---
title: "Option Gamma Explained on Nifty Weekly Expiry Data"
description: "Gamma on dated NSE Nifty chains: delta change per point and per lot, why gamma peaks at the money near expiry, and why it is paid for with theta."
source_url: "https://www.rupeecase.com/learn/path-14/module-14-11-gamma"
---

[Path 14 11 of 17](/learn/path-14/)Gamma: why it grows so fast near expiry[Next 14.12](/learn/path-14/module-14-12-vega)

On Monday 29 Jun 2026, one day before the monthly expiry, Nifty closed at 23,946.25 and its future at 23,972.90. The 23,950 call cost Rs 87.65 a unit and had a delta of 0.55. Its [gamma](/learn/glossary#gamma) was 0.00209. That means each point the index climbs adds 0.00209 to the delta, so after 50 points the delta is about 0.65. On Wednesday 10 Jun 2026 the at the money call with 48 days left had a gamma of 0.00032. The one day option reacts 6.6 times as sharply. I read gamma before I read delta on any short dated option, because it tells me how long today's delta will stay true.

3By the end you can

1. Read gamma as the delta added per index point, and per lot.
2. Explain why at the money gamma rises as expiry nears.
3. Work out the daily move at which gamma pays for theta.

Watch in the terminal: why do the hero, key figure and XIRR differ? A short tutorial on sample data.

## The idea, plainly

Module [F21](/learn/path-14/module-14-7-delta) called delta a speedometer. Gamma is the acceleration: how much delta changes for one point of the index. It is a slope of a slope. A gamma of 0.00209 looks tiny, so I read it two ways. Per lot of 65 units it is 0.136 units of the future for every point. Over a move of 50 points it is the delta added: 0.10. The other Greeks sit beside it: theta is time, vega is volatility (module [I10](/learn/path-14/module-14-12-vega)) and rho is the interest rate (module [I11](/learn/path-14/module-14-13-rho)).

### The formula, and why it peaks at the money

DF is the small interest discount factor, phi the bell curve at d1 (module F21), F the future, s the implied volatility and T the years to expiry.

Gamma = DF * phi(d1)
/ (F * s * sqrt(T))

Two parts matter. As T shrinks, sqrt(T) at the bottom shrinks and gamma grows. And phi on top is largest when d1 is near zero, the strike nearest the future. So gamma peaks at the money and rises as expiry nears.

### Why the hump narrows

With little time left, the market is nearly sure which side of the strike the index will finish, except in a narrow band around it. Inside that band delta swings from near 0 to near 1, so it changes fast. With weeks left the band is wide and delta changes slowly.

Gamma is a hump at the strike, and it grows taller and narrower as expiry nears

Black 76 gamma of the 23,250 call at the volatility of the 10 Jun 2026 weekly chain. With 20 days left the hump is low and wide. With one day left, a few points either side of the strike take it from near zero to its peak. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

### The rupees: half gamma times the move squared

Delta alone treats an option as a straight line. Gamma adds the curve. For a move of x points the extra rupees per unit, on top of delta times x, are:

Gain = gamma * move
* move / 2

Because the move is squared, doubling it quadruples the gain. A lot with one day left gains about Rs 169 from a 50 point move and Rs 678 from a move of 100 points.

### Long gamma and short gamma

The buyer of an option is long gamma: positive. The seller is short gamma: negative, and the same curve works against the seller. A long straddle, a call and a put together, has almost no delta at the start, so what shows in the grid is gamma. A move either way helps the buyer, and theta is what the help costs.

A long straddle gains on a move either way, and gains faster the further it goes

| Index move | Same moment, rupees per lot |
| --- | --- |
| IV same |
| −1% | +5,523 |
| −0.5% | +1,119 |
| 0% | +0 |
| +0.5% | +2,517 |
| +1% | +7,876 |

Green is profit and red is loss; deeper colour means a larger amount. The outlined cell is the starting point.

One lot of the 23,950 call and put bought together, repriced the moment the index moves, with volatility unchanged and no day passing. The straddle cost Rs 158.80 a unit. Delta nearly cancels across the two legs, so most of what shows is gamma. Source: NSE end of day data, computed by RupeeCase. As of 29 Jun 2026.
3 terms this section turns on

From the module glossary; every term is in the Learn glossary too. Source: Module 14.11, Gamma: why it grows so fast near expiry.

