On 10 Jun 2026 the Nifty 23,500 call of the 30 Jun series had 44,81,555 units of open interest. A move of one per cent in Nifty, which is 232.1 points, changes the delta of one unit of that call by 0.1105. Across all the units, that is about 4,95,334 units of the index to buy or sell to stay hedged, worth Rs 1,151 crore, if someone holds the short side and hedges every day. That is a gamma exposure number. The gamma, the open interest and the spot all come from NSE files. The sign does not. This lesson builds the number from the chain, shows the same chain under three signs, and lists what the number leaves out.

3By the end you can

  1. Compute the gamma exposure of an option line in rupees crore for a one per cent move.
  2. Show the same chain under conventions A, B and C, and say what each assumes.
  3. List what a GEX figure leaves out, from the sign to the expiry filter.
The RupeeCase terminal on sample data: Market cap bands: how does the app call a stock large or small?
Watch in the terminal: how does the app call a stock large or small? A short tutorial on sample data.

The idea, plainly

The arithmetic of one option line

Gamma says how fast delta changes when the index moves. Delta says how many units of the index a hedger holds against the option. So gamma times the move times the open interest gives the units the hedger must trade. Gamma exposure, GEX, counts that in rupees for a one per cent move.

GEX line = sign x gamma
x OI units x S squared
x 0.01
/ one crore

Reading the formula, term by term

Read it from the left. The sign says which side the hedger holds. Gamma is per unit and per point of the index. OI is in units, because NSE open interest already counts contracts times the lot, so do not multiply by the lot again. Spot squared times one hundredth turns a gamma per point into rupees for a one per cent move. Dividing by one crore gives the answer in crore. Module I09 covers gamma itself.

The maths: why spot squared times one hundredth

Under the Black 76 model, gamma of a call or put with respect to the future is the same for both.

Gamma = e−rT x φ(d1)
/ (F x σ x √T)

A one per cent move of spot is one hundredth of S points. Delta of one unit changes by gamma times that. Multiply by the OI in units and you have units of the index. Multiply by S to turn units into rupees. So gamma x OI x one hundredth x S squared is rupees for a one per cent move. The forward is taken to move in proportion to spot, which is why the future squared can stand in for S squared on a dated chain, as the example below does.

The sign: three conventions

Every line needs a sign, and NSE does not publish who holds which side. So the sign is assumed. Module A18 shows why the file cannot settle it. Three readings are common.

  • Convention A. Hedger long calls, short puts. It comes from the habit of US public data.
  • Convention B. Hedger short calls and short puts. Customers mostly buy, so writers hedge.
  • Convention C. Calls and puts each take the net share of a chosen group, from the NSE participant file, with the group assumed.

2 terms this section turns on

2 terms this section turns on2 terms this section turns on. Convention: The rule that gives each option line its sign: A, hedger long calls and short puts; B, short both; C, the net share of a chosen group. Hedger: The side that trades the index or its future against an option. NSE does not say which group that is.ConventionThe rule that gives each option line its sign:A, hedger long calls and short puts; B, shortboth; C, the net share of a chosen group.HedgerThe side that trades the index or its futureagainst an option. NSE does not say whichgroup that is.
From the module glossary; every term is in the Learn glossary too. Source: Module 15.9, Gamma exposure: the computation and its assumptions.

Open interest, gamma and spot are the same in all three. Only the sign moves. That is why the lab at the end of this lesson puts a convention switch on the screen, and why every figure here names its convention.

Why the US habit does not travel

The US sign comes from a market where customers often sell calls against shares they own and buy puts to protect them, so dealers end up long calls and short puts. Indian index options are different in two ways. Individual traders are mostly buyers, by SEBI's studies, and the weekly Nifty expiry means many contracts live for only days. Whether the same pattern holds here cannot be read from a public file. Only the exchange and its clearing corporation see positions by account, strike and expiry, and they do not publish them.

What else goes in

  • Volatility. Each leg is priced with the implied volatility of its own settlement price. Gamma is highest at the money and falls away on both sides.
  • Expiries. A chain of one expiry is a slice. The usual filter keeps expiries up to forty five days away. Gamma grows as time shrinks, so the nearest expiry dominates.
  • A floor on time. An option on its last day has a gamma that explodes, so the time left is floored at one day.
  • The profile. To see the total at other index levels, reprice every leg at each level with its volatility held per strike. Module A20 uses it.
The RupeeCase terminal on sample data: Alpha: which of the two alphas is this?
Watch in the terminal: which of the two alphas is this? A short tutorial on sample data.

