Market Edge

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How to read this page

The sell side writes options; the buy side pays for them. That is how the Indian index market trades, and everything on this page follows from it. A book that is short calls and short puts is short gamma at every strike, so hedging it always runs with the move rather than against it. There is no level where that reverses — what changes is how hard, which is what gamma near spot measures.

Writer rotation is the signal that tries to sit in front of a move. Writers do not wait for a turn; ahead of one they buy back the side they are short and write the other. Calls above spot being covered while puts below are written is the book setting up for a move up; the mirror is the setup for a move down. It reads open-interest changes only, so it assumes nothing about who holds what.

The flat level is where the writers' book carries no net delta and needs no index hedge. Above it their hedge is long the index, below it short — it is where their positioning is centred, not a line price is drawn to.

The expected move is not a forecast; it is arithmetic on the at-the-money straddle, the move the option market is charging for between now and expiry.

Where the trigger comes from. The score at which a rotation is called is not a number anyone picked. Every threshold on a grid is replayed over every recorded session, and for each the at-the-money option on that side is followed from the signal: the one chosen is whichever most often reached +50% before falling 25%, among thresholds with enough signals to believe. Re-running that search changes the live trigger on its own.

Every figure that claims something about the future carries the number of recorded sessions it was measured on. Where that number is too small, the page says so instead of printing a percentage.

Short call gamma Short put gamma Writers' net delta if the index moved there Spot Level where they are flat
Bars stack because writers are short both sides — ₹ crore of delta they must hedge per 1% move.

What followed, historically

About Market Edge

Option writers are the informed side of the Indian index market: retail buys premium, institutions and proprietary desks sell it. This page reads what those writers are doing and what it has historically meant.

Its main signal is writer rotation. Writers do not wait for a turn — ahead of one they buy back the side they are short and write the other. Calls being covered above spot while puts are written below it is the book setting up for a move up; the mirror is the setup for a move down. It reads open-interest changes only, so it assumes nothing about who holds what.

Around it sit the writers' short gamma and how much of it is near spot, the level where their book carries no net delta, the expected move priced by the at-the-money straddle, and the strike the chain is pinned to. Every forward-looking figure carries the hit rate and the number of recorded sessions it was measured on.

How to use this page

  1. Read the verdict first — the rotation sits at the top because it describes which side the writers are moving onto, which none of the other panels show. Treat it as a description of the chain, not a trade: tested across the recorded archive, acting on it does not clear the rate needed to break even after costs, and the page says so wherever it prints a number.
  2. Check the sample size beside any rate. A bucket below 25 instances or 20 sessions prints 'not enough history yet' instead of a percentage, on purpose.
  3. Use the flat level as a description of where positioning is centred, not as a support or resistance line. Treating it as a line to trade against is the commonest misuse.
  4. Press Replay session to scrub the day and watch rotation, gamma and price move together. Space plays and pauses; the arrow keys step one frame.

Common questions

What is writer rotation in options?
Writer rotation is option writers buying back the side they are short and writing the opposite side ahead of a change in direction. Call open interest falling above spot while put open interest rises below it is writers setting up for a move up; the mirror pattern is the setup for a move down. Because it uses only open-interest changes it assumes nothing about who holds which side.
Why is there no gamma flip level for NIFTY?
A gamma flip only exists if the sell side is long one type of option and short the other, which is the convention imported from US index markets. Here the sell side writes both calls and puts, so the book is short gamma at every strike and there is no level at which the sign changes. Hedging amplifies moves all session; what varies is how much gamma sits near spot.
What is the writers' flat level?
The index level at which the writers' option book carries no net delta and needs no index hedge at all. Above it their hedge is long the index, below it short. It shows where their positioning is centred, not a level price is drawn to.
How is the expected move to expiry calculated?
From the at-the-money straddle. A straddle is worth roughly 0.7979 times spot times volatility times the square root of time, so the one standard deviation move to expiry is about 1.2533 times the straddle price. No positioning assumption is involved.

More detail: the method page documents every formula, and the guides explain how to read each dashboard and where the numbers mislead.