Hedgewall · Daily
The Closing Tape
SENSEX sat on its gamma flip, in a negative-gamma regime.
All 3 fell below their opening print, stayed under it into the close, and shut inside ranges no wider than 0.98 percent.
| Call wall 136.90 pts above | 23,200.00 | |
| CLOSE | 23,063.10 | |
| Gamma flip 40.88 pts below | 23,022.22 | |
| Max gamma strike + put wall 63.10 pts below | 23,000.00 |
Opened 23,267.60 and spent the day below it, low to 23,054.45, before closing 23,063.10. It finished between the gamma flip at 23,022 and the call wall at 23,200, 136.90 points under the nearer one above. Hedging dampens from here.
- Regime
- POSITIVE GAMMA
- Net GEX
- +3,11,811 Cr
- ATM IV
- 11.75%
- Expiry
- 5.00 days to 2026-09-29
| Call wall 561.50 pts above | 56,000.00 | |
| CLOSE | 55,438.50 | |
| Gamma flip 92.19 pts below | 55,346.31 | |
| Max gamma strike + put wall 438.50 pts below | 55,000.00 |
Opened 55,840.05 and spent the day below it, low to 55,366.40, before closing 55,438.50. It finished between the gamma flip at 55,346 and the call wall at 56,000, 561.50 points under the nearer one above. Hedging dampens from here.
- Regime
- POSITIVE GAMMA
- Net GEX
- +14,549 Cr
- ATM IV
- 14.73%
- Expiry
- 5.00 days to 2026-09-29
| Call wall 19.46 pts above | 73,600.00 | |
| Gamma flip 1.24 pts above | 73,581.78 | |
| CLOSE | 73,580.54 | |
| Max gamma strike + put wall 80.54 pts below | 73,500.00 |
Opened 74,266.92 and spent the day below it, low to 73,576.72, before closing 73,580.54. It finished between the max gamma strike + put wall at 73,500 and the gamma flip at 73,582, 1.24 points under the nearer one above. Hedging amplifies from here.
- Regime
- NEGATIVE GAMMA
- Net GEX
- −2,922 Cr
- ATM IV
- 4.66%
- Expiry
- expired today
Calls to the right in gold, puts to the left in violet, all three on one shared scale. Net is what survives when they cancel.
The first bar is every open contract that exists. The second is only what changed today. Opposite directions mean today pushed against the position rather than adding to it.
Look at the SENSEX pair in Flows. The standing book is short 2,83,297 Cr of delta while today’s flow was long 16,89,419 Cr, 596 percent of it, the other way.
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SENSEX went into the close short 2,83,297 Cr of delta. Today's flow was long 16,89,419 Cr. 596 percent of the standing position, pointing the other way.
- Call wall heaviest call open interest above spot
- Put wall heaviest put open interest below spot
- Gamma levels max gamma strike, zero gamma, the flip
- Close where it actually finished
Open, high and low mean the first, highest and lowest of 179 to 181 samples taken between 09:15 and 15:40 IST, not the exchange’s official prints, and the close is the last price we sampled rather than the settlement price. GEX is normalised to five days and compares across days for one index, never between indices. Volume reads zero at every strike after the close, so no volume figure appears above.
Same time tomorrow.
This is a description, not advice. It reports what the options book measured at the close on 24 September 2026. Nothing in it is a recommendation to buy, sell or hold any security, and Hedgewall is not a registered investment adviser.
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