SQUAWKFLOW
Election 2026: what SPX options price for the Nov 4 session.Election 2026: what SPX options price

Free, no account. Daily levels are open data.

CANBK gamma exposure, walls and max pain for 15 Oct 2026

Source: NSE end-of-day data, 14 Oct 2026. End of day, not live. Not investment advice.

CANBK levels for the session of 15 Oct 2026, from the 14 Oct 2026 close of 124.76: call wall 125, put wall 120, gamma flip 120 (the close sat above it), max pain 124 for the 27 Oct 2026 expiry, put/call OI ratio 0.91, net GEX ₹16.8 cr per 1% move.

Close
124.76
14 Oct 2026
Call wall
125
+0.19%
Put wall
120
-3.82%
Gamma flip
120
Max pain
124
Tue 27 Oct 2026 expiry
PCR (OI)
0.91
nearest 0.91
Net GEX
₹16.8 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 -₹118 cr per 1% move and there is no gamma flip. Why both are shown.

Gamma exposure by strike

Put GEXStrikeCall GEXNet
129₹0.54 cr
128₹0.53 cr
127.5₹1.7 cr
127₹1.6 cr
126₹1.4 cr
125₹9.4 cr
124₹0.75 cr
123-₹0.39 cr
122.5-₹0.8 cr
122₹0.46 cr
121-₹0.84 cr
120-₹2.7 cr

Open interest and OI change by strike

Open interest and its change in units, summed over all listed expiries; GEX in ₹ crore per 1% move from expiries within 60 days. Strikes within 5% of the close.
StrikeCall OIPut OICall OI chgPut OI chgCall GEXPut GEXNet GEX
11913,77,00028,35,000-4,05,000+4,86,000₹0.82 cr-₹1.7 cr-₹0.87 cr
1201,35,27,0001,75,02,750-21,73,500+52,71,750₹9 cr-₹11.7 cr-₹2.7 cr
1219,99,00021,19,500-6,21,000+12,15,000₹0.76 cr-₹1.6 cr-₹0.84 cr
12224,90,75019,71,000-2,90,250+15,59,250₹2.1 cr-₹1.6 cr₹0.46 cr
122.534,89,75044,21,250-13,36,500+1,41,750₹3 cr-₹3.8 cr-₹0.8 cr
12315,45,75019,77,750+3,84,750+14,85,000₹1.4 cr-₹1.8 cr-₹0.39 cr
12423,35,50015,25,500+14,98,500+14,98,500₹2.2 cr-₹1.4 cr₹0.75 cr
1251,96,69,50093,89,250+64,39,500+39,08,250₹18 cr-₹8.6 cr₹9.4 cr
12629,16,00014,31,000+22,95,000+14,17,500₹2.7 cr-₹1.3 cr₹1.4 cr
12724,90,7507,08,750+19,10,250+6,54,750₹2.2 cr-₹0.64 cr₹1.6 cr
127.533,68,25014,85,000+5,87,250+3,10,500₹3 cr-₹1.3 cr₹1.7 cr
12814,04,0008,03,250+6,61,500+7,35,750₹1.2 cr-₹0.66 cr₹0.53 cr
1299,85,5003,03,750+7,69,500+2,43,000₹0.78 cr-₹0.24 cr₹0.54 cr
1301,70,91,00059,60,250+62,16,750+15,39,000₹11.7 cr-₹3.9 cr₹7.8 cr

Strike by expiry heatmap

Net GEX (dealers long calls) by strike and expiry, ₹ crore per 1% move. Green adds positive gamma, red negative.
StrikeTue 27 Oct 2026Mon 23 Nov 2026
134₹0.28
132.5₹0.4
132₹0.52
131₹0.48
130₹7.5₹0.27
129₹0.54
128₹0.55
127.5₹1.7
127₹1.6
126₹1.3
125₹9.2₹0.25
124₹0.76
123-₹0.39
122.5-₹0.8
122₹0.5
121-₹0.82
120-₹2.6-₹0.06
119-₹0.87
118-₹0.52
117.5-₹0.29
117-₹0.47
116-₹0.35
115-₹2.4-₹0.09

Expiries

Lot sizes as printed on each contract row of the exchange file.
ExpiryDaysLot sizeCall OIPut OIPCRMax pain
Tue 27 Oct 20261367509,44,39,2508,56,57,5000.91124
Mon 23 Nov 202640675053,52,75050,62,5000.95130
Tue 29 Dec 202676675027,00020,2500.75122

Wall migration

DateCloseCall wallPut wallGamma flipMax painPCRCall OI chgPut OI chg
14 Oct 2026124.761251201201240.91+2,39,42,250+2,23,83,000
13 Oct 2026120.441201201151220.90-6,14,250+21,06,000
12 Oct 2026118.381201201151220.87+35,91,000-9,18,000
9 Oct 2026119.59120120116122.50.92+81,000+63,51,750
8 Oct 2026117.35120120113122.50.83+45,09,000+16,13,250
7 Oct 2026119.15120120114122.50.87-7,02,000+32,94,000
6 Oct 2026117.81120120112122.50.81+93,28,500+26,52,750

Method

Implied volatility from settlement prices, carry from put-call parity, risk-free rate 5.5%. 133 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: 7 sessions stored since 6 Oct 2026, free, no account.