Working paper · CrossVol Research · Published 2026-06 · MPRA Paper No. 129365
Listed on MPRA, RePEc and OpenAlex under the title of the book it is adapted from: Beyond Gamma Exposure: Four-Lens Framework for Options Trader Who See What GEX Misses (deposited on MPRA on ).
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.
Nam Nguyen, Ph.D. cited Beyond Dealer Gamma by Djellal Djouad (CrossVol Research) in HarbourFront Quant on , in the post Extending the Dealer Gamma Exposure Framework.
Reference as cited: Djouad, D., Beyond Dealer Gamma: A Four-Lens Framework for Reading Options Market Dislocations. CrossVol Research Working Paper. MPRA Paper No. 129365, 2026.
This working paper is adapted from the book Beyond Gamma Exposure: A Four-Lens Framework for Options Traders Who See What GEX Misses (CrossVol Research, 2026).
BibTeX citation
@techreport{djouad2026beyonddealergamma,
title = {Beyond Dealer Gamma: A Four-Lens Framework for Reading Options Market Dislocations},
author = {Djouad, Djellal},
year = {2026},
month = {6},
institution = {CrossVol Research},
type = {MPRA Paper},
number = {129365},
doi = {10.5281/zenodo.20509786},
url = {https://mpra.ub.uni-muenchen.de/129365/},
}