Worked example: the 23,500 strike, then the whole chain, 10 Jun 2026

Start with one strike. On 10 Jun 2026 the 23,500 call carried 14.67% volatility and a gamma of 0.000476 a unit. Its open interest of 44,81,555 units gives a line of Rs 1,151 crore for a one per cent move. The put at the same strike, with 38,83,945 units of open interest and 14.25% volatility, gives Rs 1,024 crore. Now apply the signs.

  • Convention A, call plus and put minus: the strike nets Rs 127 crore.
  • Convention B, both minus: the strike is minus Rs 2,175 crore.

Every strike, under two signs

One strike, one set of files, a small positive number or a large negative one. Now every strike of the nearest two expiries, once under each sign.

Under convention A the call bars point up and the put bars down, and they largely cancel

Net gamma exposure by strike under convention A on 10 Jun 2026: positive bars above the index and negative bars below it, with a call wall and a put wall near the indexNet gamma exposure by strike under convention A (dealers long calls and short puts), in ₹ crore per 1% move of spot. 18 bars positive, 19 negative; the largest bar is −2,685 at 23,025. Each bar adds up 2 neighbouring strikes. Zero gamma level 23,172. Spot 23,215.Convention A: dealers long calls and shortputs₹ crore per 1% move of spotPositive net gammaNegative net gamma−3,000−2,000−1,00001,0002,0003,00022,00023,00024,000Strike priceSpot 23,215Zero gamma 23,172Call wall 23,500Put wall 23,000
Net gamma exposure by strike on 10 Jun 2026, for the 16 Jun and 30 Jun series, with expiries up to forty five days. Rupees crore for a one per cent move. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

Under convention B every bar points down: the same chain, the opposite picture

Net gamma exposure by strike under convention B on 10 Jun 2026: negative bars at every strikeNet gamma exposure by strike under convention B (hedgers short both calls and puts), in ₹ crore per 1% move of spot. 0 bars positive, 37 negative; the largest bar is −7,358 at 23,325. Each bar adds up 2 neighbouring strikes. Spot 23,215.Convention B: hedgers short both calls andputs₹ crore per 1% move of spotPositive net gammaNegative net gamma−8,000−6,000−4,000−2,000022,00023,00024,000Strike priceSpot 23,215Call wall 23,500Put wall 23,000
The same open interest and the same gamma as the chart above, with the sign of every line made negative. Rupees crore for a one per cent move. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

The two charts hold the same numbers with different signs. Under A the calls above the index and the puts below it pull in opposite directions.

Two large numbers and a small remainder

Add the lines up under convention A, calls on one side and puts on the other.

The net is a small remainder of two large numbers that nearly cancel

Convention A on 10 Jun 2026: calls add up to a large positive number, puts to a large negative number, and the net is a small positive remainderCalls, all strikes 30,878; Puts, all strikes −28,468; Net of the two 2,410.Convention A, Rs crore for a one per cent moveCalls, allstrikes+30,878Puts, all strikes−28,468Net of the two+2,410
Total call gamma exposure, total put gamma exposure and their sum under convention A for the 16 Jun and 30 Jun series on 10 Jun 2026. Rupees crore for a one per cent move. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

The net is a few per cent of the gross. A figure that is a small remainder of two large ones moves a lot when either input moves. A small change in volatility, a roll of open interest or a different expiry filter can flip it.

Five readings of one chain

Now the total under each convention, with C run for three choices of dealing group.

The same chain gives a small positive total, a large negative one, or a small positive one

Total gamma exposure on 10 Jun 2026 under five readings: a small positive total under A, a large negative total under B and small positive totals under C for each choice of dealing groupA: long calls, short puts 2,410; B: short both −59,346; C, Pro as dealers 2,047; C, FII as dealers 1,914; C, Pro and FII 3,960.Total GEX, Rs crore for a one per cent moveA: long calls,short puts+2,410B: short both−59,346C, Pro as dealers+2,047C, FII as dealers+1,914C, Pro and FII+3,960
Total gamma exposure of the 16 Jun and 30 Jun series on 10 Jun 2026 under convention A, convention B and convention C with three choices of dealing group. Source: NSE end of day data and NSE participant wise open interest, computed by RupeeCase. As of 10 Jun 2026.
Read one more paragraph, 71 words

Convention B counts every contract with a full sign, so its total is far larger. Convention C counts only the net share of the group you pick, a fraction of open interest, so its totals are small. Under A and C the total is positive and under B it is negative. So the question whether the market is long or short gamma has no answer from these files. It has three.

