Hedgewall · Daily
The Closing Tape
NIFTY closed 0.30 percent over its gamma flip, in a positive-gamma regime.
All 3 fell below their opening print, stayed under it into the close, and shut inside ranges no wider than 1.53 percent.
| Max gamma strike + call wall 136.65 pts above | 22,500.00 | |
| CLOSE | 22,363.35 | |
| Put wall 63.35 pts below | 22,300.00 | |
| Gamma flip 66.29 pts below | 22,297.06 |
Opened 22,636.40 and spent the day below it, low to 22,310.80, before closing 22,363.35. It finished between the put wall at 22,300 and the max gamma strike + call wall at 22,500, 136.65 points under the nearer one above. Hedging dampens from here.
- Regime
- POSITIVE GAMMA
- Net GEX
- +10,929 Cr
- ATM IV
- 16.28%
- Expiry
- 1.00 days to 2026-10-13
| Max gamma strike 1,082.00 pts above | 56,000.00 | |
| Call wall 82.00 pts above | 55,000.00 | |
| CLOSE | 54,918.00 | |
| Put wall 418.00 pts below | 54,500.00 | |
| Gamma flip 545.38 pts below | 54,372.62 |
Opened 55,287.45 and spent the day below it, low to 54,715.60, before closing 54,918.00. It finished between the put wall at 54,500 and the call wall at 55,000, 82.00 points under the nearer one above. Hedging dampens from here.
- Regime
- POSITIVE GAMMA
- Net GEX
- +1,038 Cr
- ATM IV
- 16.05%
- Expiry
- 15.00 days to 2026-10-27
| Max gamma strike 575.32 pts above | 72,500.00 | |
| Call wall 75.32 pts above | 72,000.00 | |
| CLOSE | 71,924.68 | |
| Gamma flip 383.67 pts below | 71,541.01 | |
| Put wall 424.68 pts below | 71,500.00 |
Opened 72,790.65 and spent the day below it, low to 71,680.28, before closing 71,924.68. It finished between the gamma flip at 71,541 and the call wall at 72,000, 75.32 points under the nearer one above. Hedging dampens from here.
- Regime
- POSITIVE GAMMA
- Net GEX
- +3,361 Cr
- ATM IV
- 16.81%
- Expiry
- 3.00 days to 2026-10-15
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 1,721 Cr of delta while today’s flow was long 19,976 Cr, 1161 percent of it, the other way.
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SENSEX went into the close short 1,721 Cr of delta. Today's flow was long 19,976 Cr. 1161 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 122 to 124 samples taken between 09:16 and 15:39 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 12 October 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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