## Worked example: what one day left does to gamma, 10 and 29 Jun 2026

Four at the money calls, four distances to expiry. At the money means nearest the future for the monthly expiries and nearest the parity forward for the weekly. Gamma is from Black 76 at each strike's own implied volatility. Gamma is per point. Delta added is for a move of 50 points, and the gain column uses the half gamma rule for that move, before any theta. Gain and theta, a day, are for one lot of 65 units.

| Days left | Gamma | Delta added | Gain, 1 lot | Theta, 1 lot |
| --- | --- | --- | --- | --- |
| 48 | 0.00032 | 0.02 | Rs 26 | Rs 331 |
| 20 | 0.00048 | 0.02 | Rs 39 | Rs 528 |
| 6 | 0.00091 | 0.05 | Rs 74 | Rs 939 |
| 1 | 0.00209 | 0.10 | Rs 169 | Rs 2,440 |

### Gamma against theta

The gamma column rises 6.6 times from 48 days to one day. The square root of 48 is about 7, so gamma follows the square root rule closely. Now read the last column beside the one before it. Gamma is not free. The same shrinking time that builds gamma also builds theta, the daily price of holding it (module [F22](/learn/path-14/module-14-8-theta-time-decay)). Set the two equal and you can solve for the move at which gamma pays for one day of theta. It comes to the index level times the implied volatility, divided by 19.1 (the square root of 365), which is one day of implied movement. For the one day option that is about 190 points. For the 48 day option it is about 180. A buyer needs the index to move more than the market priced for the day, or gamma does not cover its cost.

Watch in the terminal: how bumpy was the ride? A short tutorial on sample data.

### Reading gamma off the chain

The NSE option chain shows prices, open interest and implied volatility, but no gamma column. You work it out from the formula with the strike's own implied volatility, or let the Greeks calculator do it. A call and a put at one strike and volatility have the same gamma. On this chain each side's price implies its own volatility, so the 23,950 put shows a gamma of 0.00192 against 0.00209 for the call.

Read one more paragraph, 46 words
The straddle on that chain cost Rs 158.80. Its one standard deviation move for the day was about 199 points, or 0.83% of the index. The two readings agree because they are one idea seen twice. Module [I08](/learn/path-15/module-15-7-expected-move) builds the expected move from the straddle.

### What short gamma looks like to a seller

A seller collects theta and pays out gamma. When the index runs, the loss does not grow in a straight line: each extra point costs more than the one before. SEBI treats the last day of an expiry as a time of special risk. Since 20 Nov 2024 a short index option that expires that day carries an extra 2% of extreme loss margin on top of the normal margin. Module [F05](/learn/path-12/module-12-5-fo-margins-explained) shows the stack. Nifty is the only index with weekly options at NSE (NSE circular FAOP64506 of 10 Oct 2024), so the one day picture comes round every Tuesday, not once a month. Traders who want zero delta can add futures to cancel it, a delta hedge, but that leaves the gamma in place. Neutral on delta is not neutral on gamma (module [I12](/learn/path-14/module-14-14-position-greeks) adds the legs of a whole position).

## The common mistake

The claim: On expiry day gamma is at its peak, so a cheap far option can multiply many times in minutes. The 24,150 call cost Rs 22.65 a unit. To make a rupee it needed the index above 24,172.65 at settlement, which was the index close for expiries before 7 Dec 2026, 226 points or 0.95% above the close, against a straddle that priced one standard deviation at 0.83%. Nifty closed at 23,865.75 on 30 Jun, 81 points lower, and the call expired at nothing. Gamma pays only when the index travels, as from 10 to 16 Jun, when the 23,250 weekly call went from Rs 163.60 to Rs 739.15. The seller collected the first number and paid the second. For the buyer such a payoff is a lottery ticket: rare big wins, many small losses. [What is a gamma blast?](/learn/questions/what-is-gamma) has its own page.

