Every option contract has a buyer and a seller. The exchange publishes how many contracts are open at each strike. It does not publish, strike by strike, who is on which side, and Hedgewall does not claim to know. This page says what we measure, what we assume, and where the numbers stop being reliable.
Hedgewall reads the option chain for each index: the open interest, the traded price and the implied volatility at each strike, for a window of strikes around the current price. It does not read the whole chain.
Open interest is counted in shares, not contracts. A lot is the number of shares one contract covers, and it enters the calculation once, through open interest.
At each strike we compute gamma: how fast an option's delta changes as the price moves. Exposure at a strike is gamma × open interest (in shares) × the spot price squared × 1%. It answers one question: how much does the delta at this strike change, in rupees, for a 1% move in the index? Figures are quoted in ₹ crore (Cr) per 1% move.
Time matters. An option hours from expiry has far more gamma than the same option weeks away, which makes the two hard to compare. So we scale exposure by the square root of the time left, set against a five-day baseline, within fixed bounds. That changes the size of a reading, never its sign.
Gamma itself is positive for every option. To say whether exposure at a strike leans with the price or against it, we have to decide which side of each contract to count. The exchange does not publish who is on which side of the contracts at each strike. Open interest says how many contracts are open. It does not say who is long or short.
The standing reading uses all open interest and signs it by one fixed convention: calls count as positive exposure and puts as negative. That convention is a modelling choice about market structure. It is not an observation of anyone's book.
The today's-flow reading uses only the open interest added or removed today. At each strike, the change in open interest is set against the change in price, which gives four cases: open interest up with price down, up with price up, down with price up, and down with price down. Only strikes that move enough on both are classified, and the class sets the sign of that strike's exposure. This is an inference from public data, and some of it will be wrong.
The two readings can disagree, including on the sign of the day's total. That is not a fault. The whole book and today's activity are different things.
They are not a forecast. Exposure describes how positioning is spread across strikes at a moment. It does not say where the index will go.
They are not a statement about who holds what. Hedgewall does not identify any trader or type of trader.
They are not advice. Hedgewall is not a SEBI-registered investment adviser or research analyst. The Disclaimer page says so in full.
Early in the session little open interest has been added, so the today's-flow reading rests on a thin sample. Treat the first half hour with caution.
Gap days are not detected. When the index opens far from the previous close, a large price change is not the same as trading, and the classification can be misled. Nothing in Hedgewall flags this.
Classification is probabilistic. Activity we classify as one kind may be another.
Only today's changes are classified. Open interest from earlier days appears only in the standing reading, under its fixed convention.
Near an expiry, exposure is dominated by contracts about to expire. Time scaling keeps figures comparable, but they then describe the last hours of a contract, not a standing position.
Every figure is only as current as the market data behind it.
If something here looks wrong to you, say so. Methodology questions are answered within one working day, at connect@hedgewall.in or through the contact page.