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Zero Gamma Level

Options-derived dynamic S/R, touch rates, and regime behavior

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Zero Gamma Level — Strategy Guide

The Zero Gamma Pivot

The zero gamma level is the price where options dealer gamma exposure flips from positive to negative. This creates a natural pivot point because the market behaves fundamentally differently on each side: above zero gamma, dealers buy dips and sell rips (mean reversion). Below zero gamma, dealers sell dips and buy rips (momentum amplification).

Key Metrics

Touch Rate — How often price visits the zero gamma level. Typically tested multiple times per week.

Reversal Rate — How often price reverses direction at the zero gamma level. Usually 55-65% on first touch.

Regime Effectiveness — Mean reversion strategies work better above zero gamma; momentum strategies work better below.

Trading Strategy

Use zero gamma as a bias filter. Above zero gamma, fade extremes and trade mean reversion to VWAP/POC. Below zero gamma, trade breakouts and momentum. When price is at the zero gamma level itself, watch for rejection or break — it's a natural S/R level.

Pro Tip

The zero gamma level moves daily as options positions change. Check it every morning before trading. When the zero gamma level is far from the current price, its influence is reduced. It's most important when price is near it or crossing through it.

Hedging Volume Impact

Performance by Weekday