Dealer positioning charts tell you where gamma sits right now. This tells you what happens next: how much stock market makers must mechanically buy or sell to stay delta-flat across a joint grid of price, volatility and time outcomes — including the two channels a gamma chart structurally cannot show, vanna (the vol–spot feedback loop) and charm (the decay pin). Every scenario is produced by fully repricing the dealer book at the shifted state rather than multiplying today's greeks by a move, and every flow is denominated in % of average daily volume — the only scale on which a hedge is big or small.
Each cell is the stock dealers must transact if spot and implied vol move together to that state. Red is mechanical supply (dealers sell), green is mechanical demand (dealers buy). Reading across a row isolates the gamma channel; reading down a column isolates vanna. The cross terms are the point — a 2% drop with vol bid is a materially different hedge than a 2% drop with vol flat, and that difference is invisible on any one-dimensional chart.
Cumulative hedging requirement from here to each price level, vol and time held fixed. Where the curve runs with the move — dealers buying higher, selling lower — hedging is fuel; where it runs against it, hedging is a brake. The shaded band is the accelerant zone, the contiguous stretch of prices over which dealer gamma is negative, and the dashed line is the gamma flip where the reflex inverts.
The joint states a desk plans around, each fully repriced with one day of decay applied — real overnight risk always includes the carry.
| Scenario | State | Shares | Notional | % ADV | Direction |
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The vol and time channels on their own, with price unchanged. The vol column is vanna: what a pure change in implied volatility forces, which is the mechanism behind a market that melts up as vol bleeds out. The time column is charm: the hedge that arrives on the calendar with nothing else moving.
| Vol shock | Shares | % ADV | Direction |
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| Decay | Shares | % ADV | Direction |
|---|
Where the three exposures live, across an unbroken band of strikes around spot — read down it to find where a sign turns. Signs are dealer exposure — a delta change, not a hedge. The hedge is the negation: positive gamma exposure means dealer delta rises as spot rises, so they sell into strength.
| Strike | Gamma / 1% | Vanna / vol pt | Charm / day | Call OI | Put OI |
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Dealer positioning cannot be observed. It is assumed from open interest. Because the assumption drives the sign, the desk recomputes the headline exposures under the opposite assumption and reports whether they still agree — a disclosure a static gamma chart never makes.
| Convention | Gamma / 1% | Vanna / vol pt | Charm / day |
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