Options structure, explained

On expiry day an index sometimes settles close to a strike where a lot of options are open. That strike is called a pin. The pin magnet shows which strike looks strongest right now and the one behind it.

No pin: no strike stands out. Shifting: the strongest strike has changed in the last 30 minutes. Stable: the same strike for 30 minutes or more. Locked: the same strike for an hour, with high conviction and the index within half an expected move of it.

How clearly one strike stands out from the next one, and how many separate readings point at the same strike. It is shown as low, medium or high.

No. The chance shown beside the pin is what option prices imply, not a forecast. Every weekly expiry the 13:00 reading is checked against the close and kept on the track record, misses included.

Every 5 minutes from 9:20 AM on trading days, for NIFTY and SENSEX, on the current weekly expiry. On expiry day it uses the series that expires that day.

Delta is the part of an option that moves like the index. A delta of 0.5 means the option gains or loses about half of what the index does. Adding delta across all open options gives the exposure the option market carries.

We assume market makers are long calls and short puts. Under that assumption both sides leave them holding index exposure, so the total stays positive. Real positions are not public; this is an estimate under a stated assumption.

The index level where the exposure carried by calls equals the exposure carried by puts. When the index is above it, calls carry more weight; below it, puts do.

The change in delta exposure in each 15-minute block of the day, so you can see whether hedging needs are building or easing.

Rupees crore of index exposure, from the option chain for the current weekly expiry, every 5 minutes.

Each row is one scenario: the index up or down by 0.25%, 0.5%, 1% or 2%. Buy means market makers would need to buy futures to stay hedged; sell means sell. The bar shows the size against the other rows.

Near the index, hedging usually leans against a move. A big enough move can cross the level where that flips, and from there hedging adds to the move. Every option is re-priced at each level, so the ladder shows where that turn happens.

By the close, time alone: the hedging change if the day ended with no move, as options lose time value. If IV rises 1 pt: the change if implied volatility rose by one point across the chain.

They assume every open contract sits with market makers as stated. Read them as an upper bound and compare rows with each other, not with market volume.

Rupees crore of futures and the number of lots. NIFTY lots are 65 units and SENSEX lots are 20.

Gamma is how fast an option's delta changes when the index moves. Where gamma is high, hedging needs change quickly.

How concentrated gamma is across the strikes around the index. It is shown as an equivalent number of strikes: fewer strikes means more crowded.

Spread: hedging is thin and spread wide. Crowded: it is bunched on a few strikes. The bands are early and will be re-set from our own sessions after 30 trading days.

When gamma is crowded near the index, moves near those strikes tend to stall or snap. When it is spread, hedging is thin everywhere. It describes the market; it is not a signal to trade.

Every 5 minutes on trading days, with a line through the day. The closing reading of each session is kept for a 30-session chart.

The contracts traded today divided by the contracts still open. A high number means far more trading than open positions.

An option with very little open interest makes any ratio look huge. Options with very small open interest are left out so the list shows real activity.

Compared with the first reading of the day: premium up and OI up is long buildup; premium down and OI up is short buildup; premium up and OI down is short covering; premium down and OI down is long unwinding. Small changes get no label.

No. It shows where activity is. Daksh Analytics gives no buy or sell advice.

Lots. The exchange reports quantity, and we divide by the lot size: 65 for NIFTY and 20 for SENSEX.