Dealer Hedge Flow at −10%

Dealer hedge flow in USD if BTC moves −10% (Deribit options)

Property	Value
Category	Options
Unit	USD
Resolution	1d
Assets	BTC
Tier	Pro
API Endpoint	GET /v1/options/gex
Field	flow_dn10

Overview

Dealer hedge flow at −10% is the amount in USD that options dealers would have to buy (positive) or sell (negative) to stay delta-hedged if the BTC price moved from its current level S to S·(1−0.10). Dealer inventory per option is rebuilt from the full Deribit trade tape since listing: dealers are assumed to take the other side of every taker trade, so inventory = taker sells − taker buys. Gamma is recomputed with Black-Scholes from each expiry's forward (zero rate, implied volatility and time to expiry held fixed). The value is computed exactly at that price, not at the nearest grid level.

Formula

$H(P) = -\int_S^P \sum_i \text{inv}_i \, \Gamma_i(p) \, p \; dp, \qquad P = S \times (1 - 0.10)$

• $\text{inv}_i$ — dealer inventory of option $i$ in BTC (taker sells minus taker buys since listing)
• $\Gamma_i(p)$ — Black-Scholes gamma of option $i$ if the price were $p$
• $H \gt 0$ — dealers buy, $H \lt 0$ — dealers sell

Interpretation

• Positive values on a sell-off mean dealers trade against the move (they buy the dip): their hedging dampens it. This is the long-gamma regime.
• Negative values mean dealers would sell together with the move: hedging amplifies it (short-gamma regime), a setup for faster cascades.
• Compare the size with spot liquidity: a few hundred million USD of forced hedging is material for BTC.
• Read it together with the opposite side (+10%) — dealers can dampen one direction and amplify the other.

Use Cases

• Gauge whether a 10% drop would meet dealer resistance or dealer fuel.
• Track regime shifts over time: a change of sign marks a move of the zero gamma level across this price.
• Combine with Net Gamma Exposure and the Zero Gamma Level for a full picture of dealer positioning.

Data Notes

• Daily value = the 00:00 UTC hourly snapshot of the day (the first snapshot of the day if 00:00 is missing), away from the 08:00 UTC daily expiry; a day's value does not change once published. Every hourly snapshot is available from /v1/options/gex/hourly, the full price profile from /v1/options/gex/profile.
• History starts on 2026-03-16 (hourly snapshots of the options board); about four weeks in June 2026 are missing (collection outage). Dealer inventory is summed over each option's full trade history since listing, so early values are not a cold start.
• Deribit BTC options only; other venues are not included.

API Usage

curl -H "Authorization: Bearer YOUR_API_KEY" \
  "https://api.blocklens.co/v1/options/gex?start_date=2024-01-01&end_date=2024-12-31&limit=365"

Related Metrics

• Dealer Hedge Flow at +10% — Dealer hedge flow in USD if BTC moves +10% (Deribit options)
• Dealer Hedge Flow at −5% — Dealer hedge flow in USD if BTC moves −5% (Deribit options)
• Zero Gamma Level — Price where net dealer gamma changes sign (Deribit BTC options)