AGAIG Tracking SPX, NDX, SPY, QQQ GAMMA Live on Excel

[csricksdds]

AGAIG TRACKING SPX, NDX, SPY, QQQ GAMMA LIVE ON EXCEL using TOS

The following links when downloaded as a new post on EXCEL (not in a web browser) while Thinkorswim is running and logged into on your computer in order to pull data into your local sheet.​

NOTE: THE DATES ON THE EXCEL SHEETS MUST BE THE CURRENT DATE OR A FUTURE DATE. These sheets provide a lot of information for those who have, and use Excel. I have these downloaded and save to my desktop so that I can double-click to open. I usually minimize them unless I want to view gamma exposure during the day. I’m also interested in gamma exposure during the last half hour of the trading day to see where most of the action is taking place.
read more: https://usethinkscript.com/threads/agaig-understanding-gamma-on-excel-sheets.22774/

Each file shows where options traders have concentrated their positions, and how the dealers on the other side of those trades are likely to hedge. Those hedging flows can pull price toward certain strikes or push it away, especially in the last hour of 0DTE trading.

How it works. For every strike near the current price, the sheet pulls live gamma, open interest, and today's volume from thinkorswim. Gamma measures how fast an option's delta changes as price moves. The sheet multiplies it by the number of contracts to get gamma exposure (GEX): roughly how many dollars of stock dealers must buy or sell for each 1% move. Big GEX at a strike means big hedging flows around that price.

The key readings:

• Top gamma strike: the price level with the most hedging activity. It often acts as a magnet into the close. The OI version reflects overnight positioning; the OI + volume version includes today's trading and is usually the better read for 0DTE.
• Call wall: the strike with the most call gamma. It often acts as resistance, where rallies tend to stall.
• Put wall: the strike with the most put gamma. It often acts as support, though it can give way in a negative regime.
• Regime: the single most important cell. Positive means dealer hedging dampens moves, pins are more reliable, and trading tends to be calmer. Negative means hedging amplifies moves, pins are shakier, and breaks of key levels can run.

How to use it day to day:

Morning: open thinkorswim, then the four files. Update each Expiry cell and confirm each one says LIVE.

Midday: note the regime and the key levels. Positive regime: expect range trading between the walls. Negative: expect bigger swings.

Last 1–2 hours: this is when 0DTE gamma peaks and the readings matter most. Watch whether price holds or breaks the top strike.

Cross-check: SPX and SPY should agree (SPY is about one-tenth of SPX), and so should NDX and QQQ. Levels that line up across both are the strongest.

Keep in mind:

• The sheet assumes dealers hold the other side of customer trades. That's the standard convention, but nobody can see actual dealer positions.
• Volume doesn't show whether trades were buys or sells, or opening or closing trades.
• News or large orders can override everything.
• SPY and QQQ options can be exercised early and settle in shares, so close those spreads before 4:00 PM.

Use it as context for your trading, not as trade signals on its own, and track the top strike against the actual close for a few weeks to see how reliable it is for you.

***NOTE***Update the EXCEL SHEETS each morning after opening Thinkorswim in this manner 260927 for tomorrow’s sheets since today is Sunday and the market is not open. The sheet I am showing as an example is Friday’s 260925 SPX 0DTE GAMMA EXPOSURE

Feedback is always appreciated.

Excel SHEET Look:

https://imgur.com/a/Wgjmb2t

Excel Sheet Links:

Thank you so much for attaching the files again, but one more small thing it looks you have attached twice SPX and NDX file attachment is missing. pls attach it when you get a chance

see if this works for you to get the NDX?

 

[csricksdds]

I apologize if the links aren't working - they all work for me and I thought I had received word that they were working elsewhere.

I'm not sure if all four are here or not and if not I will try to get proper links as gamma on Excel is very informative.

When downloaded you must enable editing for it (them) to load.

Find new links in the first post

@samwardpa @jayaa

 

[atcsam]

Worked like a champ, thanks.

 

[csricksdds]

Worked like a champ, thanks.

Hallelujah - I was worried and am glad it is now working!

 

[jayaa]

Hallelujah - I was worried and am glad it is now working!

Thank you so much for attaching the files again, but one more small thing it looks you have attached twice SPX and NDX file attachment is missing. pls attach it when you get a chance

 

[csricksdds]

Thank you so much for attaching the files again, but one more small thing it looks you have attached twice SPX and NDX file attachment is missing. pls attach it when you get a chance

NDX added to the first post

 

[jayaa]

see if this works for you to get the NDX?

Excellent!! Thank you so much again!!

 

[csricksdds]

Excellent!! Thank you so much again!!

Very good!

 

[andre.muhammad]

AGAIG TRACKING SPX, NDX, SPY, QQQ GAMMA LIVE ON EXCEL using TOS

The following links when downloaded as a new post on EXCEL (not in a web browser) while Thinkorswim is running and logged into on your computer in order to pull data into your local sheet.​

NOTE: THE DATES ON THE EXCEL SHEETS MUST BE THE CURRENT DATE OR A FUTURE DATE. These sheets provide a lot of information for those who have, and use Excel. I have these downloaded and save to my desktop so that I can double-click to open. I usually minimize them unless I want to view gamma exposure during the day. I’m also interested in gamma exposure during the last half hour of the trading day to see where most of the action is taking place.

Each file shows where options traders have concentrated their positions, and how the dealers on the other side of those trades are likely to hedge. Those hedging flows can pull price toward certain strikes or push it away, especially in the last hour of 0DTE trading.

How it works. For every strike near the current price, the sheet pulls live gamma, open interest, and today's volume from thinkorswim. Gamma measures how fast an option's delta changes as price moves. The sheet multiplies it by the number of contracts to get gamma exposure (GEX): roughly how many dollars of stock dealers must buy or sell for each 1% move. Big GEX at a strike means big hedging flows around that price.

