Gamma Pressure Map for ThinkorSwim

[chewie76]

GAMMA PRESSURE MAP

This indicator derives a real-time gamma exposure proxy from implied volatility and historical volatility, identifying whether options dealers are currently positioned in a long gamma or short gamma regime. It plots a dynamic pressure zone on the price chart that expands and contracts with volatility, giving you both a structural read on market behavior and actionable price levels.

How it works

The core signal is the ratio of Implied Volatility (ImpVolatility()) to Historical Volatility (calculated as the annualized standard deviation of log returns). When IV is running below realized volatility, dealers are likely long gamma — their hedging activity dampens price movement and creates mean-reverting conditions. When IV rises above realized volatility, dealers are likely short gamma — their hedging amplifies moves and favors trending and momentum behavior. The threshold between these regimes is tunable via the flipBand input (default 10%).

The five regimes in the Label

• STRONG LONG G — IV well below HV. Dealers are heavily long gamma. Fade moves, buy dips, sell rips. Price tends to pin.
• LONG G — Same directional lean, less conviction. Tighter mean-reversion expected.
• FLIP ZONE — IV and HV are in equilibrium. No directional edge. Wait for resolution before committing.
• SHORT G — IV elevated above HV. Trade with momentum. Breakouts tend to follow through.
• STRONG SHORT G — IV significantly elevated. Explosive move risk. Size down or trade breakouts only.

Key levels

Three levels are plotted on the price chart:

• Call Wall (green solid) — the highest high over the lookback window, representing the nearest overhead resistance cluster where dealer hedging activity concentrates. In long gamma treat as resistance. In short gamma treat as a magnet or target.
• Put Wall (red solid) — the lowest low over the lookback window, representing the nearest support cluster. In long gamma treat as a floor. In short gamma treat as a breakdown trigger.
• Pressure Zone (gold cloud) — a dynamic band sitting above the true midpoint of the call and put walls. The lower boundary is the plain midpoint (dashed yellow); the upper boundary is the midpoint plus one ATR (solid gold). The zone widens naturally in high volatility environments and tightens when the market is pinning. Price inside the zone is in contested territory. Price below the zone favors the short side. Price above the zone favors the long side.

Alerts

• Short bias alert — fires when price crosses below the dashed midpoint line
• Long bias alert — fires when price crosses above the solid ATR-offset line

Alerts are tied to actual price levels rather than abstract ratio thresholds, so they fire at the same moment the visual signal appears on the chart.

Best use cases

Works best on index products where dealer hedging actually dominates order flow: SPX, NDX, SPY, QQQ. Also effective on futures like /ES and /MGC. Most reliable on the daily timeframe and intraday near end of session on cash-settled options. For intraday use reduce lookback to 10 and wallLookback to 20 for faster responsiveness.

# ============================================================
# Gamma_Pressure_Map
# Created by Chewie 6/9/2026
# ============================================================
# Derives a gamma exposure proxy from IV vs. HV relationship.
#
# CORE LOGIC:
#   IV/HV ratio < 1.00 → dealers are long gamma (mean-reversion)
#   IV/HV ratio > 1.10 → dealers are short gamma (trend/momentum)
#   Between 1.00–1.10  → flip zone, no directional bias
#
# KEY LEVELS:
#   Call Wall  = highest high over wallLookback bars (resistance)
#   Put Wall   = lowest low over wallLookback bars (support)
#   Flip Line  = ATR offset midpoint of the two walls
#   Pressure Zone = ATR-offset midpoint band between the walls
# BEST ON: SPX, NDX, SPY, QQQ — daily or intraday

# The five regimes

#  STRONG LONG G — IV well below HV. Dealers are heavily long gamma. Fade moves, buy dips, sell rips. Price tends to pin.
#  LONG G — Same directional lean, less conviction. Tighter mean-reversion expected.
#  FLIP ZONE — IV and HV are in equilibrium. No directional edge. Wait for resolution before committing.
#  SHORT G — IV elevated above HV. Trade with momentum. Breakouts tend to follow through.
#  STRONG SHORT G — IV significantly elevated. Explosive move risk. Size down or trade breakouts only.
# ============================================================

declare upper;

# ─── INPUTS ────────────────────────────────────────────────
input colorbar     = yes;
input lookback     = 20;    # bars for HV and range calculation
input atrLen       = 14;    # ATR length for band normalization
input flipBand     = 0.10;  # IV/HV spread that defines the flip zone
input wallLookback = 50;    # bars to scan for call/put wall levels
input showWalls    = yes;
input showFlip     = yes;
input showMidpoint = yes;
input showLabel    = yes;
input alert        = yes;
input showbackground = no;

# ─── PRICE REFS ────────────────────────────────────────────
def h = high;
def l = low;
def c = close;

# ─── IMPLIED VOLATILITY ────────────────────────────────────
def iv = ImpVolatility();

# ─── HISTORICAL VOLATILITY (close-to-close log return stddev)
def logRet  = Log(c / c[1]);
def hvRaw   = Sqrt(Average(Sqr(logRet), lookback)) * Sqrt(252);
def hv      = if hvRaw > 0 then hvRaw else Double.NaN;

# ─── GEX PRESSURE PROXY ────────────────────────────────────
# Ratio > 1.10 = dealers short gamma (IV elevated vs realized vol)
# Ratio < 1.00 = dealers long gamma (IV suppressed vs realized vol)
def gexRatio  = if !IsNaN(iv) and hv > 0 then iv / hv else Double.NaN;

