---
title: "Zero gamma, call wall and put wall for Nifty, tested"
description: "How zero gamma, the call wall and the put wall are found on a dated Nifty chain, why they move with the sign convention, and what five dated chains show."
source_url: "https://www.rupeecase.com/learn/path-15/module-15-10-zero-gamma-and-walls"
---

[Path 15 10 of 13](/learn/path-15/)Zero gamma, call wall and put wall[Next 15.11](/learn/path-15/module-15-11-pinning-and-max-oi-strikes)

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.

3By the end you can

1. Find the zero gamma level by repricing a chain across index levels and interpolating.
2. Tell a gamma wall from an open interest wall, and say why they sit far apart.
3. Read a dated test of walls, counting the looks and the overlap before drawing a view.

Watch in the terminal: what is the strategy compared with? A short tutorial on sample data.

## The idea, plainly

### Zero gamma, found by repricing

[Module A19](/learn/path-15/module-15-9-gamma-exposure-gex) 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](/learn/path-15/module-15-9-gamma-exposure-gex) showed, the crossing is sensitive: a small change in any input moves it.

The maths: the crossing
If the total is G1 at index level S1 and G2 at S2, with the sign changing between them, the crossing is found by a straight line between the two points.

Zero gamma
= S1 + (0 − G1)
x (S2 − S1) / (G2 − G1)

Holding each strike's volatility fixed is the sticky strike assumption. In a real market volatility moves with the index, so a repriced profile is a picture, not a forecast. Under a convention where every line has one sign, the profile never changes sign, so no crossing exists.

### 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.

3 terms this section turns on

From the module glossary; every term is in the Learn glossary too. Source: Module 15.10, Zero gamma, call wall and put wall.

### 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.

Under convention A the total turns positive just below the index

Total gamma exposure repriced at index levels around the 10 Jun 2026 close, each strike at its own volatility. Rupees crore for a one per cent move. A model, not a measurement. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
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.

The zero gamma level moves by hundreds of points with the convention, or vanishes

Zero gamma level less the 10 Jun 2026 close, in index points, for the 16 Jun and 30 Jun series. A bar marked none means the total never changed sign in the range tried. Source: NSE end of day data and NSE participant wise open interest, computed by RupeeCase. As of 10 Jun 2026.
Read one more paragraph, 49 words
Same chain, same gamma, same open interest. The line sat just under the index in one reading, hundreds of points above it in two others, and nowhere in the last two. A figure that moves that much with an input nobody can observe is not a level to quote.

### 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.

Gamma walls sit within a per cent of the index, open interest walls far away

Each wall less the 10 Jun 2026 close, as a percent of the close. Gamma walls are for the 16 Jun and 30 Jun series together; open interest walls are for each series alone. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
Read one more paragraph, 77 words
The put open interest at 21,200 in the weekly is large, 86,34,470 units, but a put that far out has little gamma per unit. Its gamma exposure is about Rs 104 crore for a one per cent move, against Rs 894 crore for the call at 24,000. So the open interest wall and the gamma wall answer different questions. Only the second comes out of the arithmetic of hedging, and only if the sign is right.

### 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.

Nifty closed above the call wall within two sessions on all five dates

Distance of the convention A gamma call wall from the index, and the session on which Nifty first closed above it, five sessions ahead. The windows overlap, and the index rose in four of five. Source: NSE end of day data and NSE index close file, computed by RupeeCase. As of 6 Jul 2026.
Read one more paragraph, 152 words
On each of the five dates Nifty closed above the call wall within two sessions. The put wall was breached on one of the five. The call walls sat between a few hundredths of a per cent and about one per cent above the index, so a normal day's move can cross one. Read the test with care: five looks, windows that overlap, and four of five spans in which the index rose. It shows that a wall sat close enough to be crossed. It does not test whether walls matter. For that a test would compare walls with other strikes across many dates, and the seven example dates used here cannot do it. Module [A21](/learn/path-15/module-15-11-pinning-and-max-oi-strikes) looks at the evidence on pinning to large open interest strikes, and the study listed under the sources is where that question starts. The page [call wall, put wall and zero gamma](/learn/questions/call-wall-put-wall-zero-gamma) has the short version.

### 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.

Watch in the terminal: what are the four lead figures? A short tutorial on sample data.

**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 Zero gamma, call wall and put wall cover?A line on a GEX chart looks like a level. Here is how it is found, why it moves by hundreds of points, and whether a wall held. It works through The idea, plainly, Worked example: the profile and the lines, 10 Jun 2026, The common mistake, Key takeaways. It is module 15.10 of Path 15, Option Chain and Data, about 10 minutes of reading, free.

TTry it

## GEX lab, on the same example.
Gamma exposure under three sign conventions, switched on screen. Dated NSE end of day data, nothing live, no orders.

**GEX lab**, Nifty, 10 Jun 2026, 30 Jun 2026 expiry.

[Open the gex lab](/learn/tools/gex-lab?chain=NIFTY_2026-06-10_2026-06-30)

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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 15 certificate.

