How Tradytics models dealer positioning
By Faizan Ahmad. Updated .
Tradytics models dealer positioning from the flow itself. Instead of only assuming who holds each strike's open interest, it infers dealer positions from 66 sessions of options trades, each tagged bought or sold, with the dealer on the other side. From those positions it computes gamma, delta, vanna and charm exposure by strike and by expiry for about 2,500 stocks and ETFs, recomputed every five minutes through the session, along with the call wall, put wall and gamma flip, how each strike changed over the last session, week and two weeks, and 18 months of daily history.
Why isn't open interest enough?
Open interest says how many contracts are open at a strike. It doesn't say who holds them. So most gamma exposure tools add an assumption: the convention from SqueezeMetrics' original GEX work is that investors sell calls and buy puts, which leaves dealers long calls and short puts. That is a reasonable average, and it is wrong whenever the crowd does the opposite, for example during a call-buying run, when customers are long calls and dealers are short them. Open interest is also a once-a-day count, so it says nothing about today's trading until the next morning.
How GEX is calculated walks through the standard formula and each assumption in it.
How does Tradytics infer dealer positions?
- Read the full tape. Every trade on every US options exchange, from OPRA.
- Tag the side. Each trade is tagged bought or sold from where it printed against the bid and ask. A trade at the ask is a customer buying; at the bid, a customer selling. At the ask vs at the bid explains the tag.
- Put the dealer on the other side. A customer buy leaves the dealer short that contract; a customer sale leaves the dealer long.
- Build the book. Add those positions up by contract over the last 66 sessions, so the model reflects which way the recent crowd actually traded each strike, not only an assumption.
- Compute the exposure. Apply each contract's gamma, delta, vanna and charm at the current price, time to expiry and implied volatility, then sum by strike and by expiry.
- Repeat. Every five minutes through the session, for about 2,500 stocks and ETFs.
How is the flow-based model different from the open interest convention?
| Open interest convention | Tradytics dealer model | |
|---|---|---|
| Who holds the contracts | Assumed: investors short calls, long puts | Inferred from 66 sessions of trades tagged bought or sold |
| A call-buying run | Still counted as dealers long those calls | Counted as dealers short the calls customers bought |
| Positions update from | The open interest count, once a day | The trades themselves, recomputed every five minutes |
| What you get | Gamma by strike from an assumed book | Gamma, delta, vanna and charm by strike and expiry, with each strike's change over one session, one week and two weeks, plus 18 months of daily totals |
What does the model produce?
| Output | What it means |
|---|---|
| Gamma exposure | How much dealer hedging would trade per move in the stock, and whether it leans against moves (positive) or with them (negative). See what is gamma exposure (GEX)? |
| Delta exposure | Dealers' net delta in shares, the hedge they are carrying now |
| Vanna and charm exposure | How that hedge changes when volatility moves and as time passes. See what are vanna and charm exposure? |
| Call wall and put wall | The strikes with the most positive and most negative gamma. See call wall and put wall |
| Gamma flip | The price where total gamma turns from positive to negative. See what is the gamma flip? |
| Change | Each strike's change since one session, one week and two weeks ago |
| History | 18 months of daily dealer net gamma (bars) and net delta (a line) against the stock's close |
What are the model's limits?
- It's an estimate. Nobody outside the dealers sees their books. The model is a better-informed estimate, not a ledger.
- Some trades carry no side. A trade at the midpoint gives no clue which side was eager, so it adds little to the book.
- Opening or closing isn't on the tape. A customer sale might open a new short or close an old long; the tape doesn't say which. Opening vs closing covers what can be inferred.
- It describes positioning, not direction. Gamma tells you what kind of moves hedging tends to damp or extend, not which way the price goes. Does gamma exposure actually help you trade? looks at the evidence.
Where do you see dealer positioning on Tradytics?
- Dealer exposure, per ticker. On every research options page, and full screen at /research/SPY/options/dealers: tabs for Gamma, Delta, Vanna, Charm and History, an expiry picker (all, one month's, or one expiry) and a change menu (one session, one week, two weeks).
- Dealer gamma for SPY. On the Options market page: SPY's total dealer gamma, gamma by strike, and the call wall, gamma flip and put wall with their distance from the price.
- On the chart. Gamma levels are an indicator on Tradytics charts.
- Ask about it. The AI analyst pulls dealer data itself, so "Where are NVDA's gamma walls?" gets the levels and a chart.
- In code. Pro includes dealer gamma in the API and MCP server.
Tradytics has shown dealer positioning, gamma exposure and vanna since August 2022, on the Options Dashboard. The 2026 app rebuilt it as the five-minute model described here.
Common questions
How does Tradytics calculate dealer positioning?
It tags every options trade bought or sold from its price against the quote, puts the dealer on the other side, adds those positions up over 66 sessions, and computes gamma, delta, vanna and charm exposure from them at the current price, time and implied volatility.
How often does Tradytics update dealer gamma?
Every five minutes through the session, for about 2,500 stocks and ETFs. Same-day (0DTE) gamma for SPY, SPX and QQQ updates every 30 seconds; see what is 0DTE GEX?
Why does Tradytics GEX differ from other sites?
The common convention assumes who holds the open interest. Tradytics infers it from 66 sessions of side-tagged trades, so when the crowd is buying calls rather than selling them, the sign at those strikes can differ.
How far back does dealer history go?
18 months of daily dealer net gamma and net delta against the stock's close, on the History tab of Dealer exposure.
Sources
- Options Industry Council, Open Interest: Why It Matters: how the OCC calculates open interest from each day's opening and closing trades.
- Cboe, Evaluating the Market Impact of SPX 0DTE Options (September 8, 2023): why estimates of market maker gamma vary widely.
- Options Price Reporting Authority (OPRA): the consolidated last sale and quotation feed from the US options exchanges.