Which expiry carries the number

The weekly series six days away carries most of the gamma

Gross gamma exposure by expiry on 10 Jun 2026: the 16 Jun series, six days away, carries most, the 30 Jun series less, and the 28 Jul series is outside the forty five day filter16 Jun series, 6 days 43,375; 30 Jun series, 20 days 15,972; 28 Jul series, 48 days, left out 2,102.Gross GEX, Rs crore for a one per cent move16 Jun series, 6days43,37530 Jun series, 20days15,97228 Jul series, 48days, left out2,102
Gross exposure, calls and puts counted without sign, of each Nifty series on 10 Jun 2026. The July series is more than forty five days away and is left out of the filtered total. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

The 16 Jun weekly, six days from expiry, carries nearly three quarters of the exposure of the two series together, though it has far less time. Gamma rises as expiry nears, so a figure built from all expiries is mostly a figure about the week.

The maths: why a small remainder is fragile

Write the net as calls less puts. If the two sides are nearly equal, the net is small, and any change that moves one side more than the other changes the net by a large share of itself.

Net = calls − puts
Change in net = change
in calls − change in puts

On this chain the call side is about thirty thousand crore and the net about two thousand four hundred. A five per cent change on the call side alone, with the puts held still, moves the net by more than half of itself. A volatility input that shifts calls and puts by different amounts does exactly that.

Checking a GEX figure before you use it

  1. Is the open interest in units or contracts, and was the lot applied once?
  2. Which convention gave the sign, and was a switch shown?
  3. Which expiries and which volatility source went in, and is the nearest expiry doing most of the work?

A figure that cannot answer these three is a picture, not a measurement.

What has been tested

The US habit comes from a vendor white paper of 2016, revised in 2017, on US index options. It reported lower next day variance when its estimate of dealer gamma was high. That is a claim about one market, under the US sign, from a vendor with a product to explain. This page cites no published test on Nifty, and the seven example dates used across these lessons are too few to make one. Treat a GEX figure as a description of a model on one day.

The question pages what is GEX, is Nifty GEX reliable and what is a gamma squeeze give the short versions. The GEX lab below runs the same arithmetic on five dated chains.

Two terms to hold on to from 15.9

Two terms to hold on to from 15.9Two terms to hold on to from 15.9. Gamma exposure (GEX): Gamma times open interest in units times spot squared, scaled to rupees crore for a one per cent move, summed with an assumed sign. Gross and net: Gross counts calls and puts without sign. Net adds them with their signs, and can be a small remainder.Gamma exposure (GEX)Gamma times open interest in units times spotsquared, scaled to rupees crore for a one percent move, summed with an assumed sign.Gross and netGross counts calls and puts without sign. Netadds them with their signs, and can be a smallremainder.
From the module glossary. Source: Module 15.9, Gamma exposure: the computation and its assumptions.

The common mistake

The claim: GEX is positive, so dealers are long gamma and will keep Nifty in a range. Look at 10 Jun 2026. Convention A gave a small positive total. Convention B gave a large negative one. Convention C gave small positive totals, which changed with the group chosen. The positive A total was a remainder of two large numbers that nearly cancel. And even a true positive gamma only says how hedges would be adjusted if dealers hedged every day, which is one flow among many. It says nothing about direction or range. Ask first which sign is assumed and why.

Key takeaways

  • GEX is gamma times open interest times spot squared, for a one per cent move.
  • NSE open interest is already in units, so the lot is not multiplied again.
  • The sign is assumed: no file says who holds which side of an option.
  • On 10 Jun 2026 the total was positive, negative or positive, by convention.
  • The nearest expiry carries most of the gamma, so the total reads as the week.
  • A GEX level is a model on one day, not a measurement.

Where this section sits in module 15.9

Where this section sits in module 15.9Where this section sits in module 15.9. 1. The idea, plainly 2. Worked example: the 23,500 strike, then the whole chain, 10 Jun 2026 3. The common mistake 4. Key takeaways01The idea, plainly02Worked example: the 23,500 strike,then the whole chain, 10 Jun 202603The common mistake04Key takeaways
Sections 1 to 4 of 4; the highlighted one is next. Source: Module 15.9, Gamma exposure: the computation and its assumptions.

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