ITC Gamma Exposure
What today's GEX says End-of-day reading in plain words. It sizes the likely move; it does not call the direction.
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Gamma levels
Net GEX if the index moves Same OI and IV, re-priced at each level
GEX per strike = gamma × open interest × spot² × 1%, in ₹ crore: the change in hedge value for a 1% move. Calls count as positive and puts as negative, the common convention that assumes dealers are long calls and short puts; real dealer positions are not public. Gamma uses each option's own IV (Black-76).
Price with gamma levels Daily candles with EMA 20 / 50 / 100 / 200; dashed lines: gamma flip, call wall and put wall of the selected session.
GEX regime: will hedging calm or amplify moves? A volatility reading, not a direction call
What our backtest found NSE bhavcopy, 8 Jul 2024 – 7 Oct 2026
ITC (ITC) Gamma Exposure: What It Measures
The idea in one line
Gamma exposure (GEX) estimates how much option dealers would need to buy or sell ITC to stay hedged when the price moves. It is built from the open interest at each strike and each option's gamma.
How it is calculated
For each option we compute gamma from its own implied volatility (Black-76). GEX at a strike is gamma times open interest times the spot price squared times 1%, in rupees crore: the change in hedge value for a 1% move. Call GEX is counted as positive and put GEX as negative, and net GEX at a strike is the call figure plus the put figure.
The assumption behind the sign
The usual convention assumes dealers are long the calls and short the puts that the public trades. Actual dealer positions are not published, so GEX is a model of positioning, not a measured fact.
Reading the ITC GEX Chart
Net GEX bars and absolute GEX line
Green bars are strikes where call gamma dominates, red bars where put gamma dominates. The blue line is absolute GEX, call plus put gamma without signs, which shows where gamma is concentrated regardless of direction.
Call wall and put wall
The call wall is the strike with the largest positive net GEX and the put wall the strike with the largest negative net GEX. Traders often watch them as levels where hedging flows are heaviest.
Gamma flip
The gamma flip is the price at which total net GEX changes sign when the whole chain is re-priced at that level. Above it, the model says dealer hedging tends to dampen moves; below it, hedging tends to add to them. The small chart shows total net GEX across a range of prices.
Net GEX cross
The net GEX cross is where the per-strike bars change from negative to positive near the current price. It is a simpler cousin of the gamma flip and is read the same way.
Limitations
End-of-day snapshot
This page uses NSE closing OI and prices for the session. Intraday changes in OI and IV are not captured.
Model, not order flow
Dealers may be on either side of any strike, may hedge with futures or other options, or may not hedge at all. Treat GEX levels as reference levels, not as support, resistance or a prediction.
Units differ between platforms
Some sites leave out the 1% factor or use a different spot or volatility input, so the size of GEX can differ by a constant factor. The levels (walls, flip) are more comparable than the totals.
ITC GEX Levels on the Price Chart and the Backtest
Levels on the chart
The gamma flip, call wall and put wall of the selected session are drawn on the ITC candles with EMA 20, 50, 100 and 200, so you can see where they sit against the trend.
What GEX predicted
On NSE data from July 2024 to October 2026, net GEX was negative on only about 13% of NIFTY sessions. In already volatile markets, negative GEX went with bigger next-day moves (NIFTY 0.89% vs 0.74%; BANKNIFTY 1.57% vs 0.86%), but it did not predict direction.
ITC Gamma Exposure: Frequently Asked Questions
What is gamma exposure in ITC?
An estimate of how much hedging option dealers would need for a 1% move in ITC, built from open interest and gamma at each strike of the selected expiry.
What does positive net GEX mean?
Under the usual convention, positive net GEX means dealers are long gamma overall, so their hedging tends to sell into rises and buy into falls. Negative net GEX implies the opposite.
What is the gamma flip level?
The price at which total net GEX across the chain changes sign. It is found by re-pricing every option at a range of prices with today's OI and IV.
What are the call wall and the put wall?
The strikes with the largest positive and the largest negative net gamma exposure for the selected expiry.
Why do GEX numbers differ from other websites?
Platforms use different units (with or without the 1% factor), different IV inputs and different sign conventions. Compare levels such as walls and the flip rather than raw totals.
Can GEX tell me where ITC will close?
No. It is a model of possible hedging flows based on assumptions about who holds which options. It is for understanding market structure, not a trading signal.
Gamma Exposure for other indices & stocks
Data: NSE F&O bhavcopy (end of day). This page explains how market participants commonly read this data. It is for education only and is not a recommendation to buy or sell any security.