NIFTY · SESSION …SOURCE: NSE F&O BHAVCOPY · END OF DAY · ₹ CRORE
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What Nifty GEX means
Nifty GEX is the total gamma exposure of NIFTY 50 index options, expressed as the rupee value of index exposure that option dealers would need to trade for a 1% move in the index. It is computed from the open interest and gamma of every listed strike and expiry.
The number matters because option dealers hedge. Their hedge trades in NIFTY futures or the underlying basket feed back into the index, so the sign and size of GEX describe whether those trades tend to dampen moves or amplify them.
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How it is built from NSE data
1. Take open interest for every NIFTY call and put strike from the NSE option chain.
2. Compute each contract's gamma from its implied volatility, time to expiry and the forward.
3. Multiply by open interest, contract lot size and spot squared, scaled to a 1% move.
4. Count call gamma as positive and put gamma as negative, then sum across strikes and expiries.
NSE publishes open interest by strike but not who holds each side. The sign convention in step 4 is therefore an assumption about dealer inventory, not an observed fact. Every GEX figure from any provider carries this assumption.
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Positive and negative Nifty GEX
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Positive GEX: Dealers are modelled as long gamma. They sell into rallies and buy into dips, which tends to compress realised volatility and keep NIFTY inside a range.
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Negative GEX: Dealers are modelled as short gamma. They sell into falls and buy into rises, which tends to extend moves and widen intraday ranges.
The level where net GEX changes sign is the gamma flip. Spot trading above or below it is the quickest read of which regime the model implies.
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What Nifty GEX cannot tell you
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It is not a direction forecast. It describes how hedging flow reacts, not where price goes.
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It depends on the dealer-sign assumption and on the volatility model used for gamma.
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It changes every time open interest or spot changes, so a morning reading can be stale by afternoon.
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Near expiry, gamma is concentrated at a few strikes and the reading becomes sensitive to small changes.
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Nifty GEX in the Arkenwell terminal
Arkenwell computes GEX from live NSE option chain data with Black-76 gamma on the put-call-parity forward, and shows it in rupee crore. Open the Dealer Positioning workspace, select NIFTY, and read the cumulative GEX profile and the gamma flip line. When the feed is unavailable the terminal shows the gap rather than a placeholder value.
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Frequently asked questions
What is Nifty GEX?
Nifty GEX is the net gamma exposure of NIFTY index options, shown as the rupee amount of index exposure option dealers would need to hedge for a 1% move.
Is positive GEX bullish?
No. Positive GEX implies dampened volatility and mean reversion, not an upward direction. Negative GEX implies larger moves in either direction.
Where does the data come from?
Open interest and prices come from the NSE option chain. Dealer positioning is inferred with a sign convention, because exchange data does not show who holds each side.
How often does Nifty GEX change?
Continuously during market hours, because spot, implied volatility and open interest all change. Open interest from the exchange updates through the session.
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Key points
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Nifty GEX = dealer gamma across NIFTY strikes, in rupees per 1% move.
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Sign tells you dampening versus amplifying, not direction.
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The dealer-sign convention is an assumption shared by every provider.
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Treat it as context for risk and range, not as a signal to trade on its own. This is analysis, not investment advice.
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