POLICYBZR 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.
POLICYBZR levels for the session of 9 Oct 2026, from the 8 Oct 2026 close of 996.01: call wall 1,100, put wall 1,000, gamma flip 926 (the close sat above it), max pain 1,100 for the 27 Oct 2026 expiry, put/call OI ratio 0.46, net GEX ₹14.2 cr per 1% move.
- Close
- 996.01
- 8 Oct 2026
- Call wall
- 1,100
- +10.44%
- Put wall
- 1,000
- +0.40%
- Gamma flip
- 926
- Max pain
- 1,100
- Tue 27 Oct 2026 expiry
- PCR (OI)
- 0.46
- nearest 0.46
- Net GEX
- ₹14.2 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 -₹65.3 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 |
|---|---|---|---|---|---|---|---|
| 960 | 1,40,000 | 6,30,700 | -11,900 | -69,300 | ₹0.45 cr | -₹2.1 cr | -₹1.6 cr |
| 980 | 2,15,950 | 4,94,900 | -19,250 | -44,100 | ₹0.78 cr | -₹1.8 cr | -₹1 cr |
| 1,000 | 11,40,650 | 14,29,400 | -98,350 | +22,400 | ₹4 cr | -₹5.2 cr | -₹1.2 cr |
| 1,020 | 5,02,250 | 3,17,450 | +51,100 | +3,150 | ₹1.9 cr | -₹1.2 cr | ₹0.69 cr |
| 1,040 | 7,66,150 | 4,44,150 | -1,050 | -17,150 | ₹2.7 cr | -₹1.5 cr | ₹1.2 cr |
Strike by expiry heatmap
| Strike | Tue 27 Oct 2026 | Mon 23 Nov 2026 |
|---|---|---|
| 1,060 | ₹2 | ₹0.05 |
| 1,040 | ₹1.2 | |
| 1,020 | ₹0.69 | |
| 1,000 | -₹1.3 | ₹0.1 |
| 980 | -₹1 | |
| 960 | -₹1.6 | |
| 940 | -₹0.6 | |
| 920 | -₹0.99 |
Expiries
| Expiry | Days | Lot size | Call OI | Put OI | PCR | Max pain |
|---|---|---|---|---|---|---|
| Tue 27 Oct 2026 | 19 | 350 | 2,60,08,150 | 1,18,68,150 | 0.46 | 1,100 |
| Mon 23 Nov 2026 | 46 | 350 | 9,93,300 | 4,81,950 | 0.48 | 1,040 |
| Tue 29 Dec 2026 | 82 | 350 | 97,300 | 24,150 | 0.25 | 1,000 |
Wall migration
| Date | Close | Call wall | Put wall | Gamma flip | Max pain | PCR | Call OI chg | Put OI chg |
|---|---|---|---|---|---|---|---|---|
| 8 Oct 2026 | 996.01 | 1,100 | 1,000 | 926 | 1,100 | 0.46 | +6,650 | -36,050 |
| 7 Oct 2026 | 1,040 | 1,100 | 1,000 | n/a | 1,100 | 0.46 | -2,06,150 | +1,24,950 |
| 6 Oct 2026 | 1,034.89 | 1,100 | 1,000 | n/a | 1,100 | 0.45 | -91,350 | +92,400 |
Method
Implied volatility from settlement prices, carry from put-call parity, risk-free rate 5.5%. 194 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.