Dealer positioning

The gamma flip: where dealer gamma changes sign

The gamma flip is the price at which the dealer gamma book, repriced at that price, sums to zero. Above it dealers are estimated long gamma; below it, short.

How it's computed

You can't read the flip off a per-strike chart. Gamma depends on spot, so the right way is to take every contract in the dealer book with its own strike, implied vol and time to expiry, reprice the whole book's gamma at a grid of hypothetical spot prices, and find where the total crosses zero. That's how Zanshin Flow does it, every minute.

Why traders watch it

Above the flip, dealer hedging leans against moves; below it, hedging chases them. Platforms call it the zero-gamma level, the volatility trigger or the high-vol level. It's the boundary between the two regimes described on the gamma exposure page.

What our archive says

We tested whether being below the flip forecasts the next 30 minutes' volatility, on seven sessions and seven symbols, trained on five days and checked on two unseen ones. On the unseen days, half hours below the flip were far more volatile; on the training days there was no difference. In neither sample did the regime add anything once the last 30 minutes' realised volatility was known. The flip is a good description of the market's state; we haven't found it to be a forecast.

The flip moves

It's a function of the whole book, so it moves as price, implied volatility, time and positions change. On busy 0DTE days it can follow price for long stretches.

QQQ price over the gamma field with the gamma flip, sigma bands and VWAP, plus levels around price, in Zanshin Flow — QQQ over the gamma field: the flip, the walls and the levels around price.

Questions

What is the gamma flip?

The price level at which estimated dealer gamma, repriced at that price, sums to zero. Above it dealers are long gamma, below it short.

Is the gamma flip the same as the volatility trigger?

They describe the same idea, the boundary between dealer long-gamma and short-gamma regimes, though each platform computes its level its own way.

Does price below the gamma flip mean volatility will rise?

It usually means volatility is already elevated. In our tests the regime did not add predictive power once recent realised volatility was accounted for.

Not financial advice. This article explains how options and dealer hedging work. It is not a recommendation to buy or sell anything.