Walls and the gamma flip

The call wall is the strike with the most open interest in calls; the put wall is the strike with the most in puts. They are where positions are most concentrated, so they are the levels most likely to matter for hedging and for how traders talk about the market. Knowla counts them in coins, so the venues with smaller contract sizes are not under-counted.

Walk the strikes from low to high, adding up net gamma as you go. Where that running total changes sign is the gamma flip: below it the book leans one way, above it the other. It is a level in the book, not a prediction of where the price will go.

Not every sign change deserves the name. A crossing counts only if the running total reaches a meaningful size on both sides of it, at least 5% of the book's total gamma, so a wobble at the thin edge of the chain is ignored. Of the crossings that count, the nearest to the price is used, and only if it is within 25% of the price. When none qualifies, the card says the sign alone sets the reading.

Walls beyond the expected move (lesson 3) are levels the options market does not expect to be reached by expiry. A flip very near the price means the regime is fragile. Walls and flip are for orientation; the Changes page shows when they move from one day to the next.