Zero Gamma Level

Price where net dealer gamma changes sign (Deribit BTC options)

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

Overview

The Zero Gamma Level is the BTC price at which dealers would switch between long and short gamma. Dealer positions are held fixed and the gamma of every option is recomputed with Black-Scholes as if the price were at each level; the level where the resulting net GEX curve crosses zero, nearest to the current price, is the zero gamma level. 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 search covers ±50% of the price; the value is empty when the curve keeps one sign there.

Formula

$\text{GEX}(P) = \sum_i \text{inv}_i \, \Gamma_i(P) \, \frac{P^2}{100}, \qquad \text{Zero Gamma} = \arg\min_{P:\,\text{GEX}(P)=0} |P - S|$

• The price axis is scanned in steps of about USD 100 across ±50% of $S$; each sign change is refined by bisection to USD 1 (two crossings closer than USD 100 can be missed)
• $S$ — current BTC index price; $\text{inv}_i$ — dealer inventory; $\Gamma_i$ — Black-Scholes gamma

Interpretation

• Price above zero gamma with positive net GEX: dealers dampen moves; a fall through the level switches them to amplifying.
• Price below zero gamma with negative net GEX: dealers amplify moves; a recovery above the level calms the market.
• The closer the price is to zero gamma, the more fragile the current regime.
• This is not the sign change of per-strike GEX next to the price: that legacy figure almost always sits within a fraction of a percent of spot and is not a regime threshold.

Use Cases

• Mark a regime threshold on the BTC price chart.
• Measure the distance to a volatility regime change in percent of price.
• Combine with Net Gamma Exposure and the Dealer Hedge Flow metrics.

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

• Net Gamma Exposure (GEX) — Net dealer gamma exposure, USD per 1% move (Deribit BTC options)
• Top Gamma Support Strike — Strike with the largest positive dealer GEX (Deribit BTC options)
• Top Gamma Resistance Strike — Strike with the most negative dealer GEX (Deribit BTC options)