Gamma exposure (GEX): estimated dealer gamma by strike

Gamma exposure estimates how much option dealers would have to hedge as the index moves. Positive gamma tends to damp moves; negative gamma tends to amplify them. This chart maps where that pressure may sit.

What it is
A bar chart estimating dealer gamma at each strike in rupees per 1% index move, with the flip level.
Data it uses
NSE option chain: open interest, today's buildup and implied volatility per strike; spot; the lot size. Gamma is computed with Black-Scholes. An estimate.
Covers
NIFTY, BANKNIFTY, FINNIFTY, MIDCPNIFTY and NIFTY NEXT 50
Updates
Through the session as NSE's data arrives (15 minutes delayed); past sessions can be opened, and today can be replayed minute by minute
EzyOptions Pulse Gamma exposure chart for NIFTY
Gamma exposure in EzyOptions Pulse, shown on sample data. In the app it reads NSE's F&O data.
In the app
  • Session
  • Expiry
  • Strikes
  • Unit
  • Replay
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What the chart shows

  • Stacked bars by strike, call gamma in blue and put gamma in orange, with net gamma as a thin line. Spot is dashed, and the flip level is marked when it is in view.
  • Cards: net GEX, the regime (damping or amplifying), the flip level, and the most positive and most negative strikes.
  • Switch the unit between ₹ crore and lots per 1% move. Under More detail: a table and a trend through the session every 5, 15 or 30 minutes.

How it is worked out

GEX at a strike = gamma × dealer contracts × lot size × spot² × 1%: the rupee change in delta hedging for a 1% index move. Gamma is recomputed with Black-Scholes from each leg's own IV. The flip level is where total GEX changes sign, searched within ±5% of spot.

How to read it

Positive net gamma suggests dealer hedging sells rallies and buys dips, damping moves. Negative suggests the reverse. The flip level is where the regime would change.

Controls

  • Session: today, or a stored past session
  • Expiry: one at a time
  • Strikes: around the money, or a custom range
  • Unit: ₹ crore or lots
  • Replay: any minute of today's session

Keep in mind

This is an estimate (marked EST on the page), not positioning anyone has reported. It assumes dealers are long the calls the public sells and short the puts the public buys, adjusted by today's buildup. The split is a guess, and any strike can be wrong.

Gamma exposure questions

What is gamma exposure?

An estimate of how much option dealers' hedging would change for a 1% move in the index, added up strike by strike.

What is the GEX flip level?

The index level where estimated net gamma changes from positive to negative. Above it hedging tends to damp moves; below it, to amplify them.

Is GEX a fact about the market?

No. NSE does not publish who holds which side. GEX rests on an assumption about dealer positions, which the page states.

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Related tools and guides

Delta exposure

Estimated dealer delta at every strike, today's change, and the futures hedge it implies, in ₹ crore or lots, on the same dealer model as GEX.

OI by Strike

Call and put open interest at every strike, with call and put walls, max pain and spot marked. Sum several expiries, show today's change, and replay the session.

Expected move

The index range options are priced for, from the ATM straddle and from implied volatility, for the next six expiries, scored against how far the index actually moved.

All Pulse charts

Every chart in Pulse with a screenshot and what it tells you.

Educational analytics only: not investment advice. You are responsible for your own trading decisions.