7 of 10 correct passes module 15.10

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

  Passed

###

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Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify)
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CCheck yourself

## Path 15 so far.
Your quick check results on this device, stop by stop.

Stop 10 of 13 on Path 15

Option Chain and Data: every live stop, this module ringed. Source: RupeeCase Learn, Path 15.

1. [15.1Reading the NSE option chain, column by columnNot yet](/learn/path-15/module-15-1-reading-the-nse-option-chain)
2. [15.2OI and change in OI on the chain: what they can and cannot tell youNot yet](/learn/path-15/module-15-2-open-interest-on-the-option-chain)
3. [15.3Put call ratio: definitions and what the evidence saysNot yet](/learn/path-15/module-15-3-put-call-ratio)
4. [15.4Max pain: the calculation and a Nifty testNot yet](/learn/path-15/module-15-4-max-pain)
5. [15.5Liquidity in the chain: spreads, volume and tradable strikesNot yet](/learn/path-15/module-15-5-option-chain-liquidity)
6. [15.6Participant wise OI and FII derivatives data, read honestlyNot yet](/learn/path-15/module-15-6-participant-wise-open-interest)
7. [15.7Expected move from the straddle and from IVNot yet](/learn/path-15/module-15-7-expected-move)
8. [15.8Who is on the other side in IndiaNot yet](/learn/path-15/module-15-8-who-is-on-the-other-side)
9. [15.9Gamma exposure: the computation and its assumptionsNot yet](/learn/path-15/module-15-9-gamma-exposure-gex)
10. [15.10Zero gamma, call wall and put wallNot yet](/learn/path-15/module-15-10-zero-gamma-and-walls#quiz)
11. [15.11Pinning and max OI strikes: the evidenceNot yet](/learn/path-15/module-15-11-pinning-and-max-oi-strikes)
12. [15.12Vanna and charm flows around expiries and eventsNot yet](/learn/path-15/module-15-12-vanna-and-charm-flows)
13. [15.13An Indian positioning model and its limitsNot yet](/learn/path-15/module-15-13-indian-positioning-model)
14. [TPath test, 30 questionsNot yet](/learn/path-15/module-15-13-indian-positioning-model#pathTestSection)

Path 15 in reading time: 119 minutes over 13 modules

Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 15.

    Explore next

## Put the module to work.

* [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder)
* [Free module 15.9Gamma exposure: the computation and its assumptions10 min read](/learn/path-15/module-15-9-gamma-exposure-gex)
* [Free module 15.8Who is on the other side in India10 min read](/learn/path-15/module-15-8-who-is-on-the-other-side)
* [Free module 15.4Max pain: the calculation and a Nifty test7 min read](/learn/path-15/module-15-4-max-pain)
* [Free module 15.11Pinning and max OI strikes: the evidence10 min read](/learn/path-15/module-15-11-pinning-and-max-oi-strikes)
* [Free module 15.13An Indian positioning model and its limits11 min read](/learn/path-15/module-15-13-indian-positioning-model)

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SSources

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

The publisher of each source listed below. Source: Module 15.10 source list.
1. [NSE, equity derivatives contract specifications (European exercise, cash settlement, lot size)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
2. [NSE, derivatives end of day reports: the F&O bhavcopy these figures are built from](https://www.nseindia.com/all-reports-derivatives) NSE
3. [NSE, participant wise open interest file, fao_participant_oi (example file)](https://nsearchives.nseindia.com/content/nsccl/fao_participant_oi_11052023.csv) NSE
4. [NSE, option chain (Nifty 50 index options)](https://www.nseindia.com/option-chain) NSE
5. [SEBI Investor, Understanding derivatives](https://investor.sebi.gov.in/understanding_derivatives.html) SEBI
6. [Ni, S., Pearson, N. and Poteshman, A. (2005), Stock price clustering on option expiration dates, Journal of Financial Economics](https://ideas.repec.org/a/eee/jfinec/v78y2005i1p49-87.html) Paper

GTerms

## 5 terms from this module.
Zero gammaThe index level at which the repriced total gamma exposure changes sign. It may not exist.
Gamma call wallThe strike at or above the index with the largest call gamma exposure.
Gamma put wallThe strike at or below the index with the largest put gamma exposure.
Open interest wallThe strike with the most open interest. It ignores gamma, so it can be far from the index.
Sticky strikeThe assumption that each strike keeps its implied volatility as the index moves.
[All 230 terms in the glossary](/learn/glossary)

[Question people askWhat are the call wall, put wall and zero gamma (gamma flip)?A short answer with a dated chart](/learn/questions/call-wall-put-wall-zero-gamma)[Related module15.9 Gamma exposure: the computation and its assumptions10 min, Advanced](/learn/path-15/module-15-9-gamma-exposure-gex)[Related module15.8 Who is on the other side in India10 min, Advanced](/learn/path-15/module-15-8-who-is-on-the-other-side)[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.