BAJAJ-AUTO gamma exposure, walls and max pain for 9 Oct 2026
Source: NSE end-of-day data, 8 Oct 2026. End of day, not live. Not investment advice.
BAJAJ-AUTO levels for the session of 9 Oct 2026, from the 8 Oct 2026 close of 9,637.08: call wall 10,000, put wall 10,000, gamma flip 9,373 (the close sat above it), max pain 10,100 for the 27 Oct 2026 expiry, put/call OI ratio 0.47, net GEX ₹28.1 cr per 1% move.
- Close
- 9,637.08
- 8 Oct 2026
- Call wall
- 10,000
- +3.77%
- Put wall
- 10,000
- +3.77%
- Gamma flip
- 9,373
- Max pain
- 10,100
- Tue 27 Oct 2026 expiry
- PCR (OI)
- 0.47
- nearest 0.47
- Net GEX
- ₹28.1 cr
- per 1% move
Sign convention on screen: Dealers long calls, short puts. Under the other reading (option writers short every option), net GEX is -₹138 cr per 1% move and there is no gamma flip. Why both are shown.
Gamma exposure by strike
Open interest and OI change by strike
| Strike | Call OI | Put OI | Call OI chg | Put OI chg | Call GEX | Put GEX | Net GEX |
|---|---|---|---|---|---|---|---|
| 9,200 | 0 | 40,275 | 0 | -7,125 | ₹0 cr | -₹1.8 cr | -₹1.8 cr |
| 9,300 | 0 | 33,225 | 0 | +3,075 | ₹0 cr | -₹1.7 cr | -₹1.7 cr |
| 9,400 | 0 | 55,650 | 0 | +975 | ₹0 cr | -₹3.2 cr | -₹3.2 cr |
| 9,500 | 5,700 | 54,450 | +2,925 | -11,400 | ₹0.38 cr | -₹3.6 cr | -₹3.2 cr |
| 9,600 | 14,175 | 44,100 | +6,225 | +6,450 | ₹0.98 cr | -₹3 cr | -₹2.1 cr |
| 9,700 | 44,775 | 48,150 | +21,900 | +9,975 | ₹3.3 cr | -₹3.5 cr | -₹0.24 cr |
| 9,800 | 90,600 | 74,850 | +13,950 | -17,550 | ₹6.6 cr | -₹5.4 cr | ₹1.1 cr |
| 9,900 | 1,14,600 | 54,375 | +22,350 | -5,775 | ₹7.9 cr | -₹3.7 cr | ₹4.1 cr |
| 10,000 | 2,67,375 | 1,75,125 | +19,425 | -10,875 | ₹16.7 cr | -₹10.7 cr | ₹6 cr |
| 10,100 | 1,45,350 | 50,475 | +9,150 | -825 | ₹8 cr | -₹2.8 cr | ₹5.2 cr |
Strike by expiry heatmap
| Strike | Tue 27 Oct 2026 | Mon 23 Nov 2026 |
|---|---|---|
| 10,400 | ₹3.2 | ₹0.24 |
| 10,300 | ₹4.1 | |
| 10,200 | ₹3.3 | ₹0.16 |
| 10,100 | ₹5.2 | |
| 10,000 | ₹6 | |
| 9,900 | ₹4.1 | |
| 9,800 | ₹1.1 | |
| 9,700 | -₹0.22 | |
| 9,600 | -₹2 | |
| 9,500 | -₹3.2 | |
| 9,400 | -₹2.8 | -₹0.36 |
| 9,300 | -₹1.7 | |
| 9,200 | -₹1.8 | |
| 9,100 | -₹1.1 | |
| 9,000 | -₹2.8 | -₹0.18 |
| 8,900 | -₹1.3 |
Expiries
| Expiry | Days | Lot size | Call OI | Put OI | PCR | Max pain |
|---|---|---|---|---|---|---|
| Tue 27 Oct 2026 | 19 | 75 | 32,00,325 | 15,00,450 | 0.47 | 10,100 |
| Mon 23 Nov 2026 | 46 | 75 | 46,350 | 24,000 | 0.52 | 10,000 |
| Tue 29 Dec 2026 | 82 | 75 | 1,200 | 6,600 | 5.50 | 10,000 |
Wall migration
| Date | Close | Call wall | Put wall | Gamma flip | Max pain | PCR | Call OI chg | Put OI chg |
|---|---|---|---|---|---|---|---|---|
| 8 Oct 2026 | 9,637.08 | 10,000 | 10,000 | 9,373 | 10,100 | 0.47 | +39,150 | -41,025 |
| 7 Oct 2026 | 9,883.87 | 10,000 | 10,000 | 9,540 | 10,200 | 0.49 | +3,68,475 | +95,550 |
| 6 Oct 2026 | 10,017.01 | 10,500 | 10,000 | 9,668 | 10,400 | 0.52 | +2,07,525 | +10,725 |
Method
Implied volatility from settlement prices, carry from put-call parity, risk-free rate 5.5%. 147 contracts used, 0 skipped with no solvable volatility, 0 expiring on the trade date left out. GEX is in ₹ crore per 1% move. Full method and sign convention.
Archive: 3 sessions stored since 6 Oct 2026, free, no account.