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 1.77 percent.
| Max gamma strike + call wall 278.05 pts above | 22,700.00 | |
| CLOSE | 22,421.95 | |
| Gamma flip 79.90 pts below | 22,342.05 | |
| Put wall 121.95 pts below | 22,300.00 |
Opened 22,545.10 and spent the day below it, low to 22,225.40, before closing 22,421.95. It finished between the gamma flip at 22,342 and the max gamma strike + call wall at 22,700, 278.05 points under the nearer one above. Hedging dampens from here.
- Regime
- POSITIVE GAMMA
- Net GEX
- +9,382 Cr
- ATM IV
- 12.04%
- Expiry
- 5.00 days to 2026-10-06
| Max gamma strike + call wall 1,549.25 pts above | 56,000.00 | |
| CLOSE | 54,450.75 | |
| Put wall 450.75 pts below | 54,000.00 | |
| Gamma flip 489.05 pts below | 53,961.70 |
Opened 54,797.75 and spent the day below it, low to 54,099.80, before closing 54,450.75. It finished between the put wall at 54,000 and the max gamma strike + call wall at 56,000, 1,549.25 points under the nearer one above. Hedging dampens from here.
- Regime
- POSITIVE GAMMA
- Net GEX
- +381 Cr
- ATM IV
- 15.77%
- Expiry
- 26.00 days to 2026-10-27
| Call wall 90.30 pts above | 72,000.00 | |
| Gamma flip 2.28 pts above | 71,911.98 | |
| CLOSE | 71,909.70 | |
| Max gamma strike + put wall 9.70 pts below | 71,900.00 |
Opened 72,438.53 and spent the day below it, low to 71,319.84, before closing 71,909.70. It finished between the max gamma strike + put wall at 71,900 and the gamma flip at 71,912, 2.28 points under the nearer one above. Hedging amplifies from here.
- Regime
- NEGATIVE GAMMA
- Net GEX
- −5,719 Cr
- ATM IV
- 4.90%
- 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 NIFTY pair in Flows. The standing book is short 10,755 Cr of delta while today’s flow was long 41,699 Cr, 388 percent of it, the other way.
The card posts with it. Long press to save the image, or use the button and X will attach it from the link.
NIFTY went into the close short 10,755 Cr of delta. Today's flow was long 41,699 Cr. 388 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 137 to 142 samples taken between 09:16 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 1 October 2026. Nothing in it is a recommendation to buy, sell or hold any security, and Hedgewall is not a registered investment adviser.
Unsubscribe from the daily briefOne tap. Every email carries the same button, and that one takes effect with no sign-in at all.
HEDGEWALL
connect@hedgewall.in