The key readings:

• Top gamma strike: the price level with the most hedging activity. It often acts as a magnet into the close. The OI version reflects overnight positioning; the OI + volume version includes today's trading and is usually the better read for 0DTE.
• Call wall: the strike with the most call gamma. It often acts as resistance, where rallies tend to stall.
• Put wall: the strike with the most put gamma. It often acts as support, though it can give way in a negative regime.
• Regime: the single most important cell. Positive means dealer hedging dampens moves, pins are more reliable, and trading tends to be calmer. Negative means hedging amplifies moves, pins are shakier, and breaks of key levels can run.

How to use it day to day:

Morning: open thinkorswim, then the four files. Update each Expiry cell and confirm each one says LIVE.

Midday: note the regime and the key levels. Positive regime: expect range trading between the walls. Negative: expect bigger swings.

Last 1–2 hours: this is when 0DTE gamma peaks and the readings matter most. Watch whether price holds or breaks the top strike.

Cross-check: SPX and SPY should agree (SPY is about one-tenth of SPX), and so should NDX and QQQ. Levels that line up across both are the strongest.

Keep in mind:

• The sheet assumes dealers hold the other side of customer trades. That's the standard convention, but nobody can see actual dealer positions.
• Volume doesn't show whether trades were buys or sells, or opening or closing trades.
• News or large orders can override everything.
• SPY and QQQ options can be exercised early and settle in shares, so close those spreads before 4:00 PM.

Use it as context for your trading, not as trade signals on its own, and track the top strike against the actual close for a few weeks to see how reliable it is for you.

***NOTE***Update the EXCEL SHEETS each morning after opening Thinkorswim in this manner 260927 for tomorrow’s sheets since today is Sunday and the market is not open. The sheet I am showing as an example is Friday’s 260925 SPX 0DTE GAMMA EXPOSURE

Feedback is always appreciated.

Excel SHEET Look:

https://imgur.com/a/Wgjmb2t

Excel Sheet Links:


see if this works for you to get the NDX?

Awesome work, my guy!

 

[csricksdds]

Awesome work, my guy!

Thanks for the kind words!

 

[samwardpa]

I apologize if the links aren't working - they all work for me and I thought I had received word that they were working elsewhere.

I'm not sure if all four are here or not and if not I will try to get proper links as gamma on Excel is very informative.

When downloaded you must enable editing for it (them) to load.

Find new links in the first post

@samwardpa @jayaa

thanks now it is working
appreciate your response.

 

[csricksdds]

The effect of Dampening on the Excel sheets:

Dampening doesn't push price in any direction. It resists movement both ways. With positive gamma, dealers hedge by selling into rallies and buying into dips, so price tends to get held near the big strikes instead of trending.

---

It isn't the big players deliberately steering the market.
It's the mechanical side effect of dealers keeping their books hedged.

---

 

[textad]

Awesome work! Is there a way to convert the gamma RTD to futures, such as ES?

 

[csricksdds]

Awesome work! Is there a way to convert the gamma RTD to futures, such as ES?

See if this works?

 

[andre.muhammad]

See if this works?

Question: How do you play it when the call and put wall are the same strike price?

 

[csricksdds]

Question: How do you play it when the call and put wall are the same strike price?

When the call wall and put wall land on the same strike, most of the gamma in the chain is stacked on one level. That makes it the most important price of the day. But how it behaves depends almost entirely on the regime, so the plays are close to opposite.

Positive regime: treat it as a magnet.
This is the classic pin setup. Dealers sell rallies away from the strike and buy dips back toward it, so price keeps getting pulled back, and the pull strengthens into the last hour as 0DTE gamma peaks.
Fade moves away from it, especially in the afternoon, rather than chasing breakouts.Structures that profit from a pin: a butterfly or iron butterfly centered on the strike fits best, being cheap with a big payoff if the close lands near it. Credit spreads placed outside the expected range also suit the setup.

• Timing: the pin effect usually grows late. A position built around it often looks wrong at 2 PM and right at 4 PM.

Negative regime: treat it as a pivot, not a magnet.
Here the same strike becomes a dividing line. Dealer hedging speeds moves away from it, so price tends to whipsaw around it and then break hard in one direction.

• wait for a decisive break, such as a couple of 5-minute closes beyond it, then trade in the direction of the break with defined risk.
• Avoid selling premium near the strike. Short-option positions centered there carry the most risk in this regime.
• Expect false breaks. The chop around the level can shake out early entries before the real move.

In either regime, distance matters. A dual wall 5 points away is powerful. One 40 points away late in the day is more of a target than a magnet. It's also worth checking whether the OI + volume top strike agrees. When today's trading confirms the same strike, the level is at its strongest.

My one-line version:

in positive gamma, play for the pin; in negative gamma, play the break.

 

[textad]

See if this works?

Not sure what is wrong, but not showing any data. Other index sheets working well though.

 

[csricksdds]

Not sure what is wrong, but not showing any data. Other index sheets working well though.

OK it appears TOS is having an issue with that and so here is a new file to open in Excel which will give both the SPX Gamma as well as the ES Equivalent on the same chart (a two-for-one) but the stats summaries are the same.

 

[textad]

OK it appears TOS is having an issue with that and so here is a new file to open in Excel which will give both the SPX Gamma as well as the ES Equivalent on the same chart (a two-for-one) but the stats summaries are the same.

Thanks so much. Working fine. I really appreciate all you contribute to the site. It has really helped me.

 

[csricksdds]

Thanks so much. Working fine. I really appreciate all you contribute to the site. It has really helped me.

You’re welcome