# India options method: GEX, sign convention, max pain

Canonical: https://squawkflow.com/india/method

End of day, not live. Not investment advice.

Updated 7 Oct 2026.

## What the data is

Every number on the India pages comes from the exchanges' end-of-day F&O bhavcopy: one file per trading day from NSE (Nifty, Bank Nifty, Fin Nifty and the F&O stocks) and one from BSE (Sensex), published after the 15:30 IST close. We read each file once, after it is published, and compute the levels for the next session. Nothing here updates during the session.

Open interest is the settled end-of-day figure, in units (shares or index units), not lots. The lot size printed on each contract row is shown beside it and is never hardcoded: lot sizes are revised from time to time and a revision applies from a given expiry.

## Gamma exposure (GEX), in ₹ crore per 1% move

For each strike and expiry we back the implied volatility out of the settlement price of the out-of-the-money option (call at or above the forward, put below), using a European model with the cost of carry taken from put-call parity at the strike where the call and put prices are closest. The risk-free rate is a stated assumption (5.5% a year). Series that expire on the trade date itself are dead for the next session and are left out.

GEX at a strike = gamma x open interest (units) x spot squared x 1%. Divided by 1,00,00,000 it reads in ₹ crore: the value of the underlying that the hedging side would buy or sell for a 1% move in the index.

Worked example: a Nifty strike with gamma 0.0004 per point, 10,00,000 units of open interest and the index at 22,800. 0.0004 x 10,00,000 x 22,800 x 22,800 x 0.01 = ₹2,07,93,60,000, which is ₹207.9 crore per 1% move.

Expiries more than 60 days out are left out of the GEX totals (open interest and PCR include every listed expiry); their gamma is small and their settlement prices are often theoretical.

## The sign convention, stated plainly

GEX needs an assumption about who is on the other side of the open interest. In the US the usual assumption is that dealers are long the calls the public sells them and short the puts the public buys. In India the commonly stated view is that retail traders are net buyers of index options and proprietary desks write them. NSE's own participant data does not always bear that out: on some days clients are net short index puts while net long calls. Neither reading is observable per strike, so we publish both and label which one is on screen.

Dealers long calls, short puts: call OI counts positive, put OI negative. This is the reading the levels default to, and the only one under which a gamma flip exists.

Option writers short every option: every strike counts negative. The walls are the same strikes under both readings (they are ranked by size), but net GEX is negative everywhere and there is no flip.

NSE's participant-wise open interest (shown on the hub and below) is the evidence for which reading fits a given day: it splits index option positions between clients, FIIs, DIIs and proprietary traders. It is a total across all index options, in contracts, not per index or per strike, so it informs the assumption rather than replacing it.

## Walls, flip, max pain, PCR

Call wall: the strike with the largest call GEX. Put wall: the strike with the largest put GEX. These are ranked by gamma, not by raw open interest, so a large but far out-of-the-money position can rank below a smaller one near the money.

Gamma flip: the index level where net GEX (dealers long calls) changes sign, found by re-pricing every strike at levels within 10% of the close with the same implied volatilities. If there is no crossing, we say so rather than show one.

Max pain: for one expiry, the settlement level at which option buyers would collect the least. It is computed per expiry; the headline uses the nearest one.

PCR: total put open interest divided by total call open interest, for all listed expiries and for the nearest.

## Expiry calendar

Nifty has weekly options expiring on Tuesday; Sensex weekly options expire on Thursday. Bank Nifty and Fin Nifty have monthly options only, expiring on the last Tuesday of the month. When an expiry day is a trading holiday the contract expires on the previous trading day. The dates printed in each day's exchange file are authoritative; our projections beyond them follow these rules.

## Limits

End of day only: open interest changes through the session and these levels do not. Settlement prices for illiquid strikes are exchange-computed theoretical prices. The sign convention is an assumption. None of this is a recommendation to trade.

Source: NSE end-of-day data, 8 Oct 2026.

## Who holds index options (NSE participant-wise open interest)

In contracts, all NSE index options and futures combined. Net = long minus short.

| Participant | Net index calls | Net index puts | Net index futures |
| --- | --- | --- | --- |
| Client | +4,10,031 | -8,26,619 | +2,47,393 |
| FII | -4,04,278 | +6,66,083 | -3,07,109 |
| DII | +84,899 | +56,384 | +36,250 |
| Proprietary | -90,652 | +1,04,152 | +23,466 |