Why the last hour of trading keeps doing the same thing
Same-day options now drive a large part of index trading. The hedging behind them leaves a map most traders never look at.
Every trading day, a large volume of S&P 500 options expires the same afternoon it trades. Those contracts are called zero-days-to-expiry, or 0DTE, and their share of options volume has grown quickly over the last few years.
The dealers who sell those options hedge them by buying and selling the underlying index as it moves. How much they need to hedge depends on gamma, which measures how fast an option's exposure changes as price moves. Add that up across every strike and you get gamma exposure, or GEX.
When dealers are net long gamma, their hedging runs against the move: they sell into rallies and buy into dips. When they are net short gamma, it runs with the move. The price where that flips is called the zero-gamma or flip level.
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