The method, explained simply

What we look at, why we look at it and how to read it. No formulas: just the ideas.

Open interest Max pain Fair value GEX Gamma flip Probability ranges Reading them together What it doesn't do

1. Open interest: the map of the bets

An option is a bet on a price level, with an expiry date. Every day the exchange publishes how many bets are open on each level: this number is called open interest.

Picture a racetrack. Before the race you can see how many tickets have been placed on each horse. It doesn't tell you who will win, but it tells you where the money is concentrated and where, if things go a certain way, a lot of people will lose or win all at once.

Bets on a rise are called calls, bets on a fall are called puts. Every morning OptionStreams reads this map for the DAX (Eurex data) and for the S&P 500 (CBOE data) and turns it into a few numbers you can read at a glance.

2. Max pain: the level where the market "hurts least"

For every possible closing price at expiry you can calculate how much, in total, the option sellers would have to pay out. The max pain is the price at which this figure is lowest: the point where the largest number of bets expire worthless.

Like a rubber band. Those who sold the options (often banks and large operators) have an interest in the price being close to that level on expiry day. This is why max pain often works like a rubber band pulling the price towards itself in the final days. Often, not always.

In the app every expiry has its own max pain, drawn as a line on the chart. If the price is far from the max pain of a near expiry, there is a "tension" worth knowing about.

3. Fair value: where the market feels in balance

The fair value looks at something different: how many bets on a rise there are below a given price and how many bets on a fall there are above it. The point where the two quantities balance is the level that the market, with its money, considers "fair" for that expiry.

Like a scale. Calls on the left pan, puts on the right pan. The fair value is the point where the scale sits level. When the price moves far away from there, one of the two pans weighs more: it is information, not an order.

Max pain and fair value are often close to each other. When they are far apart, positioning is unbalanced and the market may move with more conviction towards one of the two.

4. GEX: how much dealers have to buy or sell when the price moves

Whoever sells you an option (the dealer, usually a bank) doesn't want to bet on direction: they keep their position neutral by buying or selling the index future. This activity is called delta hedging. The problem is that, when the price moves, the amount of future to hold changes: gamma measures exactly how much it changes. The GEX (gamma exposure) adds up the gamma of all open options and translates it into one figure: how many euros or dollars of futures dealers have to buy or sell for every 1% move in the index.

Positive GEX (dealers "long gamma"): if the price rises they have to sell, if it falls they have to buy. They go against the move: they are a shock absorber. The market tends to stay range-bound and to return towards the strikes with the most gamma.

Negative GEX (dealers "short gamma"): if the price falls they have to sell, if it rises they have to buy. They go with the move: they are an amplifier. The market tends to become more volatile and directional.

Example. S&P at 5,000, total GEX +3 billion: if the index falls to 4,980 dealers buy futures, if it rises to 5,020 they sell them. The typical result is a day like 4,990 → 5,020 → 5,005 → 5,015, that is, compressed. With GEX −3 billion the opposite happens: 5,000 → 4,980 makes dealers sell, pushing towards 4,950, and the decline feeds itself.

Mind the most important point: a positive GEX is not bullish and a negative one is not bearish. GEX doesn't tell you where the market will go, it tells you how it will behave if it starts moving: braked or accelerated. In the app you see it for each expiry, aggregated across all expiries, and strike by strike on the price chart.

5. Gamma flip: the price where the regime changes

GEX is not fixed: the gamma and delta of options change as the price changes. So you can calculate what the total GEX would be if the index were at 4,900, at 4,950, at 5,000 and so on. The gamma flip is the price where the result goes from negative to positive. This is exactly what OptionStreams does, recalculating everything on a grid of hypothetical prices.

Hypothetical price	Estimated GEX	Regime
4,900	−5 bn	amplifier
4,950	−3 bn	amplifier
5,000	0	gamma flip
5,050	+3 bn	shock absorber
5,100	+5 bn	shock absorber

Like a car. Above the flip the car has its shock absorbers: it hits a pothole and absorbs it. Below the flip the shock absorbers are broken: every pothole jolts you harder. If the index is at 5,070 with the flip at 5,000 and starts to fall, down to 5,000 dealers buy the dips; past 4,995 they start selling them. The same move changes nature.

