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Beyond Gamma Exposure : Four-Lens Framework for Options Trader Who See What GEX Misses

Author

Listed:
  • Djouad, Djellal

Abstract

Dealer gamma exposure (GEX) has become the dominant retail and semi-institutional framework for interpreting equity index dynamics. This paper argues that GEX carries a quantifiable 30-50% error margin and fails systematically in four market configurations: sovereign crises, physical commodity squeezes, geopolitical commodity shocks, and currency peg breaks. We propose a four-lens framework: (1) Gamma, (2) Vega Exposure, (3) Risk Reversal 25-delta, and (4) Term Structure and Physical Signals. The decision rule is confluence: when three of four lenses align, the signal is actionable. The framework is validated against five publicly documented, time-stamped calls on X (formerly Twitter) prior to major market dislocations. Working paper adapted from: CrossVol Research (2026). Beyond Gamma Exposure: Four-Lens Framework for Options Trader Who See What GEX Misses. Amazon Kindle, ASIN: B0H2RZGMY6. https://www.amazon.com/dp/B0H2RZGMY6

Suggested Citation

  • Djouad, Djellal, 2026. "Beyond Gamma Exposure : Four-Lens Framework for Options Trader Who See What GEX Misses," MPRA Paper 129365, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:129365
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    References listed on IDEAS

    as
    1. Joost Driessen & Pascal J. Maenhout & Grigory Vilkov, 2009. "The Price of Correlation Risk: Evidence from Equity Options," Journal of Finance, American Finance Association, vol. 64(3), pages 1377-1406, June.
    2. Peter Carr & Liuren Wu, 2009. "Variance Risk Premiums," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1311-1341, March.
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    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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