Two terms to hold on to from 14.11

From the module glossary. Source: Module 14.11, Gamma: why it grows so fast near expiry.
One day before expiry, calls above the money cost little: Rs 22.65 at 24,150

| Calls | Strike | Puts |
| --- | --- | --- |
| Settle | Settle |
| 279.20 | 23,700 | 11.25 |
| 234.25 | 23,750 | 16.20 |
| 192.35 | 23,800 | 24.25 |
| 152.00 | 23,850 | 35.25 |
| 117.90 | 23,900 | 50.35 |
| Spot 23,946.25 |
| 87.65 | 23,950ATM | 71.15 |
| 64.30 | 24,000 | 96.45 |
| 45.55 | 24,050 | 128.45 |
| 32.35 | 24,100 | 164.40 |
| 22.65 | 24,150 | 206.10 |
| 15.85 | 24,200 | 247.95 |

Shaded cells are in the money. Prices are settlement prices in rupees per unit.

Settlement prices on 29 Jun 2026 for the 30 Jun expiry, the nearest strike to the future marked ATM. The 24,150 call has a delta of 0.20. Prices are rupees per unit. Source: NSE end of day data, computed by RupeeCase. As of 29 Jun 2026.
Nifty closed below the 24,150 strike every day, so the cheap call paid nothing

Nifty 50 daily closes from 16 Jun to 30 Jun 2026. The line marks the strike of the call bought on 29 Jun at Rs 22.65. The expiry close of 23,865.75 sat below it. Source: NSE end of day data, computed by RupeeCase. As of 30 Jun 2026.

## Key takeaways

* Gamma is the change in delta for one point of the index.
* At the money gamma rises roughly with one over the square root of time.
* With one day left, gamma was 6.6 times that of 48 days left.
* The buyer is long gamma and the seller is short gamma.
* Gamma costs theta, so the move must beat a day's implied move.
* A cheap far option needs a large move before gamma matters.

Where this section sits in module 14.11

Sections 1 to 4 of 4; the highlighted one is next. Source: Module 14.11, Gamma: why it grows so fast near expiry.
**Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html)

What does Gamma: why it grows so fast near expiry cover?Gamma is how fast delta changes. It is small with weeks left and large with a day left, and it is paid for in theta. It works through The idea, plainly, Worked example: what one day left does to gamma, 10 and 29 Jun 2026, The common mistake, Key takeaways. It is module 14.11 of Path 14, Options and Greeks, about 8 minutes of reading, free.

TTry it

## Greeks calculator, on the same example.
Delta to rho, and vanna to colour in expert mode, from one Black 76 engine. Dated NSE end of day data, nothing live, no orders.

**Greeks calculator**, Nifty, 29 Jun 2026, 30 Jun 2026 expiry.

[Open the greeks calculator](/learn/tools/greeks-calculator?chain=NIFTY_2026-06-29_2026-06-30)

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F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet.

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  [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging)

QQuick check

## 10 questions, 7 to pass.
Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 14 certificate.

7 of 10 correct passes module 14.11

Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass).

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###

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CCheck yourself

## Path 14 so far.
Your quick check results on this device, stop by stop.

Stop 11 of 17 on Path 14

Options and Greeks: every live stop, this module ringed. Source: RupeeCase Learn, Path 14.

1. [14.1The call option, told as a storyNot yet](/learn/path-14/module-14-1-call-option-explained)
2. [14.2The put option, told as a storyNot yet](/learn/path-14/module-14-2-put-option-explained)
3. [14.3Buyer or seller: payoffs, margin, win rate and expectancyNot yet](/learn/path-14/module-14-3-option-buyer-vs-seller)
4. [14.4Moneyness, intrinsic value and time valueNot yet](/learn/path-14/module-14-4-moneyness-intrinsic-and-time-value)
5. [14.5Five things that move an option's priceNot yet](/learn/path-14/module-14-5-what-moves-an-option-price)
6. [14.6Expiry and settlement: cash, physical, exercise and STTNot yet](/learn/path-14/module-14-6-expiry-and-settlement)
7. [14.7Delta: speed, hedge ratio and the probability shortcutNot yet](/learn/path-14/module-14-7-delta)
8. [14.8Theta: the time decay curve into expiryNot yet](/learn/path-14/module-14-8-theta-time-decay)
9. [14.9From a binomial tree to Black Scholes and Black 76Not yet](/learn/path-14/module-14-9-binomial-tree-to-black-76)
10. [14.10Put call parity and synthetic positionsNot yet](/learn/path-14/module-14-10-put-call-parity)
11. [14.11Gamma: why it grows so fast near expiryNot yet](/learn/path-14/module-14-11-gamma#quiz)
12. [14.12Vega: volatility exposure across weekly and monthly expiriesNot yet](/learn/path-14/module-14-12-vega)
13. [14.13Rho and interest rates in Indian optionsNot yet](/learn/path-14/module-14-13-rho)
14. [14.14Position Greeks for multi leg strategiesNot yet](/learn/path-14/module-14-14-position-greeks)
15. [14.15Dynamic delta hedging and the P&L identityNot yet](/learn/path-14/module-14-15-delta-hedging)
16. [14.16Gamma scalpingNot yet](/learn/path-14/module-14-16-gamma-scalping)
17. [14.17Second order Greeks: vanna, volga, charm, speed and colourNot yet](/learn/path-14/module-14-17-second-order-greeks)
18. [TPath test, 30 questionsNot yet](/learn/path-14/module-14-17-second-order-greeks#pathTestSection)

