Gamma Risk Tracker — AU (m2)
Monitor market-wide gamma exposure, hedge pressure and volatility-driven risk across ASX options. Designed for Australian options traders, market makers and risk managers.
- Coverage: ASX large-cap options
- Updates: Intraday rolling feed
- Signals: Hedge intensity, crowd gamma spikes, vega concentration
What is Gamma Risk?
Gamma risk measures how option positions force market makers and liquidity providers to hedge underlying exposure as prices move. High net gamma creates feedback loops, amplifying intraday moves.
Key indicators
- Net Gamma (by strike and expiry)
- Hedge Intensity Index (probability-weighted)
- Vega Concentration (volatility exposure)
Live Metrics & Table
| Symbol | Net Gamma (AUD) | Hedge Intensity | Vega (AUD) | Signal |
|---|---|---|---|---|
| CSL | +1,240,000 | Moderate | 320,000 | Buy-side |
| CBA | -2,100,000 | High | 540,000 | Hedge Pressure |
| BHP | +420,000 | Low | 120,000 | Watch |
Visualizations
Deep dive — Scenarios & Guidance
Large net short gamma indicates market makers will sell into dips and buy into rallies — expect larger intraday moves and widening spreads. Risk management: reduce directional size and consider debit spreads.
Vega concentration can amplify volatility moves around earnings or economic prints. Tactical note: use smaller vega exposure, prefer calendars or ratio spreads to manage tail risk.
Hedge intensity flags where market makers are likely to buy or sell the underlying aggressively. Use these alerts to align trade entries or to anticipate intraday liquidity risk.
FAQ & Practical tips
How should I use gamma signals?
Combine gamma signals with liquidity and volume data. Treat them as structural context — they indicate hedging pressure rather than directional forecasts.
Does gamma tracking work for small caps?
Coverage is focused on liquid ASX names; small-cap options often lack the liquidity necessary for reliable gamma aggregation.
