Gamma wall
Also: call wall · put wall
The strike with the most accumulated gamma. It acts as magnet and as brake, because that is where hedging piles up.
In the chapter
Who is on the other side and what forces their hand
From the same chapter
- Market makerWhoever quotes both sides and keeps the spread. They do not bet on direction: they hedge what they are forced to take on.
- Dealer hedgingThe buying and selling of the underlying a market maker does to stay neutral. It is forced flow, and that is what makes it predictable.
- Dealer gammaThe net sign of the gamma market makers are holding. When positive their hedging brakes price; when negative it pushes it.
- Gamma flipThe level where dealer gamma changes sign. Above it the market tends to calm; below it, to accelerate.