Gamma measures how fast an option's delta changes as the price of the underlying moves. Gamma exposure (GEX) adds up gamma across the option chain, weighted by open interest, to estimate how much hedging market makers may need to do as the index moves.
Why it matters
Market makers usually try to stay hedged. How they hedge depends on the sign of their gamma:
- Positive gamma — as price rises they sell, as it falls they buy. That hedging tends to dampen moves and can keep the index in a range.
- Negative gamma — they buy into rallies and sell into declines. That hedging tends to amplify moves.
Key levels
- Zero-gamma (gamma flip) — the price where estimated net gamma changes sign. Above it, conditions are often calmer; below it, moves can extend.
- Call wall — the strike with the largest call gamma, often acting as resistance.
- Put wall — the strike with the largest put gamma, often acting as support.
An important caveat
GEX is an estimate. It assumes who is long and who is short each option, and in India that positioning is not published. Different assumptions give different signs, so GEX is best used as a map of where hedging pressure may sit, not as certainty.
The NEOGreeks Gamma tab shows GEX by strike, net GEX, the zero-gamma level and call/put walls for NIFTY, BANKNIFTY and SENSEX. Try it free for 7 days.