SPX vs SPY gamma exposure
SPX and SPY options both track the S&P 500, but SPX options are about ten times the notional size, cash settled and dominated by institutions, while SPY options settle into shares and see more retail flow. For the index's hedging pressure, SPX gamma usually matters more. Watch both when their levels disagree.
How the two markets differ
One SPX point equals ten SPY cents, so an SPX strike at 6000 lines up with SPY near 600. SPX options are European style and cash settled with no early assignment. SPY options are American style and deliver shares.
Institutions hedge portfolios with SPX, so its open interest is concentrated in large index puts and in the daily expirations. SPY carries more single-account and retail flow and more open interest in the weekly calls.
Reading them together
Convert SPY strikes to SPX terms by multiplying by ten, then compare the walls and the gamma flip. When the major levels line up, that price is a strong reference for the day. When they differ, SPX levels have usually been the better guide, because more dollar gamma sits there.
Total GEX in dollars is not directly comparable between the two unless both are scaled the same way. Compare the shape and the sign, not the raw totals.
Questions
- Why does SPX show a different gamma flip than SPY?
- Different open interest. Each market has its own mix of hedgers, expirations and strikes, so the price where total gamma changes sign can sit at different index levels.
- Does ES futures gamma matter too?
- Options on ES futures add to dealer positioning, but their open interest is small next to SPX and SPY for most expirations. Most GEX tools, Obelion included, use the listed index and ETF options.
Related
- What is a gamma squeeze?
- 0DTE options explained
- Free gamma exposure chart
- Does max pain work?
- Open interest vs volume in options
For education only, not financial advice. See the disclaimer.