Zero gamma (gamma flip)
The price at which estimated net dealer gamma changes sign.
How to read it
Above it, dealer hedging tends to damp moves; below it, to amplify them.
How to use it
A level where the market's behavior may change: calmer above, jumpier below.
Limitations
Inherits every assumption of gamma exposure.
In Kereon
Options. Net gamma exposure recomputed at 61 prices across ±15% of the current one, holding each contract's IV fixed; the crossing nearest the price, interpolated between the two points either side. None when the curve never crosses inside that band.
Also called: zero gamma, gamma flip, flip.