamma means they trade against moves and dampen them; short gamma means they trade with moves and can amplify them. It is estimated from open interest and an assumption about which side dealers are on.
Call wall and put wall
The strikes where call and put open interest is heaviest within reach of the price. Prices often slow, or get pinned, near them into expiry; they are where a lot of hedging sits, not a guarantee.
Gamma flip
The price at which net dealer gamma changes sign. The same book acts as a brake above it and as an accelerator below it.
IV rank and the priced move
IV rank places today’s implied volatility between the lowest (0) and the highest (100) of the last year. The priced move is what the options charge for the next 30 days, as a percentage of the price.
Every figure is end-of-day and describes how the option market is positioned. It is not a forecast of where XLY goes, and not advice. See the terms.
The whole XLY history, all 121 series
This page shows tonight’s reading and one year. Open the Viewer for every session of XLY as 121 daily series — dealer gamma, vanna, charm, walls by expiry, IV, flow — on the chart.
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