Method

Educational market-structure analytics, not advice

Overview

Meridian Signals maps estimated dealer gamma positioning from the listed options chain. We compute three core reads: the gamma flip (the price level where net dealer positioning crosses zero), the call and put walls (strikes with concentrated open interest), and the regime(whether the current structure tends to dampen or amplify moves).

This is an estimate of dealer positioning, not ground truth. It rests on simplifying assumptions about who holds options and how they hedge.

Dealer Sign — An Assumption

The analytics shown on this platform assume that options market makers and dealers are net short options to retail and institutional option buyers. This is a modeling choice, not an observed fact.

Historically, index options (SPX, SPY, etc.) have been dominated by put buying for portfolio protection, which leaves dealers short puts and long gamma below the market. Single-stock options have historically seen more call demand, which leaves dealers short calls and potentially short gamma above the market. But these are tendencies, not laws. Dealer positioning varies by symbol, expiration, and market environment.

We do not observe actual dealer holdings. The sign convention we apply ("dealers are short gamma below the flip, long gamma above") is a reasonable starting point for liquid equity options, but it is not validated trade by trade. Treat these levels as one lens on market structure, not as certainty.

Walls Are Not One-Way Magnets

A "call wall" or "put wall" marks a strike where open interest concentrates. These levels can act as areas where price tends to pin or stall, especially near expiration. But pinning is not one-directional.

Peer-reviewed research documents both pinning (prices drawn toward high-open-interest strikes) and anti-cross-pinning (prices repelled from crossing certain strikes). Walls are not magnets that only attract. A call wall and a put wall can even print at the same strike in a snapshot — that just means the strike holds large open interest in both calls and puts, not that it exerts two opposite magnetic forces simultaneously.

Walls are structural markers. They show where positioning is heavy. How price interacts with those levels depends on the session, the expiration calendar, and flows we cannot see. Do not treat walls as guaranteed support or resistance.

Research Context

Peer-reviewed studies document option-expiration pinning (Ni, Pearson & Poteshman 2005; Golez & Jackwerth 2012 — including anti-cross-pinning; Avellaneda & Lipkin 2003). Separately, market-maker hedge rebalancing is linked to stock-return volatility and intraday momentum (Ni et al. 2021; Baltussen et al. 2021). Those are not the same papers, and the pinning results are expiration-day findings, not a description of the GEX we plot every session.

We estimate GEX from listed open interest on the remaining 0–60 day chain. A snapshot can still be dominated by short-dated (including 0DTE) open interest. This is not a 0DTE-only model.

Limitations

This platform shows estimated levels, not observed dealer positions. Key limitations include:

We do not know who holds the open interest. The dealer-sign assumption is a simplification.
We do not observe live hedge ratios or dealer rebalancing. We model idealized hedging.
Data is 15-minute delayed. Real-time flows and gamma scalping are invisible to us.
The pinning research is expiration-day; we extend it to intraday levels without direct empirical validation for every session.
Gamma fragility is a working paper, not settled science.