Short version of a post on gex.live/research; the full write-up, definitions and reproduce block live there.
Most published dealer-gamma numbers are built from open interest: yesterday's outstanding contracts, multiplied by a convention about who holds which side. Whether the convention is right is a separate question. The prior question is simpler: how much of what trades today was already in that book this morning — and how much of tomorrow's book is being created today? Open interest and volume are enough to answer it, with no assumption about who bought.
Sample: SPX and SPXW, 2022-04-14 to 2026-08-14, 1,081 trading days, every expiry within about a month (0DTE plus the 21 nearest), 8.6 million contract-days, 4.3 million with volume.
Definitions
Per contract (expiry, strike, right) and session D: OI(D) is open interest at the start of D, OI(D+1) at the start of the next session, ΔOI = OI(D+1) − OI(D), vol the day's volume in that contract. |ΔOI| / vol is a lower bound on how one-sided the day's trading in that contract was — 1.0 means every lot opened (or every lot closed), 0 means opens and closes cancelled. Contracts expiring on D have no next-day OI and drop out of the ΔOI statistics; 4.1% of rows (3.8% of volume) show |ΔOI| > vol, which is impossible (OI snapshot timing) and are excluded.
