--- title: "Nifty gamma exposure (GEX): the computation, the assumptions" description: "Build gamma exposure for a dated Nifty chain from gamma, open interest and spot, and see how three sign conventions give three different answers." source_url: "https://www.rupeecase.com/learn/path-15/module-15-9-gamma-exposure-gex" --- [Path 15 9 of 13](/learn/path-15/)Gamma exposure: the computation and its assumptions[Next 15.10](/learn/path-15/module-15-10-zero-gamma-and-walls) 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. 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](/learn/path-14/module-14-11-gamma) 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](/learn/path-15/module-15-8-who-is-on-the-other-side) 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 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](/learn/path-15/module-15-10-zero-gamma-and-walls) uses it. 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 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 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 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 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 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](/learn/questions/what-is-gex), [is Nifty GEX reliable](/learn/questions/is-nifty-gex-reliable) and [what is a gamma squeeze](/learn/questions/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 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 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](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 exposure: the computation and its assumptions cover?The arithmetic of GEX is exact. The sign is assumed. The same chain gives a small positive total, a large negative one, or a small positive one. It works through The idea, plainly, Worked example: the 23,500 strike, then the whole chain, 10 Jun 2026, The common mistake, Key takeaways. It is module 15.9 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) AF&O on RupeeCase ## Hedging only, in development 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. [How hedging will work](/hedging)[Sign up for RupeeCase](https://invest.rupeecase.com/signup) [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 15.9 Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass). Passed ### Certificate ID Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify) Self paced and unproctored. A record of completing free education by RupeeCase; not a NISM certificate and not endorsed by NISM, NSE, BSE or SEBI. It qualifies no one to deal, advise or publish research. CCheck yourself ## Path 15 so far. Your quick check results on this device, stop by stop. Stop 9 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#quiz) 10. [15.10Zero gamma, call wall and put wallNot yet](/learn/path-15/module-15-10-zero-gamma-and-walls) 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 14.11Gamma: why it grows so fast near expiry8 min read](/learn/path-14/module-14-11-gamma) * [Free module 15.6Participant wise OI and FII derivatives data, read honestly8 min read](/learn/path-15/module-15-6-participant-wise-open-interest) * [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 15.10Zero gamma, call wall and put wall10 min read](/learn/path-15/module-15-10-zero-gamma-and-walls) * [Free module 15.11Pinning and max OI strikes: the evidence10 min read](/learn/path-15/module-15-11-pinning-and-max-oi-strikes) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal) [Sign up for RupeeCase](https://invest.rupeecase.com/signup) [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7) [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera SSources ## Go to the source. 6 sources, NSE the most cited The publisher of each source listed below. Source: Module 15.9 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. [SqueezeMetrics, Gamma Exposure (GEX), white paper on US index options, 2016, revised 2017](https://squeezemetrics.com/monitor/download/pdf/white_paper.pdf) Paper GTerms ## 5 terms from this module. 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. ConventionThe 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. HedgerThe side that trades the index or its future against an option. NSE does not say which group that is. Gross and netGross counts calls and puts without sign. Net adds them with their signs, and can be a small remainder. Time floorA minimum time to expiry, one day, so an option on its last day does not give an exploding gamma. [All 230 terms in the glossary](/learn/glossary) [Question people askWhat is GEX (gamma exposure)?A short answer with a dated chart](/learn/questions/what-is-gex)[Question people askIs Nifty GEX reliable in India?A short answer with a dated chart](/learn/questions/is-nifty-gex-reliable)[Related module14.11 Gamma: why it grows so fast near expiry8 min, Intermediate](/learn/path-14/module-14-11-gamma)[Related module15.6 Participant wise OI and FII derivatives data, read honestly8 min, Intermediate](/learn/path-15/module-15-6-participant-wise-open-interest)[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.