Reading a GEX heatmap

One grid of strikes against expiries, and how to scan it in order.

The heatmap lays the book out as a grid. Each row is a strike, each column an expiry, and each cell is the net dollar gamma at that strike for that expiry. Green cells are positive gamma, red negative, and the deeper the color, the larger the number.

A scan in four steps

Find the row marked with the arrow: that is the strike nearest the price.
Look at the Net GEX row under the expiry names. A column that is mostly green is an expiry where hedging tends to damp moves near the price; a column that is mostly red is one where it can amplify them.
Look for the deepest cells. Colors are scaled to the 90th percentile of what is on screen, so one enormous cell does not wash out everything else. The deepest cells are the strikes that matter most for that expiry.
Compare near and far. Near expiries change fastest as time passes; far ones change slowly.

The controls

The two sliders choose how many of the nearest expiries to include and how many strikes to show each side of the price. The levels above the grid are computed for the same expiries. Replay steps through every stored collection, so you can watch a level build or drain over a day. Columns with no gamma at the strikes on screen are hidden and counted.

Limits

The grid shows the shape of the book at a moment. It does not show how positions got there or who holds them.

See it on the data.

Open the Heatmap