NAKKATTO
live
NAKKATTO
live
gamma walls · flip · expected move · ES↔SPX — dealer positioning updates live; the σ band locks at the open
| Level | ES ≈ | SPX | Δ vs spot | Δ % | Type |
|---|
Every level on this chart is really a map of where options dealers (market makers) have to hedge. Dealers are mostly on the other side of the flow, so they buy and sell the underlying to stay delta-neutral — and that hedging is what turns these strikes into support, resistance and magnets.
A call wall is the strike above spot with the most positive dealer gamma. Being long gamma there, dealers sell into rallies and buy dips to re-hedge — flow that leans against price and caps it like resistance. The put wall is the mirror below spot: the same hedging cushions declines like support. As price approaches a wall the hedging intensifies and it stalls; a decisive break clears that hedging and price tends to accelerate to the next wall.
The flip (zero-gamma) is the price where net dealer gamma crosses zero. Above it dealers are net long gamma, so hedging dampens moves — quiet, mean-reverting, pin-prone. Below it dealers are net short gamma, so hedging amplifies moves — trends run and volatility expands. It's the single most important line here: the same headline is muted above the flip and violent below it. That's why the read is fade above / chase below.
An absolute-gamma pin is the strike with the most total gamma (calls + puts, regardless of sign). A huge amount of hedging is anchored there, so price is magnetically drawn to it and sticks — the classic expiry "pin," strongest into the afternoon as gamma concentrates and time decay pulls. The bigger the value, the stronger the magnet; two comparable pins create a range price oscillates between. Note a pin can sit where net gamma is near zero — a heavily-traded strike net-gamma alone would miss.
The ±σ band is the market's own priced-in 1-day range, backed out of the at-the-money straddle and locked at the open. On positive-gamma days dealer hedging tends to keep price inside it; on negative-gamma days it's far more likely to stretch to the edges or beyond.
Putting it together: the flip tells you whether to fade or chase, the walls & pins tell you where, and the expected move tells you how far. The Desk read up top stitches those into a plan from the live numbers.