SPY GEX Fade · trading options microstructure
An intraday fade strategy built on dealer gamma exposure, executed with a 3-minute trigger. Teaches why positioning data beats price data.
Most intraday strategies trade price. This one trades the counterparty side — when option dealers are long gamma, their hedging mechanically dampens moves.
Fade intraday moves when dealer gamma is positive
Why this works
When dealers are net long gamma, their hedging flow dampens price moves — a mechanical mean-reversion force. The edge is real but narrow: it comes from the options market structure, not from any prediction of fundamentals. This is the cleanest tutorial for how market microstructure creates systematic opportunity, and why understanding counterparty positioning matters.
Common pitfalls
- Estimating dealer gamma from retail-level option data. You need OCC open interest, not delayed chain snapshots.
- Using daily gamma values for intraday signals. Interpolate by spot throughout the session.
- Trading during ex-divs or pinning days — GEX calculation breaks and signals flip sign.
Try it yourself
Fork the template into your workspace. The entire configuration — code, parameters, backtest window, cost model — lands in a new private session. Tweak it, break it, and see how robust the edge actually is.
Backtest result
Equity curve
GEX calculated from OCC daily, interpolated intraday by spot. Fade move when |Δspot / σ| > 1.5 and dealer gamma positive. Exit on VWAP touch or 30min.
Related tutorials
What is mean reversion, and when does it stop working?
From the textbook z-score to gamma-driven intraday fades, a tour of when price snaps back — and when it does not.
How to read a backtest report without fooling yourself
A checklist for evaluating any strategy you did not write yourself. Required reading before forking.
Mean Reversion on S&P 500 · the entry-level quant strategy
Short-term mean reversion with a z-score signal and a breadth-based regime gate. The cleanest first strategy for learning portfolio construction.
Fork it into your workspace.
The whole template — code, parameters, backtest config — lands in a new private session. Tweak it, run it, break it, learn.