Ananke AlphaResearch Note No. 005 — The Gamma Anchor
The levels Nvidia's options desks are hedged into.
Nvidia has the largest single-name options book in the market. Every open contract leaves a market-making desk with a directional exposure it is obligated to neutralize — and it neutralizes in the underlying stock. This note reads the July 6 open-interest snapshot as what it is: a map of the price levels where the desks are mechanically pushed to buy or sell NVDA to stay delta-neutral. Not price targets. The arithmetic of who has to transact, and where.
- The anchor levels — the Call Wall, the Put Wall, and the gamma-flip price between them, with approximate open interest at each
- The hedging gradient — how many shares the complex must trade per point near each strike, and why the sign of dealer gamma matters more than the level
- How desks read the mapversus the retail habit of trading a “call wall” like a prophecy — and why the levels re-draw at every expiry
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Written by a former institutional derivatives trader turned technologist — 11+ years of it, most recently in AI, now building research like software. Every figure is drawn from public options-chain data — arithmetic, not opinion, and never a price target.