Zero gamma, call wall and put wall

On 10 Jun 2026, under convention A, the total gamma exposure of the Nifty chain changed sign a little below the index. A reel would call that the zero gamma level: above it dealers steady the market, below it they amplify the move. On the same chain, convention C with FII as the dealers put the same line nearly four hundred points above the index, and convention B put it nowhere, because the total never crossed zero. Beside it sat a call wall at 23,500 and a put wall at 23,000. This lesson shows how each is found, why each moves, and what five dated chains say about whether a wall held. A line that depends on an assumed sign is a feature of the model. It is not a level in the market.

The idea, plainly

Zero gamma, found by repricing

Module A19 gave the total at today's index level. Zero gamma asks where the total would change sign at other levels. To find it, move the index across a grid, a few per cent each side. At each level, reprice every leg with the volatility of its own strike held fixed, and let the forward move in proportion. Add the signed lines. Where the sum goes from negative to positive, interpolate between the two grid points. The result is the zero gamma level, if the sum ever crosses. Because the sum is a small remainder of two large numbers, as module A19 showed, the crossing is sensitive: a small change in any input moves it.

What the textbook reading needs

Under convention A the usual story is this. Above zero gamma the hedgers are long gamma, so they sell rallies and buy dips, and moves are damped. Below it they are short gamma, so they buy rallies and sell dips, and moves are amplified. The story needs three things to be true together. The sign must be right. The hedgers must hedge with the index or its future, and do it through the day. And their flows must be large next to every other flow in the market. A public file checks none of the three.

Walls: two definitions

A gamma call wall is the strike at or above the index with the largest call gamma exposure. A gamma put wall is the strike at or below the index with the largest put gamma exposure. An open interest wall is just the strike with the most open interest. They are not the same thing. Gamma is highest near the money, so a gamma wall sits close to the index. Open interest piles up far out of the money, where options are cheap, so an open interest wall can sit thousands of points away. The two lists answer different questions. Open interest says where the most contracts sit. Gamma, with an assumed sign, says where hedging would change fastest. Do not use one word for both.

Why the lines move

• The sign. The convention decides whether a zero gamma exists and, if it does, where.
• The date and the expiries. Open interest rolls and expiries drop out, and the nearest expiry carries most of the gamma.
• Volatility. A level of the index that suits one volatility surface does not suit another.
• The grid and the floor. The range of the grid and the minimum time on an expiring option change the profile.

Worked example: the profile and the lines, 10 Jun 2026

First the profile under convention A. Each bar is the total gamma exposure of the 16 Jun and 30 Jun series with the index at that level, with the index 23,214.95 at the close.

The sum is negative at the lower levels, positive at the close, and larger still above it. It crosses zero a little below the index. That crossing is the zero gamma level under convention A. Now the same line under every convention.

One day before expiry

The picture changes with the days left. On 29 Jun 2026 the 30 Jun contract had 1 day left. Under convention A the total of that chain was about ten times the total of 10 Jun, because the gamma of an at the money option grows as time shrinks. The zero gamma level and both walls sat within a fraction of a per cent of the index. A line drawn from the week of an expiry says more about the expiry than about the market.

Walls by gamma and by open interest

Take the walls of 10 Jun 2026. The gamma call wall was the 23,500 strike, and the gamma put wall the 23,000 strike. Open interest tells another story. In the 30 Jun series the largest call open interest was at 25,000, with 84,09,815 units, and the largest put open interest at 23,000, with 52,22,840 units. In the 16 Jun weekly the largest call open interest was at 24,000, with 73,57,285 units, and the largest put open interest at 21,200, with 86,34,470 units.

Did a wall hold? Five dated looks

Take five dated chains. For each, find the gamma call wall under convention A. Then see how many sessions it took for Nifty to close above it. The look runs five sessions ahead. The dates are 10 Jun, 16 Jun and 29 Jun 2026, and 1 Feb and 2 Feb 2026.

What a real test would look like

Compare, across many expiries, the range of the next day on days with a positive total and on days with a negative total. Compare wall strikes with ordinary strikes at the same distance from the index. Control for volatility and for the day of the week. Publish the counts both ways, and say how many looks are independent. That needs a long history of chains, which seven example dates are not.

The GEX lab below draws the profile for any of its chains. Switch the convention and watch the line jump or disappear.

The common mistake

The claim: The call wall is resistance, the put wall is support, and zero gamma is the line between a calm market and a wild one. The five dated chains do not back it. The call wall was crossed within two sessions every time. Under convention A zero gamma sat within half a per cent of the index on all five dates, and on 10 Jun 2026 it moved by hundreds of points, or disappeared, under other conventions. An open interest wall and a gamma wall can be thousands of points apart. And none of the three uses a measured position. They are lines drawn by a model with an assumed sign. Quote the convention and the date, and leave out the word level.

Key takeaways

• Zero gamma is where the repriced total changes sign, if it ever does.
• Under convention B there is no zero gamma, since the total never crosses.
• The level moved by hundreds of points across readings of one chain.
• Gamma walls sit within a per cent of the index, open interest walls far away.
• Nifty closed above the call wall within two sessions on five dated chains.
• These lines come from a model with an assumed sign, not from positions.

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