The Map
A surface of dealer gamma-plus-vanna exposure across the (SPX, VIX) plane.
Blue is liquidity provided. Red is liquidity taken.
The boundary between them is the zero-gamma flip — where regime changes
begin.
The QuestionWill there be buyers if SPX falls 5%? What happens to VEX if VIX rips 20 points?
Read the map.
Initializing the implied book…
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Source · Schwab Marketdata · Model · BSM / SqueezeMetrics
Figure I. — Conditional GEX+ Surface
Updated · —
Dotted crosshair marks today's SPX and VIX. The dashed gold line
traces the zero-gamma flip — the regime boundary. Inside the red zone,
every move begs another. There be dragons.
Current GEX+
— bn/pt
γ-Zero Level
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Contracts
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Total OI
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Reading the map
Liquidity-providing. Net long dealer gamma. Dips are bought,
rallies sold. Realised volatility compresses. SPX behaves like it's tethered
to a strike.
Liquidity-taking. Net short dealer gamma. Hedging amplifies
moves rather than damping them. The red zone is where 6%-range days live.
Where the map ends is where they crash.
The intuition
Read horizontally to ask "what happens to liquidity if SPX moves?"
Read vertically to ask "what happens if VIX shifts?"
The dotted crosshair shows where you are. The colour around it tells you
what the market will do next time it gets pushed. The gold line, where
gamma flips sign, is where the rules change.