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Every name across a broad, liquid universe (the same board on the gamma heatmap) is checked against its own zero-gamma flip and call wall. 70% of the score is breadth — what fraction of that universe sits above its flip, where dealer hedging damps moves. 30% is depth — how much room those names have left before the flip, averaged in expected-move units. That second term is why the index can move even on a day when nothing actually crosses its flip.
No — like the heatmap, it describes the market's likely behavior (trending and extending vs. fading and pinning), not which direction to take. A low score means moves get amplified in either direction, not that the market is about to fall.
CNN's version blends seven inputs, most of them price- and volatility-derived — momentum, breadth, put/call ratio, junk-bond demand. None of them look at what options dealers are actually positioned to do next. This is one input, measured directly, not blended with anything else.
The index tells you the market's regime. The heatmap shows you which names are driving it, and the daily SPY gamma drop turns it into a scenario-by-scenario plan.
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