Does Expiring Gamma Move the Market? 4 Years of SPY & QQQ Data

The terms in one line each

Expiring gamma share

The share of total gamma exposure that sits in the nearest expiry, from the expiry impact endpoint, measured five minutes before the close.

Next-day range

The next session's high minus low, as a percentage of today's close.

Call wall / put wall

The strike with the largest call or put gamma. A wall "breaks" when the next session trades through it.

Net GEX sign flip

A session where removing the nearest expiry would flip net gamma exposure from positive to negative, or back.

Gamma concentration

How bunched gamma is across expiries (a Herfindahl index from the term structure endpoint); higher means fewer expiries hold most of it.

0.25 delta

The option's delta at entry. Delta is often read as the chance of finishing in the money.

1. Heavy expiry days came before calmer sessions

We split all sessions into thirds by expiring gamma share and measured the next day's range. The more gamma rolled off, the smaller the next day tended to be, for both SPY and QQQ.

The effect isn't only in the average. Big days became much rarer: a 1.5%+ SPY range followed 31% of light-expiry sessions but only 16% of heavy ones.

It also held after allowing for how volatile the day itself was (a -0.067 percentage-point change in SPY's next-day range per standard deviation of expiring share, 95% range -0.102 to -0.035).

Year by year: strong in 2023-2025, absent in 2022

2. When the gamma expires: Fridays and monthly OPEX

Daily expiries spread gamma across the week, but Fridays still stand out, and monthly OPEX (the third Friday) is in a league of its own: the nearest expiry held 31.8% of SPY gamma on OPEX versus 15.0% on other days. The average share was highest in 2025: 17.9% for SPY and 16.6% for QQQ, against 13.9% and 11.9% in 2023.

The session after monthly OPEX was a little quieter than average too (1.05% vs 1.18% for SPY over 46 OPEX days). The same was true on the 107 SPY sessions (10.7%) where the expiring options were big enough to flip the sign of net GEX.

3. Walls: distance is almost the whole story

We tracked 3,723 call and put walls from strike dependency. How close a wall sat to the close explained most of whether it broke the next day: about three in four broke from within 0.1%, one in four from 1-1.5%, and almost none from more than 3% away.

Call walls broke more often than put walls (50% vs 40% for SPY), mostly because they sat closer (median 0.35% vs 0.68% from the close). Compared distance band by distance band, neither side broke consistently more often.

What about walls held mostly by the expiring expiry? In a raw comparison they broke more often, but they also sat closer. Compared at the same distance, the gap shrank to +6 points for SPY and -1 for QQQ, and neither is statistically clear.

4. Gamma concentration: a small extra signal for SPY

The median session had gamma spread over 33 SPY and 31 QQQ expiries, with the front expiry holding 14.2% and 12.3%. For SPY, more bunched gamma came with a slightly wider next day even after allowing for expiring share and the day's own range (+0.064 points per standard deviation, 95% range +0.023 to +0.120); for QQQ the effect was +0.016 (-0.075 to +0.101). Term structure and expiry impact also agreed on all 2,002 sessions, so the two endpoints describe the same chain consistently.

5. Yield enhancement: what its picks earned

Every week we asked the yield enhancement endpoint for a covered call and a cash-secured put on the monthly expiry about 30 days out, and held each one to expiry (820 trades).

Two in three covered calls made money and three in four beat holding the shares over the same window. The trade-off shows up in the tails: the worst covered call lost 14.0% (SPY) and 20.9% (QQQ), because the shares still fall while the call caps the rebound. Cash-secured puts won more often (83% for SPY) with smaller gains.

Delta followed the market, not a fixed 25%

Over the whole period, about 31% of 0.25-delta calls and 20% of puts finished in the money. Year by year the picture swings: in 2022 puts were hit far more often than delta implied, and from 2023 calls were.

How we did it

• Each endpoint was replayed on historical.flashalpha.com five minutes before every close (12:55 ET on half days), exactly as you would call it live.
• The rules were frozen before we looked at results (2026-10-17), and the pack rebuilds every number from scratch.
• Uncertainty ranges are 95% intervals from a moving-block bootstrap (blocks of 20 consecutive sessions, 2,000 resamples). Year-by-year, weekday, OPEX, wall-distance and trade-outcome figures are computed from the pack's observation files (insights.json).
• These are patterns from 2022-2025 that help you read the market, not trading signals on their own.

How to cite this research

Try it yourself

All four endpoints are on the Growth plan, and the historical replay and the full research pack are on Alpha. Start with the expiry impact docs, or browse the research packs.

Frequently Asked Questions

Related Reading

• Which Expiry Holds the Gamma? - how expiry impact and strike dependency work
• Covered calls and cash-secured puts research pack - our first income study
• 0DTE gamma exposure and pin risk - why same-day expiries dominate intraday gamma

Conclusion

Expiring gamma reads better as a mood than a trigger: heavy expiry days came in calm markets, and calm tended to carry into the next session, except in the 2022 bear market. Walls are mostly about distance, covered calls made money in about two trades in three, and delta drifts with the trend. Every number here traces back to research pack trader-context-spy-qqq-2022-2025-v2-34105d743fac, so you can check today's readings against four years of history.