Data
SPX Gamma Exposure: Dealer GEX Levels for SPY QQQ IWM
Monitor SPX gamma exposure through dealer gamma levels in the SPY QQQ and IWM ETFs using our GEX by ticker dataset. Updated nightly from end-of-day options chains, this dataset provides net gamma, gamma flip levels, call and put walls, and squeeze signals for over 4,000 US stocks and ETFs with listed options. Access the data via API email or CSV for backtesting and live market analysis.
What is Dealer Gamma Exposure (GEX)?
Dealer gamma exposure measures the net gamma position of market makers in options on a given underlying. When dealers are net short gamma, price moves can amplify volatility as they hedge directional exposure. Net long gamma tends to dampen price swings. Our GEX by ticker dataset computes this nightly for over 4,000 US stocks and ETFs with listed options using end-of-day options chains. The dataset includes fields such as ticker, spot price, net gamma in billions, gamma flip level, distance to flip as a percentage, call and put walls, regime, put-call ratios for open interest and volume, ATM IV percentile, and separate call and put gamma in billions. This allows users to assess dealer positioning and potential gamma-driven price dynamics.
How We Calculate GEX for SPY QQQ IWM
Our GEX by ticker dataset provides dealer gamma levels for individual tickers including the ETFs SPY QQQ and IWM. We do not use the SPX or NDX index option chains directly; instead we calculate GEX for SPY QQQ and IWM as ETFs with listed options. Each night we collect end-of-day options chains for these tickers from our vendor, compute the dealer gamma exposure per contract, aggregate by ticker and express net gamma in billions. The same methodology applies to every ticker in the dataset: nearly 7,000 optionable US stocks and ETFs since April 2024. Users can access the GEX for SPY QQQ and IWM via the API endpoint /v1/alerts/gex with parameters for date, tickers and format. This approach ensures consistency across all underlyings and avoids conflating index-level and ETF-level gamma.
Using the GEX by Ticker API
Access dealer gamma levels for SPY QQQ IWM and other tickers through our REST API. The endpoint GET https://api.finzdata.com/v1/alerts/gex returns JSON or CSV with fields including ticker, spot, net_gex_bn, flip, flip_dist_pct, call_wall, put_wall, regime, pcr_oi, pcr_vol, atm_iv_pct, call_gex_bn and put_gex_bn. Required headers include X-API-Key. Optional parameters allow filtering by date and ticker list. The same dataset powers our Gamma Squeeze screen and alerts. For example, to retrieve the latest GEX for SPY QQQ and IWM, call the API with tickers="SPY,QQQ,IWM". Data is available for every past day to support backtesting and historical analysis of dealer positioning.
Gamma Squeeze Screen and Alerts
The GEX by ticker dataset feeds our Gamma Squeeze screen which identifies conditions where dealer gamma positioning may amplify price moves. The screen considers net gamma, distance to gamma flip, put-call ratios and other factors to highlight potential squeeze scenarios. Users can access the screen via the endpoint /v1/alerts/squeeze. Alerts are delivered by email before 7:30am ET daily. This service does not include raw option chains, strikes, expiries, per-contract open interest or option prices, which we do not sell.
Integrating with Python and yfinance-style Code
import finzdata as yf
import httpx
# Fetch GEX data for SPY QQQ IWM
response = httpx.get(
"https://api.finzdata.com/v1/alerts/gex",
params={"tickers": "SPY,QQQ,IWM"},
headers={"X-API-Key": "demo"}
)
print(response.json())
# Get SPY price history
spy = yf.Ticker("SPY").history(period="1mo")
print(spy.tail())Data Delivery and Availability
The GEX by ticker dataset is delivered nightly after market close from end-of-day options chains. It is available in three formats: real-time API access, daily email delivery before 7:30am ET, and downloadable CSV files. Every past day is stored to enable backtesting and historical research. The dataset covers over 4,000 US stocks and ETFs with listed options and includes all fields mentioned previously. Free tier users receive the last 12 months of data with 1,000 API calls per day. Paid look-back bundles start at $195 for the first five years and $95 for each additional five years. Institutional plans are $975 once plus $59.95 per month for daily updates. All formats include the complete GEX by ticker dataset with no raw option chain data.
Frequently asked questions
What is the gamma flip level?
The gamma flip level is the underlying price at which dealer net gamma exposure crosses from negative to positive or vice versa. When the spot price is above the flip level, dealers tend to be net long gamma; when below, net short gamma. The distance to flip as a percentage helps assess how close the market is to a potential regime shift in dealer positioning.
How often is the GEX by ticker dataset updated?
The GEX by ticker dataset is computed every night using end-of-day options chains for over 4,000 US stocks and ETFs with listed options. Updates are typically complete before 7:30am ET and available via API email and CSV. This ensures users have the latest dealer gamma positioning for pre-market analysis.
Can I access historical GEX data for backtesting?
Yes, every past day of the GEX by ticker dataset is stored and accessible via API or CSV. This allows users to backtest strategies based on dealer gamma positioning, gamma flip levels, call and put walls or squeeze signals. Historical availability depends on your subscription tier, with free users receiving the last 12 months and paid look-back bundles extending up to five years or more.
Do you sell raw option chains or per-contract data?
No, FinzData does not sell raw option chains, strikes, expiries, per-contract open interest or option prices. Our GEX by ticker dataset provides aggregated dealer gamma levels computed from those raw inputs, but we do not distribute the underlying contract-level data. This includes data for SPX NDX or any other index or ticker.
What is the difference between SPX gamma exposure and SPY GEX?
SPX gamma exposure refers to dealer gamma in options on the SPX index itself. Our GEX by ticker dataset calculates dealer gamma for SPY QQQ and IWM as ETFs with listed options, not for the SPX or NDX indices. While SPY GEX correlates with SPX gamma exposure, they are not identical due to differences in optionable underlyings and hedging practices. We provide SPY QQQ IWM GEX explicitly to avoid conflating index and ETF levels.