A call's delta drifts toward zero or one as expiry nears, so the same hedge needs more trading

A call's delta drifts toward zero or one as expiry nears, so the same hedge needs more trading20 days left: from 0.0403 at 21,846 to 0.948 at 24,635, high 0.948 at 24,635, low 0.0403 at 21,846. 10 days left: from 0.00653 at 21,846 to 0.989 at 24,635, high 0.989 at 24,635, low 0.00653 at 21,846. 1 day left: from 1.59e-15 at 21,846 to 1 at 24,635, high 1 at 24,635, low 1.59e-15 at 21,846.Delta of the 23250 call20 days left10 days left1 day left0.000.250.500.751.0022,00023,00024,000Level of the futureFuture 23,240Strike 23,250
Delta of a call at the strike nearest the future, plotted against the future, for 20, 10 and 1 days left, on the 30 Jun 2026 chain. The chart shows the time effect (charm); a change in implied volatility would shift the curves too (vanna). Implied volatility is held at the chain's own value for that strike. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

The chart uses the 10 Jun 2026 Nifty chain and a call at the strike nearest the future. It shows that call's delta against the level of the index, with twenty days, ten days and one day left. The three curves are the same option on three dates.

Delta is the hedge ratio: how many units of the future a hedger holds against one option. Charm is the change of delta with time. An out of the money call's delta falls toward zero as expiry nears, and an in the money call's delta rises toward one, so the hedge drifts into expiry even if the index does not move.

Vanna is the change of delta with implied volatility, and it is the same for a call and a put at one strike. When implied volatility falls after an event, a hedge built on the old volatility is wrong even at the same index level, and the hedger has to trade to fix it.

Flows happen when many hedgers adjust at once, most visibly on expiry day for weekly options. Whether the total moves the index needs the dealers' positions, and no public source shows them in full. Public work on Nifty gamma exposure therefore rests on a sign assumption about who is long and who is short, and the answer changes with that assumption.

Treat any flow map as a model: inputs, a rule and an assumption, not an observed fact. The gamma exposure question sets out the method and its limits. This page does not turn the flows into a forecast.

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