Quantifying Dealer Positioning with GEX, VEX, and CHEX — A Developer's Guide

Every time an options market maker sells you a call or put, they inherit Greek exposure they didn't ask for. To stay delta-neutral, they must hedge — and that hedging creates mechanical, involuntary flows that move the underlying. This isn't sentiment analysis. It's physics. I've been building tools to quantify these flows programmatically. Here's the framework — with code you can run today. What GEX Actually Measures Gamma Exposure (GEX) per strike: GEX_k = Γ_k × OI_k × 100 × S Where Γ is option gamma, OI is open interest, S is spot price. The sign convention: Call OI → positive dealer gamma (customers buy calls → dealers short calls → dealers are long gamma) Put OI → negative dealer gamma (customers buy puts → dealers short puts → dealers are short gamma) Positive net GEX: Dealers buy dips, sell rallies. Dampens moves. Compresses realized vol. Negative net GEX: Dealers sell into declines, buy into rallies. Amplifies moves. Expands realized vol. GEX tells you how much price will move,