---
title: "GEX Lab: Nifty Gamma Exposure, 3 Conventions | RupeeCase"
description: "Free GEX lab on dated NSE Nifty chains: net gamma exposure per strike and across spot under three sign conventions, with zero gamma and walls."
source_url: "https://www.rupeecase.com/learn/tools/gex-lab"
---

* Net GEX, convention A**Rs 2,413 cr**per 1% move of spot
* Zero gamma**23,172**−0.2% from spot
* Call wall**23,500**largest call gamma at or above spot
* Put wall**23,000**largest put gamma at or below spot

**10 Jun 2026, spot 23,215, 2 expiries inside 45 days.** Dealers are long every call and short every put, the way US public data is usually read. Under this convention the net is positive: dealers would sell rallies and buy dips in the underlying to stay hedged, which damps moves. That story only holds if the assumed sides are right.

### The same chain, three conventions

| Convention | Net GEX | Zero gamma | Call wall | Put wall |
| --- | --- | --- | --- | --- |
| A: the US habit | 2,413 cr | 23,172 | 23,500 | 23,000 |
| B: dealers short both | −59,343 cr | none | 23,500 | 23,000 |
| C: from NSE data | 2,046 cr | none | 23,500 | 23,000 |

Net GEX is in Rs crore per 1% move of spot. 2 expiries are counted. The signs of the totals do not agree on this date: one convention reads net long and another net short.

Model, not market data

Under convention A the net is positive by Rs 2,413 crore per 1% move

Net gamma exposure of each strike, within 8% of spot, in Rs crore per 1% move of spot. Walls are the strikes with the largest call and put gamma either side of spot. Inputs: convention A, 2 expiries, Black 76 gamma at each strike's implied volatility held fixed, forward moves with spot. Source: NSE end of day option prices and open interest, NSE participant wise open interest; GEX computed by RupeeCase. As of 10 Jun 2026.Model, not market data

Under convention A the sign flips near 23,172, 0.2% below spot

The whole chain re-priced at each index level with implied volatilities held at each strike and the time left unchanged. A zero crossing exists only when the assumed sides give calls and puts opposite signs. Inputs: convention A, 2 expiries, Black 76 gamma at each strike's implied volatility held fixed, forward moves with spot. Source: NSE end of day option prices and open interest, NSE participant wise open interest; GEX computed by RupeeCase. As of 10 Jun 2026.
**By open interest instead of gamma:** the call strike at or above spot with the most open interest is 24,000 (1,53,94,135 units) and the put strike at or below spot with the most is 22,000 (1,11,85,675 units). Open interest is in units, contracts times the lot size, summed over the expiries counted. A strike with large open interest need not have large gamma, because gamma fades away from spot and as expiry nears.

Participant open interest behind convention C
| Participant | Calls long | Calls short | Puts long | Puts short |
| --- | --- | --- | --- | --- |
| Client | 25,50,804 | 23,35,558 | 18,08,760 | 25,76,597 |
| DII | 8,194 | 40 | 24,380 | 3 |
| FII | 5,21,246 | 7,98,673 | 9,30,475 | 3,99,488 |
| Pro | 8,98,562 | 8,44,534 | 9,53,417 | 7,40,944 |

Contracts, all index options together (not one expiry, not only Nifty), end of day 10 Jun 2026. With Pro (proprietary traders) as the dealing side, the net long share of call open interest is 1.4% and of put open interest 5.7%. Convention C gives a call GEX and a put GEX those signed shares. Which participant is the dealer is a judgement, which is why the choice is yours; changing it changes the answer.

Method: for every strike, gamma from Black 76 at the implied volatility of the settlement price, times open interest in units, times spot squared, times 1%, divided by 10 million for Rs crore. Calls and puts of one strike add with the signs of the convention. Expiries within 45 days are counted; an expiry-day chain is left out. The profile re-prices every strike at each index level, with each strike's volatility held where it is, which is a simplification: in practice volatility moves with the index. This page cannot trade and gives no level to act on.

  Open interest, settlement prices and participant data come from NSE end of day files, dated on the page. Gamma exposure is a model: the sign of each side is assumed. Not live, not a forecast, and this page cannot trade.

## How to read it

### What the number is

For each strike, the gamma of a unit of the option times its open interest in units, scaled to the rupees of the index that would need to trade for a 1% move in spot. It is shown in Rs crore per 1% move. Calls and puts of a strike are added with the signs the convention gives them.

### Why three conventions

The open interest of an option has a buyer and a seller, and the public files do not say who they are. Convention A assumes dealers are long calls and short puts, the way US public data is usually read. Convention B assumes dealers are short every option, since customers in India are net buyers. Convention C uses NSE participant wise open interest to put a signed share on the dealing side you choose.

### Zero gamma and the walls

Zero gamma is the index level where the re-priced total changes sign, if it does. A call wall and a put wall are the strikes with the largest call and put gamma either side of spot. A wall by open interest is shown next to them because that is how walls are often quoted, and the two need not agree.

### How to read it

Read the three rows of the comparison table before the chart. If the conventions disagree on the sign of the total, the story depends on the assumption, not on the data. [The gamma exposure module](/learn/path-15/module-15-9-gamma-exposure-gex) derives the computation and [the one on zero gamma and walls](/learn/path-15/module-15-10-zero-gamma-and-walls) goes through its limits.

## What it leaves out

Nothing in an NSE file tells you who holds each side of a contract. Participant wise open interest splits by category across all index options together, not by expiry or strike, and a category is not a market maker. The profile holds each strike's implied volatility fixed while the index moves, though volatility moves with the index in practice. Hedging flows depend on other positions the dealers hold, on futures, on their own limits and on how they choose to hedge. A GEX level is a description of a model on one day. It is not a support or resistance level, and no level here should be treated as certain.

## Go to the source

1. [NSE, equity derivatives contract specifications: European exercise, cash settlement and lot sizes](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications)
2. [NSE, derivatives reports, including participant wise open interest](https://www.nseindia.com/all-reports-derivatives)
3. [Barbon and Buraschi, Gamma Fragility (2021), on dealer gamma and intraday price moves in US markets](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3725454) paper

Is this the live gamma exposure of the market?No. Every example is an NSE end of day file at least 30 days old, dated on the page, and the exposure is a model of it. The page does not read live data.

Why does the answer change with the convention?Because the convention decides which side of each option the dealers are on. The open interest and the gamma are the same in all three; only the sign given to calls and puts changes.

Does a zero gamma level or a wall tell me where the index will go?No. They describe a model on one day. The index can trade through a wall, and the level itself moves when the date, the expiries or the volatility change.

LLearn it in depth

[Module 15.8Who is on the other side in IndiaAdvanced, Path 15](/learn/path-15/module-15-8-who-is-on-the-other-side)[Module 15.9Gamma exposure: the computation and its assumptionsAdvanced, Path 15](/learn/path-15/module-15-9-gamma-exposure-gex)[Module 15.10Zero gamma, call wall and put wallAdvanced, Path 15](/learn/path-15/module-15-10-zero-gamma-and-walls)[Module 15.13An Indian positioning model and its limitsExpert, Path 15](/learn/path-15/module-15-13-indian-positioning-model)[ToolPayoff builderLegs from a dated chain](/learn/tools/payoff-builder)[Pillar guideDerivatives and QuantPaths 12 to 19](/learn/derivatives)

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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.