How dealer hedging moves the market

The flow that every level on this site is derived from

A market maker who sells you a call has not taken a view. They have taken inventory they do not want, and they will neutralise it. That neutralising is the flow this entire site measures.

The loop

Selling a call leaves the dealer short delta: if the index rises, they lose. So they buy futures against it until the position is delta-flat. But delta is not constant — it changes as the index moves, and the rate of that change is gamma. So the hedge is never finished. Every move re-opens it, and the dealer trades again.

Two things follow, and they are the whole subject:

The hedging is mechanical. It is not a forecast and it is not optional; it happens because the book demands it.
Its direction depends on the sign of the aggregate position. Dealers long gamma sell strength and buy weakness — stabilising. Dealers short gamma do the reverse — amplifying. The price where the aggregate crosses is the zero-gamma flip.

Delta, vanna, charm: three reasons the hedge changes

Price is only one of them. The hedge also moves when implied volatility moves (vanna) and simply because time passes (charm) — both explained on the vanna and charm page. On an expiry-heavy index like SPX, the passage of time alone forces real flow.

The honest part: we infer the dealer's side, we are not told it

Everything above requires knowing which side the dealer is on at each strike, and no public data states it. Exchanges sell participant-tagged data; the tape does not carry it. gex.live infers the side from which end of the spread each print hit — the aggressor convention — and that inference is better in some regimes than others.

We publish where it is weak rather than describing it with an adjective. See which book is the zero-gamma flip and which gamma measure sees anything, where seven constructions of the same idea are put against one outcome and only two survive. Our comparison page names a competitor that buys exchange-tagged data and marks that row as one we lose.