How are the gamma levels calculated?

We pull the full S&P 500 (SPX) options chain each morning, compute each contract's gamma with the Black-Scholes model from its implied volatility, and aggregate dollar gamma exposure per strike using the standard dealer sign convention (dealers long calls, short puts). The call wall is the strongest call-gamma strike above spot, the put wall the strongest put-gamma strike below spot, the gamma flip the price where cumulative net gamma crosses zero, and the expected range a one-session implied-volatility band. The full formulas are published below.

What does 'held' mean?

After the close we read the session high, low and close. A wall 'held' if price tested it (came within a set tolerance) and closed on the expected side without a decisive break; it 'broke' if the close pushed through. Days where price never came near a level are marked 'not tested' and are excluded from the hit-rate — so a percentage never gets inflated by quiet days.

Are these levels from a third-party service?

No. The levels are computed by AlgoIndex from the raw options chain, not republished from any vendor. That is what makes the accuracy figure genuinely ours and independently auditable via the CSV export.

Why do SPX, ES and SPY show slightly different numbers?

It is one S&P gamma computation expressed in three price domains: SPX native, ES via the live futures basis, and SPY via the live ETF ratio. Each is then scored against that instrument's own price action, so all three get a real, independent hit-rate.

What is a call wall (and a put wall)?

A call wall is the strike above the current price with the heaviest call-side options positioning; it often acts as a ceiling that slows advances, so traders treat it as resistance and a common upside target. A put wall is the mirror image below price — the heaviest put-side strike, where declines tend to stall, watched as support.

What is the gamma flip?

The gamma flip is the price that separates a stabilizing environment from an amplifying one. Above it, dealer hedging tends to dampen moves and ranges stay contained; below it, hedging tends to extend moves and volatility rises. Traders use it as a directional dividing line — calmer above, choppier and more trending below.

What is VPOC and the value area?

VPOC (volume point of control) is the single price with the most volume traded in the prior session — a fairness line price tends to revisit. The value area is the zone where about 70% of that volume traded; its high and low edges often act as support and resistance, and a sustained break beyond an edge can signal a trend day.

What is the key gamma strike?

The key gamma strike is the strike nearest the current price with the largest total options positioning. It acts as an intraday magnet — the price the market is most likely to gravitate back toward — so traders use it as a pin level for mean-reversion.

Is this a trading-signal win rate?

No. This study measures how reliably a market-structure computation describes where price reacts — not the performance of any trading strategy or signal.

S&P 500 Gamma Level Accuracy Tracker

Every trading morning we compute four S&P 500 gamma levels — the call wall, put wall, gamma flip, and expected range — directly from the options chain. After the close we check whether price respected them, and publish the running hit-rate here. The record starts at zero and accrues in public. We report it honestly, weak stretches included.

This measures how reliably a market-structure computation describes where price reacts. It is not a trading-signal win rate.

Computed directly from the S&P 500 (SPX) options chain.

15-min candles · live · drag the bottom-right corner to resize.

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Today's key intraday levels

Tight, tradeable SPXlevels from price & volume — where the market actually transacts — as opposed to the dealer-gamma positioning levels below.

The badge on a level is its running accuracy: the share of sessions it was tested in which price respected it (held within tolerance). VWAP, opening range and initial balance carry no badge — they are derived from the same session, so grading them would be circular.

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How to read these levels

Think of these as reference levels — prices where buying and selling pressure tends to concentrate, so price often pauses, reverses, or accelerates as it reaches them. They describe where reactions are more likely, not when to buy or sell. The accuracy badge on each level shows how often it has actually held when tested.

Illustrative. The call wall caps rallies, the put wall cushions selloffs, the gamma flip splits calmer from choppier conditions, and the key gamma strike pulls price toward it.

Dealer gamma levels — options positioning▾

Call wall: The strike above the current price with the heaviest call-side positioning. It often acts as a ceiling — as price rises toward it, dealer hedging tends to slow the advance. Watched as resistance and a common upside target.
Put wall: The mirror below price: the heaviest put-side strike, where declines tend to stall. Watched as a support area and a place where bounces are more likely.
Gamma flip: The price separating a stabilizing environment (above it, hedging dampens moves) from an amplifying one (below it, hedging extends moves). Used as a directional dividing line — calmer above, more volatile below.
Key gamma strike: The strike nearest price with the largest total positioning. Acts as an intraday magnet — the price the market is most likely to gravitate back toward. Used as a pin level for mean-reversion.
Expected range: The high-to-low band the options market is implying for the session. The edges work as stretch targets; a close outside the band marks an unusually strong day.

Volume & price levels — where the market actually traded▾

VPOC (volume point of control): The single price with the most volume traded in the prior session — a fairness line price tends to revisit. Acts as support or resistance depending on which side price approaches from.
Value area (high / low): The upper and lower edges of the zone where about 70% of the prior session's volume traded. Inside is “accepted” price; the edges act as support and resistance, and a sustained break beyond them can signal a trend day.
Prior-day high / low: The highest and lowest prints of the previous session. Widely watched reference points — a break and hold beyond them often draws continuation, while a rejection signals a reversal.
Overnight high / low: The extremes set during the overnight session before the regular open. They frame the opening range and often act as the first support and resistance once the cash session begins.

Levels that line up are stronger — when a put wall sits right at the prior-day low and the lower value-area edge, several independent methods agree on the same price, so a reaction there is more likely. Use the accuracy badges to see which levels have earned the most respect over time.

How we compute and score

The methodology is fixed and published so the figures are reproducible.

Per-strike gamma exposure

For each contract we compute Black-Scholes gamma from its implied volatility, then dollar gamma exposure per strike with the dealer sign convention:

d1 = [ ln(S/K) + (r + σ²/2)·T ] / (σ·√T)
Γ  = φ(d1) / (S·σ·√T)

callGEX[K] =  Σ Γ_call · OI_call · 100 · S² · 0.01
putGEX[K]  = −Σ Γ_put  · OI_put  · 100 · S² · 0.01
netGEX[K]  = callGEX[K] + putGEX[K]

The four levels

Call wall — the strike with the largest call-gamma concentration above spot.
Put wall — the strike with the largest put-gamma concentration below spot.
Gamma flip — the price where the running cumulative net gamma crosses zero.
Expected range — a one-session band, S ± S·σ_ATM·√T, from at-the-money implied volatility.

Scoring

Touch tolerance 0.10%, tested threshold 0.25%. A wall is tested when price comes within the threshold, held when it closes on the expected side, and broke otherwise. Untested days are excluded from the hit-rate denominator, and every percentage is shown next to its tested-day count.

Scope & parameters

Standing levels aggregate all expirations within 45 days; a separate same-day set is also computed. Strikes with under 100 open interest are filtered. Risk-free rate is a fixed short-term constant. Open interest is the prior-day figure, the standard input for gamma-exposure math.

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For research and education only. Nothing here is investment advice or a solicitation to trade. Market-structure levels describe dealer positioning, not guaranteed price behavior.