by TrueDataIndicator — GEX Levels
GEX Levels puts the option chain's key prices on the chart as horizontal lines: the call wall, the put wall, the gamma flip (HVL), max pain and the expected range to expiry, for both the nearest (weekly) expiry and the monthly expiry. Every level has its own tick box per expiry.
The levels
| Level | Label | What it is |
|---|---|---|
| Call wall | CW | The strike at or above spot with the most call open interest. Dealers hedging short calls there tend to sell into rallies, so it acts as resistance. |
| Put wall | PW | The strike at or below spot with the most put open interest. The mirror image: support, where hedging buys dips. |
| Gamma flip / HVL | Flip | The price where net dealer gamma exposure crosses zero. Above it dealers are long gamma and fade moves; below it they are short gamma and chase them. Also called the hedging volatility level. |
| Expected range | 0DTE max / min | Spot ± the move the market prices to expiry. Labelled with the days left, so on expiry day it reads 0DTE. |
| Max pain | Max pain | The strike where option holders' total intrinsic payout is smallest. |
| Gamma walls | Cγ wall / Pγ wall | The strikes with the most call or put gamma·OI, which weight open interest by how sharply it hedges. Off by default. |
| ATM strike | ATM | The strike nearest the expiry forward. Off by default. |
Weekly lines are solid, monthly lines are dashed. Labels sit at the right edge of the chart and are nudged apart when two levels nearly coincide; a short connector points back to the exact line. The legend box names the expiries in use, the net GEX and its regime, the range model, and the chain coverage behind the numbers. It sits at the bottom right by default; Legend position moves it to any corner and Show legend and data status hides it entirely.
Expiries
- Nearest expiry (weekly) is the first listed expiry after the latest chart candle. When the underlying only lists monthly contracts, this slot is the monthly and its lines are labelled M.
- Monthly expiry is the last listed expiry of the calendar month. In the month's final week the nearest expiry already is the monthly, so this slot moves to the following month and is labelled M+1.
- Either slot can be pinned to a specific expiry from its Expiry picker. Settings and overrides are saved with the chart's indicators.
Expected range models
| Model | Width |
|---|---|
| ATM straddle premium (default) | CE + PE price at the ATM strike, the price the market charges for the move. |
| ATM implied vol | S·σ·√T, the one-sigma move from the ATM implied vol to expiry. |
| India VIX | S·(VIX/100)·√T, the one-sigma move from the index vol gauge. The latest daily close of the VIX symbol is fetched automatically; set the override when that fails. |
The Range multiplier scales the width: 1 is one straddle or one sigma, 0.8 approximates the straddle from a vol, 2 marks the two-sigma band. Tick Shade the range band to tint the area between the two lines.
History
Turn on Show how levels moved to recompute the walls, gamma walls, flip and max pain for each candle over the loaded days and draw them as faint step lines behind the current levels. This shows positioning migrate: walls stepping out as price trends, the flip drifting through the session. The expected range and ATM strike simply follow spot, so they stay off the trail. History is computed in short slices off the drawing path, so the chart stays responsive while it fills in.
Data and model
Use an NSE/BSE underlying spot or futures chart on a time-based interval from 1 minute to 1 day; option-premium charts are not supported. The study prices the chain exactly as the Options GEX Heatmap and Gamma Exposure do: the forward from put-call parity, implied vols solved per leg, GEX as gamma × open interest × forward² × 1%, and the flip read from the net-GEX curve. Walls, max pain and ATM do not depend on the dealer-sign assumption; the flip and the regime do, and Invert dealer sign reverses them.
Levels are computed at the chart's latest candle from each leg's most recent bar, accepting a quote up to N candles old (default three) so a leg whose bar arrives a minute late does not drop a wall. Nothing is borrowed from later bars, and a chain below 60% leg coverage draws nothing rather than guessing. On a historical or replay chart the levels are those of that candle's day.
Option history is shared with the Options GEX Heatmap: both studies on one chart download each contract once, and reopening a chart reuses cached bars. Automatic refresh fetches only the recent tail, by default once per new chart candle; it pauses on historical/replay charts and hidden tabs. Expiries come from the market-data service's listing of live contracts, so selecting an old chart date does not resurrect an expired chain.