PERSISTENT gamma exposure, walls and max pain for 16 Oct 2026
PERSISTENT levels for the session of 16 Oct 2026, from the 15 Oct 2026 close of 5,840: call wall 6,000, put wall 5,700, gamma flip 5,647 (the close sat above it), max pain 5,800 for the 27 Oct 2026 expiry, put/call OI ratio 0.80, net GEX ₹10.3 cr per 1% move. The PERSISTENT gamma exposure by strike chart, the strike by expiry heatmap and the wall migration across archived sessions are at squawkflow.com/india/stocks/persistent, updated after each NSE end-of-day file.
Source: NSE end-of-day data, 15 Oct 2026. End of day, not live. Not investment advice.
Computed from the 15 Oct 2026 close. Next update after the 16 Oct 2026 close, checked hourly from 5:40 to 8:40 a.m. PT that day.
- Close
- 5,840
- 15 Oct 2026
- Call wall
- 6,000
- +2.74%
- Put wall
- 5,700
- -2.40%
- Gamma flip
- 5,647
- Max pain
- 5,800
- Tue 27 Oct 2026 expiry
- PCR (OI)
- 0.80
- nearest 0.81
- Net GEX
- ₹10.3 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 -₹82.2 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 |
|---|---|---|---|---|---|---|---|
| 5,600 | 67,375 | 1,28,750 | -3,375 | +14,375 | ₹1.7 cr | -₹3.3 cr | -₹1.6 cr |
| 5,700 | 67,000 | 2,61,375 | +4,625 | +1,44,625 | ₹1.9 cr | -₹7.3 cr | -₹5.4 cr |
| 5,800 | 2,04,875 | 2,05,125 | +1,08,375 | +45,000 | ₹6 cr | -₹5.9 cr | ₹0.03 cr |
| 5,900 | 2,25,125 | 1,29,375 | +1,09,250 | +30,250 | ₹6.4 cr | -₹3.7 cr | ₹2.7 cr |
| 6,000 | 4,00,375 | 1,00,000 | +1,22,250 | +22,125 | ₹10.3 cr | -₹2.6 cr | ₹7.7 cr |
| 6,100 | 2,33,500 | 29,000 | +76,375 | +5,375 | ₹5.5 cr | -₹0.68 cr | ₹4.8 cr |
Strike by expiry heatmap
| Strike | Tue 27 Oct 2026 | Mon 23 Nov 2026 |
|---|---|---|
| 6,300 | ₹1.6 | |
| 6,200 | ₹2.5 | ₹0.08 |
| 6,100 | ₹4.8 | |
| 6,000 | ₹7.4 | ₹0.29 |
| 5,900 | ₹2.7 | |
| 5,800 | ₹0.11 | -₹0.08 |
| 5,700 | -₹5.4 | -₹0.08 |
| 5,600 | -₹1.5 | |
| 5,500 | -₹3.4 | |
| 5,400 | -₹0.46 |
Expiries
| Expiry | Days | Lot size | Call OI | Put OI | PCR | Max pain |
|---|---|---|---|---|---|---|
| Tue 27 Oct 2026 | 12 | 125 | 21,72,500 | 17,54,500 | 0.81 | 5,800 |
| Mon 23 Nov 2026 | 39 | 125 | 65,125 | 34,875 | 0.54 | 5,700 |
| Tue 29 Dec 2026 | 75 | 125 | 1,000 | 0 | 0.00 | no open interest yet |
Wall migration
| Date | Close | Call wall | Put wall | Gamma flip | Max pain | PCR | Call OI chg | Put OI chg |
|---|---|---|---|---|---|---|---|---|
| 15 Oct 2026 | 5,840 | 6,000 | 5,700 | 5,647 | 5,800 | 0.80 | +7,24,000 | +6,25,625 |
| 14 Oct 2026 | 5,897.96 | 6,000 | 5,800 | 5,546 | 5,700 | 0.77 | +2,33,375 | +51,000 |
| 13 Oct 2026 | 5,988.8 | 6,000 | 5,800 | 5,620 | 5,700 | 0.87 | +1,89,875 | +1,53,125 |
| 12 Oct 2026 | 5,786.93 | 6,000 | 5,700 | 5,510 | 5,600 | 0.88 | +78,875 | +47,875 |
| 9 Oct 2026 | 5,768.36 | 6,000 | 5,600 | 5,485 | 5,600 | 0.90 | +1,20,125 | +2,22,375 |
| 8 Oct 2026 | 5,467.99 | 5,600 | 5,300 | 5,195 | 5,400 | 0.77 | +37,750 | +63,250 |
| 7 Oct 2026 | 5,506.89 | 5,500 | 5,300 | 5,162 | 5,400 | 0.73 | +10,750 | +2,875 |
| 6 Oct 2026 | 5,520.97 | 5,500 | 5,300 | 5,138 | 5,400 | 0.74 | -1,000 | +25,125 |
Method
Implied volatility from settlement prices, carry from put-call parity, risk-free rate 5.5%. 90 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: 8 sessions stored since 6 Oct 2026, free, no account.