Gamma is the change in delta per unit of change in underlying for your options book. Here we are specifically talking about market makers’ options positions.
The more options they are long (others have sold to them) the more gamma exposure, GEX, the market makers have.
When GEX is negative, it opens up a window for a volatile move.
When GEX is positive, we refer to it as “sticky” – so pretty much sideways action with a slow upward tilt.
Questions or suggestions?
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