GEX and gamma exposure reading list: gamma walls and zero gamma

Gamma exposure: the gamma of each strike scaled by its open interest, the lot size and the index level, summed with a sign for calls and puts. It estimates the hedging option writers may need as the index moves.

Only as reliable as its assumption about who is long and who is short each strike. NSE does not publish that split, so the sign of the total can flip with the convention and the expiries chosen.

The call wall and put wall are the strikes with the largest call and put gamma exposure; zero gamma is the index level where the modelled total changes sign. The GEX lab draws all three under three conventions.

The evidence is thin. On the near expiries that can be scored, the top open interest strike was nearer the settlement than spot about as often as it was further away, too few to call.