Returns the Gamma-Theta Breakeven Range for the specified symbol. GTBR quantifies how far spot must move (in percentage terms) for dealer gamma P&L to offset theta decay. It provides a rebalancing urgency score and amplification estimate.
Parameters
Path Parameters
Name
Type
Required
Description
symbol
string
Required
Underlying symbol. One of: SPX, SPY, QQQ, IWM, NDX, RUT.
Response
The response data object contains:
gtbr_daily_pctnumberDaily breakeven range as a percentage of spot. The move required to offset one day of theta.
gtbr_hourly_pctnumberHourly breakeven range as a percentage of spot
gtbr_15min_pctnumber15-minute breakeven range as a percentage of spot
rebalancing_urgencynumberScore from 0.0 to 1.0 indicating how urgently dealers need to rebalance. Higher values mean theta is eroding gamma P&L faster.
amplification_estimatenumberEstimated amplification of hedging flow when the breakeven range is breached
descriptionstringHuman-readable summary of the GTBR analysis
Note
GTBR is most useful as a volatility filter. When the daily breakeven range is narrow (below 0.3%), dealers must rebalance frequently and any directional move is likely to be amplified. Wide breakeven ranges suggest dealers can absorb moves without rebalancing.
curl -X GET "https://api.gexengine.com/v1/gtbr/SPX" \
-H "X-API-Key: YOUR_API_KEY"