GEX (Gamma Exposure) and VEX (Vanna Exposure) are two OA tabs that show, per strike, how much dealer Gamma or Vanna is sitting in the option chain — a read on where the market might accelerate or dampen price moves, and (GEX only) the "flip" level where that dynamic is expected to switch sign. Both are computed live from your own IB feed, not from a downloaded snapshot.
New feature, SPX/RUT only for now. Treat the numbers as directional, not exact — see Limitations.
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Related:
A bar chart, one pair of bars per strike: Call GEX/VEX (green) and Put GEX/VEX (red), scaled in $ billions (GEX) or $ millions (VEX).
GEX and VEX walls are both ways of visualizing where dealer hedging flows are likely to cluster, and the "attractor vs. repellor" behavior comes down to whether dealers are net long or net short gamma (and vanna) at a given price level.
GEX estimates, strike by strike, how much gamma market makers are carrying based on open interest and typical positioning assumptions (usually that dealers are net long the calls/puts retail and institutions have sold to them, though the sign convention varies by provider — see Sign-flip toggles). Gamma measures how fast an option's delta changes as the underlying moves, so a dealer's hedging need also changes as price moves.
When dealers are net long gamma at a strike (typically above the Flip level, and often concentrated at large call or put open-interest strikes), their hedging is mean-reverting: as price rises toward that strike, their position's delta grows, so they sell the underlying to stay hedged; as price falls away, they buy back. That selling-into-strength and buying-into-weakness dampens realized volatility and tends to pin price near the strike — this is the "attractor" or "magnet" behavior people mean when they talk about a call wall or put wall, especially into monthly/weekly OPEX when dealers are actively unwinding hedges as options approach expiration.
When dealers are net short gamma (typically below the Flip level, or when positioning flips due to large put buying), the hedging flow reverses direction: as price falls, their hedging requires them to sell more into the decline; as price rises, they have to buy into the rally. That's pro-cyclical, not mean-reverting — it accelerates moves rather than dampening them. In that regime a big open-interest strike doesn't attract price, it repels it — once price breaks through, dealer flow pushes it further away, which is part of why negative-gamma environments are associated with sharper, faster selloffs (vol spirals) rather than orderly grinds.
Vanna is the sensitivity of an option's delta to changes in implied volatility (equivalently, the sensitivity of vega to the underlying). VEX walls capture hedging flows driven by IV changes rather than spot changes. A classic example is a "vanna crush" after a big event (CPI, FOMC): implied vol collapses, and if dealers are net positive vanna at nearby strikes, that vol drop forces them to buy stock to rebalance, which can pull price up toward a large call-OI strike — acting as an attractor even though spot itself didn't move first. Conversely, a vol spike can force selling that pushes price away from a level, acting as a repellor. Vanna flows tend to matter most around vol events, month/quarter-end, and OPEX weeks, and they can either reinforce or offset whatever the gamma picture is doing at the same strike.
The general heuristic: above the gamma flip and near large positive-gamma strikes, GEX/VEX walls behave as attractors — price gets pinned, dampened, mean-reverting. Below the flip, or when vanna flows go against the gamma picture, those same levels behave as repellors — price accelerates through them rather than stalling. The strongest wall effects show up near large open-interest concentrations and intensify approaching expiration, as gamma and vanna both increase near-the-money.
Worth flagging: these are model estimates built on assumptions about which side of the trade dealers are actually on, so they're a probabilistic lens on flow, not a guaranteed level — large directional dealer positioning changes, new large trades, or thin open interest can break the pattern. See also Limitations.
A smaller panel below the main chart shows, per strike, how much Gamma (GEX tab) or Vanna (VEX tab) has changed — Call/Put bars again, this time as a delta rather than an absolute exposure. It always shares the same strike axis and zoom/pan as the main chart above it, so panning or zooming one moves both together.
What it's comparing against depends on the Δ Since Last Save toggle in the Filters dropdown:
Click GEX/VEX Filters on the toolstrip to open it.
All of these are saved per symbol and restored the next time you open that symbol's GEX/VEX tab.
There's no single universally-agreed sign convention for Gamma/Vanna exposure — different sources flip the sign of Call vs. Put contributions differently. If your numbers look inverted compared to another source you're used to, toggle Flip GEX Sign and/or Flip VEX Sign in the Filters dropdown. This only affects what's displayed — nothing about the underlying calculation changes.
The main chart already refreshes on its own every few seconds while the tab is open — this toggle is separate, and controls a slower, recorded cadence:
SOAP_Data\GexVex\{Symbol}_History.json) — a running record of Net GEX/VEX, Flip, and Min/Max
over time for that symbol, across every expiry you've looked at.The Save toolstrip button (also available on the Risk Graph, HSkew, VSkew and VolSurface tabs) exports whichever chart is currently active as PNG, JPG, GIF, BMP, SVG, or PDF.
Below the toolstrip, a status line summarizes the current pass: Net GEX/VEX, (GEX only) Flip strike and gradient, Min/Max, how many strikes were included, and a timestamp. It also ends with one of:
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