Under convention A the zero gamma level sits above the index on the 30 Jun 2026 expiry alone, and the walls mark the largest bars

Under convention A the zero gamma level sits above the index on the 30 Jun 2026 expiry alone, and the walls mark the largest barsNet gamma exposure by strike under convention A (dealers long calls and short puts), in ₹ crore per 1% move of spot. 16 bars positive, 21 negative; the largest bar is −915 at 23,025. Each bar adds up 2 neighbouring strikes. Zero gamma level 23,385. Spot 23,215.Convention A: dealers long calls and shortputs₹ crore per 1% move of spotPositive net gammaNegative net gamma−1,000−500050022,00023,00024,000Strike priceSpot 23,215Zero gamma 23,385Call wall 24,000Put wall 23,000
Net gamma exposure by strike, in Rs crore per one percent move of the index, from the NIFTY chain of 10 Jun 2026 for the 30 Jun 2026 expiry, convention A. The walls are the strikes with the largest call and put bars. A model, not a measurement. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

Walls name the largest bars in a GEX profile. The call wall is the strike above the index with the largest call exposure. The put wall is the strike below the index with the largest put exposure. Both come from the same chain as the bars on the GEX page, so they carry the same assumptions.

Zero gamma needs a profile. Recompute the exposure at a set of hypothetical index levels, holding each strike's implied volatility and time to expiry. Add the lines at each level. The zero gamma level is where the total crosses zero, found by interpolating between grid points. Under convention B the total never crosses, so there is no flip at all.

The chart shows the 30 Jun 2026 expiry on the 10 Jun 2026 chain under convention A, where dealers are long calls and short puts. The flip sits above the index on that single expiry, and the walls sit at the strikes with the largest bars. Add the 16 Jun 2026 expiry from the same day and the flip moves to the other side of the index. That sensitivity is the first thing to check on any published level.

Walls are zones more than levels. They move when open interest rolls to the next expiry, so a wall that holds one week can be gone the next. Read the flip and the walls as a description of the model, and check the input, open interest, on the open interest page.

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