Expiry Impact API

Endpoint

curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/exposure/expiry-impact/SPY?limit=5"

import requests

resp = requests.get(
    "https://lab.flashalpha.com/v1/exposure/expiry-impact/SPY",
    headers={"X-Api-Key": "YOUR_API_KEY"},
    params={"limit": 5}
)
data = resp.json()
impact = data["impact"]
print(f"{data['selected_expiry']} holds {impact['removed_gross_share_pct']:.1f}% of gross gamma")
print(f"net sign: {impact['net_sign_before']} before, {impact['net_sign_after']} after")

const resp = await fetch(
  "https://lab.flashalpha.com/v1/exposure/expiry-impact/SPY?limit=5",
  { headers: { "X-Api-Key": "YOUR_API_KEY" } }
);
const data = await resp.json();
console.log(data.selected_expiry + " holds " + data.impact.removed_gross_share_pct.toFixed(1) + "% of gross gamma");

Response

{
  "symbol": "SPY",
  "underlying_price": 663.42,
  "snapshot_id": "4f1c9e...",
  "generated_at": "2026-10-16T18:30:00Z",
  "pricing_basis": "captured_cached_gamma_current_spot",
  "data_status": "partial",
  "reasons": [{ "code": "oi_vintage_unknown", "message": "..." }],
  "gex_unit": "usd_delta_notional_per_1pct_move",
  "sign_convention": "calls_positive_puts_negative",
  "analysis_type": "expiry_removal_sensitivity",
  "selected_expiry": "2026-10-16",
  "selection_source": "nearest_active",
  "available_expiries": ["2026-10-16", "2026-10-19", "2026-10-20"],
  "current":          { "gross_gex_usd": 9100000000, "net_gex_usd": 2300000000, "contract_count": 8412 },
  "excluded_expiry":  { "gross_gex_usd": 1950000000, "net_gex_usd":  650000000, "contract_count": 1906 },
  "excluding_expiry": { "gross_gex_usd": 7150000000, "net_gex_usd": 1650000000, "contract_count": 6506, "status": "available" },
  "impact": {
    "removed_gross_share_pct": 21.43,
    "retained_gross_share_pct": 78.57,
    "net_gex_change_usd": -650000000,
    "net_sign_before": "positive",
    "net_sign_after": "positive",
    "net_sign_changed": false,
    "largest_gross_reductions": [
      { "strike": 665, "excluded_gross_gex_usd": 290000000, "remaining_gross_gex_usd": 320000000, "excluded_share_at_strike_pct": 47.54 }
    ]
  }
}

Key Response Fields

Errors

About

Expiry impact answers a narrow question: how much of the current SPY or QQQ gamma concentration sits in one expiry? It sums contract-level gamma exposure (gamma × OI × 100 × spot² × 0.01, calls positive and puts negative) for one captured chain, then recomputes the same totals without the selected expiry. Spot, Greeks and open interest are held fixed, so the difference is a sensitivity of today's distribution, not a forecast of the next session's chain or of dealer hedging after expiry.

Gross exposure sums magnitudes, so an expiry can remove a large share of gross gamma while barely moving net. Shares use gross; the net change and sign show what the convention-signed total does. The sign is a convention, not observed dealer inventory. SPY uses cached Greeks at the current spot; QQQ reprices raw quotes at one anchor, as QQQ GEX does. An expiring contract leaves the model at 16:00 ET and early-close expiries are excluded until their clocks are verified.

Every response carries a snapshot_id fingerprint of its inputs, quote and Greek timestamps, rejected-contract counts and data_status. The source does not record when open interest was published, so oi_as_of is null and the status is partial in normal operation.

Replay the same view at a past minute on historical.flashalpha.com with at= (Alpha). Date-only at resolves to 15:55 ET so same-day Greeks stay defined. See historical trader context.

Common Use Cases

• Size the 0DTE share - how much of today's gross gamma rolls off at the close
• Check OPEX roll-off - compare the monthly expiry's share during OPEX week with an ordinary week
• Find strikes that depend on one expiry - largest_gross_reductions ranks the strikes losing the most gross gamma
• See whether the modeled net sign flips - net_sign_changed shows whether removing the expiry flips the convention-signed total
• Pair with strike dependency - drill into one wall to see which expiries hold it

Related

Research

This endpoint was replayed at the close of every 2022-2025 SPY and QQQ session. Sessions where the expiring expiry held the largest gross share were followed by calmer next sessions, not wilder ones.

• Does expiring gamma move the market? - results and method
• Research pack trader-context-spy-qqq-2022-2025-v2-34105d743fac - data, audit and reproduction (Alpha)

Related reading

• 0DTE gamma exposure and pin risk - why same-day expiries dominate intraday gamma
• Call wall, put wall and gamma flip explained - the levels whose expiry mix this endpoint decomposes

Complementary endpoints

• Strike Dependency - one exact strike's gamma attributed to its expiries
• Term Structure - the same gross shares per expiry in gamma_concentration
• Gamma Exposure (GEX) - strike-level GEX, gamma flip and walls