Volatility Trigger (Zero Gamma)
PUT Wall (Support)
CALL Wall (Resistance)
Zero Gamma Exposure
At a certain point in a falling market long gamma switches to short gamma (the „volatility trigger“ or “zero gamma level“ in the chart) – a key area around which market behaviour can change dramatically. Very often however we can observe at that level strong reversal to the upside.
But when price breaks downside, we can expect much larger daily moves (in either direction) in comparison to volatility we saw before passing Zero Gamma. Often this is related to Volatility Spikes appearance on the markets.
DIX & GEX Indexes
DIX (Dark Index) is measuring in dollars activity of transactions performed out of regular market – DarkPools. High values means market sentiment in dark pools is bullish. When the DIX is , it confirms bearish or uncertain sentiment.
GEX (Gamma Exposure) is measuring in dollar-denominated scale market-makers’ hedging obligations. When GEX is high, it implies that volatility will be low. When GEX is low, it implies volatility is expected to be high.