The flip is not a support. It doesn't mean "it bounces at 5,000". It means that below that price the market's behaviour changes: a decline that continues can become more violent, while a rise above the flip tends to calm down. This is why in the app the flip is the line to watch when the price gets close to it, and the zone below the aggregate flip is shaded in red.

In short: GEX tells you how much and in which direction dealer hedging can influence the move; the gamma flip is the price where you switch from one regime to the other. In the app you find them as the "regime" above or below the flip, with the GEX at spot in millions.

6. Probability ranges: not a point, a zone

None of these levels is a precise forecast. They are reference points: areas where the price is more likely to slow down, turn or accelerate. This is why in the app we always accompany them with the one-standard-deviation range (1σ), calculated from the implied volatility that the market itself is paying.

The 1σ range is the zone within which the market expects the price to stay until expiry in about 2 cases out of 3. Outside that zone the price ends up about 1 time in 3: it isn't rare, it's just less likely.

When max pain, fair value and gamma flip all fall inside the range, the picture is "orderly". When one of them is outside, there is a tension the market will have to resolve: either the price goes to look for it, or the bets will shift.

In the Strategies view you can also see the walls: the levels with the most open interest, which often behave like soft barriers. The price gets there, bumps into them, sometimes breaks through: a wall with a lot of open interest is harder to cross than a small one.

Check on 2020-2026 data. With the DAX historical archive (over 340 expiries) we measured every level against the actual settlement. The result is clear-cut: the forward is the most precise reference, while max pain and fair value miss more and guess the side of the settlement about once in two, at any distance from expiry and even when open interest is very high. The levels remain useful for reading positioning and regime (where the walls are, whether dealers brake or amplify), not for predicting where the price will end up. This check gave rise to the ORACALL view, which replaces the theoretical 1σ range with a cone of empirical quantiles and measures when conditions are historically favourable for a strategy that sells time: it is described in the manual.

Other tests, other results. The volatility premium exists but is not predictable; at equal IV, GEX changes the texture of the path, not the tails; there is no pinning on strikes and no last-day drift towards max pain; exiting the double calendar before the fixing, even with high volume on the future, earns less than holding it until 13:00. The detail with the numbers is in the manual.

7. How to read them together

What you see	How to read it
Price above the gamma flip, inside the range, near max pain	Orderly market. Strategies that sell time (calendar, iron condor) work in a favourable environment.
Price far from the max pain of a near expiry	Positioning is unbalanced relative to the price. The "rubber band" idea that brings the price back towards max pain is widespread, but on DAX data since 2020 it finds no confirmation: use the distance as a measure of tension in the book, not as an expected direction.
Price below the gamma flip	Amplifier regime: dealers hedge in the direction of the move, moves widen, levels hold less. Directional strategies with defined risk (spreads) are more consistent than those that sell volatility.
Max pain and fair value very far apart	Unbalanced positioning: one of the two sides has much more open interest. Look at the walls to see on which side the price finds resistance.
Aggregate GEX changing sign from one day to the next	Dealer hedges have changed direction, from shock absorber to amplifier or vice versa: it often precedes a change in market behaviour, before it shows on the chart.

In the Strategies view you then build the position and watch it age day by day: this way you see whether your idea holds up inside the range and relative to the levels, before putting money on it.

8. What this method doesn't do

It doesn't predict the future. It doesn't say "buy" or "sell". It doesn't replace risk management. The market can ignore any level, and it regularly does when news arrives. The data are from the previous close (Eurex) or delayed (CBOE): they are a snapshot of positioning, not an execution order.

OptionStreams is a market study tool. It is not financial advice and it is not an investment service: read the Risk disclaimer. If you want to see these levels on today's chart, create an account and activate the 3-day free trial.

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