SPX "Pseudo" GEX – Live
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Pipeline: each poll ingests Schwab gamma, open interest, and cumulative volume. We use the change in cumulative volume plus microstructure signals to estimate net new OI: time-of-day (opening flow tends to be higher early), moneyness (near-ATM flow weighted more), where trades print within the bid/ask spread (aggressive near ask vs passive near bid), and short-term IV change. These are combined into an opening-vs-closing probability and applied to volume deltas to estimate net new OI, then effective OI = baseline OI + estimated net new OI. Per-strike pseudo GEX is gamma x effective OI x spot squared x 100 x 0.01 (dollars per 1% SPX move). Calls are plotted positive, puts negative, and Net GEX = Call GEX + Put GEX.
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SPX vs GEX walls (intraday)
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The same key levels as the chart above, tracked through the day instead of at a single snapshot. Each point is one collector poll: SPX is the recorded underlying price, the call wall is the strike with the largest positive call GEX, the put wall the strike with the most negative put GEX, and the gamma flip the interpolated strike where net GEX crosses zero. Walls are drawn as steps because they jump between strikes rather than moving continuously. A gap means that snapshot carried no data for that side.