# ─── REGIME CLASSIFICATION ─────────────────────────────────
def gexAvg    = Average(gexRatio, 60);
def gexStdDev = Sqrt(Average(Sqr(gexRatio - gexAvg), 60));
def gexZ      = (gexRatio - gexAvg) / gexStdDev;

def longGammaStrong  = gexZ < -1.50;
def longGamma        = gexZ >= -1.50 and gexZ < -0.50;
def flipZone         = gexZ >= -0.50 and gexZ <= 0.50;
def shortGamma       = gexZ > 0.50 and gexZ <= 1.50;
def shortGammaStrong = gexZ > 1.50;

# ─── CALL WALL / PUT WALL LEVELS ───────────────────────────
# Simple high/low clusters over wallLookback — proxy for where
# dealer hedging activity is concentrated
def callWall = Highest(h, wallLookback);
def putWall  = Lowest(l, wallLookback);


# ─── BACKGROUND CLOUD ──────────────────────────────────────
# Paints the price pane to show current regime at a glance
def cloudColor =
    if longGammaStrong  then 1 else
    if longGamma        then 2 else
    if flipZone         then 3 else
    if shortGamma       then 4 else
    if shortGammaStrong then 5 else 0;

AssignBackgroundColor(
    if !showbackground then Color.CURRENT else
    if cloudColor == 1 then CreateColor(0, 80, 0)    else  # dark green
    if cloudColor == 2 then CreateColor(0, 45, 0)    else  # dim green
    if cloudColor == 3 then CreateColor(50, 45, 0)   else  # dark yellow
    if cloudColor == 4 then CreateColor(55, 15, 0)   else  # dim red
    if cloudColor == 5 then CreateColor(80, 0, 0)    else  # dark red
    Color.CURRENT
);

# ─── CALL WALL PLOT ────────────────────────────────────────
plot CallWallPlot = if showWalls then callWall else Double.NaN;
CallWallPlot.SetDefaultColor(Color.GREEN);
CallWallPlot.SetLineWeight(2);
CallWallPlot.HideBubble();

# ─── PUT WALL PLOT ─────────────────────────────────────────
plot PutWallPlot = if showWalls then putWall else Double.NaN;
PutWallPlot.SetDefaultColor(Color.RED);
PutWallPlot.SetLineWeight(2);
PutWallPlot.HideBubble();

# ─── ATR FOR BAND NORMALIZATION ────────────────────────────
def atr = Average(TrueRange(h, c, l), atrLen);

# ─── REGIME LABEL ──────────────────────────────────────────
def regimeCode =
    if longGammaStrong  then 1 else
    if longGamma        then 2 else
    if flipZone         then 3 else
    if shortGamma       then 4 else
    if shortGammaStrong then 5 else 0;

AddLabel(showLabel,
    (if regimeCode == 1 then "UP: STRONG LONG G"  else
     if regimeCode == 2 then "UP: LONG G"         else
     if regimeCode == 3 then "FLAT: PRESSURE ZONE"      else
     if regimeCode == 4 then "DN: SHORT G"        else
     if regimeCode == 5 then "DN: STRONG SHORT G" else
     "— NO DATA") +
    "  |  IV/HV: " + AsPercent(gexRatio),

    if regimeCode == 1 then Color.GREEN         else
    if regimeCode == 2 then CreateColor(100,200,100) else
    if regimeCode == 3 then Color.YELLOW        else
    if regimeCode == 4 then CreateColor(255,120,80)  else
    if regimeCode == 5 then Color.RED           else
    Color.GRAY
);


# ─── PRESSURE ZONE  ────────

def flipLine = if callWall > putWall
                then (callWall + putWall) / 2 + atr
                else Double.NaN;

plot FlippointLine = if showflip then flipLine else Double.NaN;
FlippointLine.SetDefaultColor(CreateColor(255, 200, 0));
FlippointLine.SetLineWeight(2);
FlippointLine.HideBubble();

plot Midpoint = if showmidpoint then (callwallplot - putWallPlot) /2 + putwallplot else double.nan;
Midpoint.setdefaultColor(color.yellow);
Midpoint.SetStyle(Curve.SHORT_DASH);

AddCloud(FlippointLine, Midpoint, CreateColor(120, 100, 0), CreateColor(120, 100, 0));

# ─── PRICE POSITION LABEL ──────────────────────────────────
def priceCode =
    if c > FlippointLine then 1 else
    if c < Midpoint      then 3 else 2;

AddLabel(showLabel,
    if priceCode == 1 then "ABOVE ZONE" else
    if priceCode == 2 then "IN ZONE"    else
    "BELOW ZONE",

    if priceCode == 1 then Color.GREEN  else
    if priceCode == 2 then Color.YELLOW else
    Color.RED
);

# ─── CANDLE COLORING ───────────────────────────────────────
AssignPriceColor(
    if !colorBar         then Color.CURRENT else
    if c > FlippointLine then Color.GREEN   else
    if c < Midpoint      then Color.RED     else
    Color.YELLOW
);

# ─── PRESSURE ZONE ALERTS ─────────────────────────────────
# Short signal: price crosses below the dashed midpoint line
# Long signal:  price crosses above the solid ATR-offset line
Alert(alert and
    Crosses(c, Midpoint, CrossingDirection.BELOW),
    "Gamma Pressure Map: price crossed BELOW midpoint — SHORT bias",
    Alert.BAR,
    Sound.Ding
);
Alert(alert and
    Crosses(c, FlippointLine, CrossingDirection.ABOVE),
    "Gamma Pressure Map: price crossed ABOVE pressure zone — LONG bias",
    Alert.BAR,
    Sound.Ding
);