Path 14 in reading time: 149 minutes over 17 modules

Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 14.

    Explore next

## Put the module to work.

* [Free module 17.12Expiry day: gamma, theta, settlement and the rules10 min read](/learn/path-17/module-17-12-expiry-day)
* [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder)
* [Free module 14.7Delta: speed, hedge ratio and the probability shortcut8 min read](/learn/path-14/module-14-7-delta)
* [Free module 14.8Theta: the time decay curve into expiry7 min read](/learn/path-14/module-14-8-theta-time-decay)
* [Free module 14.12Vega: volatility exposure across weekly and monthly expiries9 min read](/learn/path-14/module-14-12-vega)
* [Free module 14.16Gamma scalping10 min read](/learn/path-14/module-14-16-gamma-scalping)

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SSources

## Go to the source.
7 sources, NSE the most cited

The publisher of each source listed below. Source: Module 14.11 source list.
1. [NSE, equity derivatives contract specifications (European exercise, lot sizes, expiry days)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
2. [NSE circular FAOP64506 of 10 Oct 2024, weekly index options only on Nifty (PDF)](https://nsearchives.nseindia.com/content/circulars/FAOP64506.pdf) NSE
3. [SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2024/132 of 1 Oct 2024, measures to strengthen the equity index derivatives framework (extra 2% ELM on short options on expiry day, from 20 Nov 2024)](https://www.sebi.gov.in/legal/circulars/oct-2024/measures-to-strengthen-equity-index-derivatives-framework-for-increased-investor-protection-and-market-stability_87208.html) SEBI
4. [SEBI Investor, Understanding derivatives](https://investor.sebi.gov.in/understanding_derivatives.html) SEBI
5. [NISM, Series VIII Equity Derivatives certification examination: test objectives](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM
6. [Black, F. (1976), The pricing of commodity contracts, Journal of Financial Economics](https://ideas.repec.org/a/eee/jfinec/v3y1976i1-2p167-179.html) Paper
7. Hull, J., Options, Futures, and Other Derivatives, Pearson (the Greek letters) Book

GTerms

## 4 terms from this module.
[Gamma](/learn/glossary#gamma)The change in an option's delta for a one point change in the index. It is the slope of the delta line and is the same for a call and a put at one strike.
Long gammaA position that gains when the index moves a long way either side, such as a bought call, a bought put or a bought straddle. It pays theta for that.
Short gammaA position that loses when the index moves a long way, because its delta moves against it. Sold options are short gamma, and they collect theta.
ConvexityThe curve in an option's value against the index. Gamma is the measure of that curve at one point.
[All 230 terms in the glossary](/learn/glossary)

[Question people askWhat is gamma, and what is a "gamma blast"?A short answer with a dated chart](/learn/questions/what-is-gamma)[Question people askWhat are option Greeks (Greeks kya hai)?A short answer with a dated chart](/learn/questions/what-are-option-greeks)[Related module14.7 Delta: speed, hedge ratio and the probability shortcut8 min, Beginner](/learn/path-14/module-14-7-delta)[Related module14.8 Theta: the time decay curve into expiry7 min, Beginner](/learn/path-14/module-14-8-theta-time-decay)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives)

Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.