State Street SPDR MSCI USA Climate Paris Aligned ETF (NZUS) Gamma Exposure (GEX) & Greeks

Gamma exposure (GEX) analysis shows how options positioning creates dealer hedging pressure across strikes. Includes delta, vanna, charm, vomma, and vega exposure by strike price.

State Street SPDR MSCI USA Climate Paris Aligned ETF (NZUS) operates in the Financial Services sector, specifically the Asset Management industry, with a market capitalization near $3.0M, listed on NASDAQ, carrying a beta of 1.10 to the broader market. NZUS seeks to provide investment results that, before fees and expenses, correspond generally to the MSCI USA Climate Paris Aligned Index (“the Index”)Seeks to track an index designed to reduce exposure to the physical and transition risks of climate change and increase target exposure to sustainable investment opportunities by incorporating the recommendations of the Taskforce on Climate Related Financial Disclosures (TCFD) and minimum requirements of the EU Paris Aligned BenchmarkMay be considered by investors seeking to implement net-zero strategies and address climate change in a holistic way public since 2022-04-18.

Snapshot as of May 22, 2026.

Spot Price

$38.28

Net Gamma

$0

Net Delta

$0

Net Vega

$0

As of May 22, 2026, State Street SPDR MSCI USA Climate Paris Aligned ETF (NZUS) has positive net gamma exposure of $0 under the standard dealer-hedging convention. Net delta exposure is $0. Positive GEX means dealers are net long gamma: they buy into dips and sell into rallies, damping realized volatility and often causing price to pin near heavy open-interest strikes.

NZUS Strategy Sizing in the Current GEX Regime

State Street SPDR MSCI USA Climate Paris Aligned ETF is in a positive dealer-gamma regime ($0). Net dealer delta of $0 sets the size of the directional hedging flow that fires as spot moves. In this regime, mean-reverting strategies fit the regime: credit spreads, iron condors, covered calls near established ranges. Realized volatility tends to undershoot implied during positive-gamma stretches, supporting the short-vol structures. The gamma-flip level - the spot price at which net dealer gamma changes sign - is the most actionable anchor for sizing: through-flip moves trigger qualitatively different hedging behavior than within-regime moves, so risk-defined structures sized to the current spot may not stay sized correctly if a flip is near.

Reading the NZUS gamma exposure profile

The per-strike GEX bars above show where dealer hedging will fire as spot moves through each strike. Net dealer gamma is positive at $0, so as spot moves dealers sell rallies and buy dips, mechanically dampening realized volatility. Net dealer delta of $0 sets the size of the directional hedging flow that fires as spot moves: a 1% move in NZUS triggers approximately $0 of dollar hedging. Net vega of $0 measures how dealer P&L scales with implied-volatility shifts - a 1-point IV move shifts dealer book value by approximately that amount per vol point.

NZUS GEX regime and trading style

In the current positive-gamma regime, State Street SPDR MSCI USA Climate Paris Aligned ETF realized volatility tends to undershoot implied, supporting short-vol structures: credit spreads near established ranges, covered calls, iron condors with wings just outside the dealer-supported band. Risk: a regime flip into negative gamma typically arrives with a spot drop through a gamma-flip strike, after which the same structures get hit by accelerating moves. The current expected move of 8.03% is the anchor for sizing wings - structures with wings at ±1σ collect ~68% probability of staying inside the band.

How dealer hedging on NZUS feeds spot tape

Dealer hedging is mechanical, not opinionated - the flow is the inverse of options buyer/seller positioning. Long-gamma dealers sell into rallies and buy into dips, narrowing intraday ranges. That is the mechanism behind the "pin to max pain" pattern. The gamma-flip strike is the most actionable single number on this page: cross it and the entire hedging regime inverts. Through-flip moves typically come with regime-change in realized volatility, not just direction.

Practical caveats for trading NZUS GEX

Dealer-gamma exposure is a model output, not a measured quantity. The figures here use the standard assumption that customers buy options and dealers are short the inventory, hedged delta-neutral. Reality has more texture: dealers occasionally net long inventory after option-overwriter ETF flows or systematic vol-target strategy rolls, in which case the sign of the regime inverts from what the GEX page implies. Cross-check with the IV-rank context on the volatility page: high-IV-rank regimes tend to coincide with negative gamma even when the headline number prints positive, because realized vol is already running hot enough to make hedging flows reactive rather than damping. When the implied move sits above 4% (8.03% here), the entire gamma profile compresses into the near-expiration tenors and the longer-dated GEX number becomes less actionable. Treat the gamma sign as a probability tilt, not a deterministic prediction.

Learn how gamma exposure is reported and how to read the data →