Learn the Dashboard

Gamma Exposure (GEX) & the Flip Level

Gamma Exposure — GEX — measures how much net gamma risk market makers (dealers) carry at each strike price across all active options contracts. It is computed as:

When dealers are net long gamma (positive GEX), they must sell rallies and buy dips to stay delta-neutral — this dampens volatility. Price oscillates around the GEX concentration strike. When dealers are net short gamma (negative GEX), their hedging amplifies directional moves — small rallies force them to buy more futures, small dips force them to sell. This creates fast, trending conditions.

The GEX Flip Level

The flip level is the strike at which net GEX crosses from positive to negative. Price above the flip tends to mean-revert; price below tends to trend. On the GammaAlgo dashboard, the flip level is recomputed each data tick as the option chain updates. The Gamma Engine tab displays a bar chart of GEX by strike for NIFTY, SENSEX and BANKNIFTY, with the current flip level highlighted. A second chart shows the GEX pressure heatmap — colour-coded by gamma concentration.

Four Dealer Scenarios

Since dealer posture cannot be determined with certainty from public NSE data alone, GammaAlgo computes GEX under four scenario assumptions weighted by strike signals — IV trend, OI change direction, moneyness and recency. The four scenarios bracket the likely range of flip levels, giving you a probabilistic view of where dealer hedging dominates today.

Phase 1 & Phase 2 Analytics

The GammaAlgo dashboard organises its dealer analytics into two "phases" that together describe both the structural foundation and the current flow direction:

Phase 1 — Structural Positioning

Phase 1 reads the accumulated state of the market — where is OI concentrated, which strikes have the largest open interest walls, and what does the put/call ratio (PCR) of OI tell us about dealer inventory. The Phase 1 panel shows:

• Strike-wise OI heatmap — visualises where call and put writers are parked, identifying natural support and resistance levels based on OI concentration
• ATM PCR (OI-based) — the ratio of ATM put OI to call OI, a measure of overall market tilt
• Max Pain level — the strike at which aggregate option losses (to buyers) are maximised, indicating where price gravitates near expiry
• OI change direction panels — CE and PE OI changes over the last 5 and 30 minutes, colour-coded by buildup vs. unwinding

Phase 2 — Flow & Momentum

Phase 2 looks at the rate of change — what is happening right now, tick by tick. It focuses on aggressive positioning and momentum signals:

• OI velocity — how fast OI is building at ATM and OTM strikes (the same signal that feeds the OI Change Momentum chart)
• Volume flow bias — whether intraday volume on the CE or PE side is dominating, a proxy for directional conviction
• Dealer delta tilt — combines gamma, OI delta and spot direction to estimate whether dealers are currently buying or selling futures
• Signal divergence alerts — fires when Phase 1 structure and Phase 2 flow diverge (e.g. OI says bearish but volume says bullish — classic pre-reversal setup)

When both phases agree on direction, the probability of a sustained move is highest. When they diverge, expect chop.

OI Change Momentum Chart

The OI Change Momentum chart displays a 30-tick rolling buffer of ATM CE, ATM PE and OTM PE open interest changes. Each tick is approximately 2 seconds during market hours — 30 ticks covers roughly 1 minute of live market activity:

• Red bars (ATM CE building) — call writers adding positions above ATM; bearish pressure building overhead
• Dark bars (ATM CE unwinding) — call writers exiting; overhead resistance weakening
• Green bars (ATM PE building) — put writers adding positions below ATM; support actively being built
• Grey bars (ATM PE unwinding) — put writers exiting; support structure eroding
• Violet bars (OTM PE building) — OTM put OI growing; panic confirmation for the Sniper signal

Reading the Chart in Context

The label below the chart shows the net tilt — "PE > CE (support active)" or "CE > PE (sellers in control)". This tells you the aggregate institutional lean in real time. A session where CE bars dominate throughout morning means dealers are protecting the upside aggressively — expect pinning or a bear push. PE-dominant sessions often precede short covering rallies.

When you see OTM PE bars turning violet alongside ATM CE unwinding, the Sniper Panic SETUP or WATCH state is typically already active — the chart confirms the signal before ENTRY fires.

The Sniper Panic Strategy

The Sniper Panic strategy targets a well-documented Indian F&O phenomenon: OTM option sellers — usually retail traders who sold far-OTM options for income — are forced to panic-buy back their positions when the market moves against them. This panic buying creates predictable, rapid surges in OTM option prices that cluster around perfect-square premium levels.

Why Perfect Squares?

Perfect squares (196 = 14², 225 = 15², 256 = 16², 289 = 17², 324 = 18²…) act as natural psychological stops in premium space. A seller who received ₹130 premium for an OTM PE naturally stops out mentally at ₹196 — the first "round" number in premium space above their sale price. When enough sellers cluster their mental stops at the same square level, a panic cascade occurs and the option price rockets through that level to the next square.

The strategy does not predict when this cascade will happen — it monitors the structural buildup in real time and fires an alert precisely as the cascade begins.

The Signal Chain

Multi-Symbol & Restart Logic

The system monitors NIFTY, SENSEX and BANKNIFTY simultaneously, with each running an independent signal chain. If the platform restarts during market hours and ENTRY conditions are already met on any symbol, the alert fires immediately on restart — preventing missed signals during maintenance windows.

The previous-day snapshot for each symbol (ATM levels, OTM levels, sniper point) is captured automatically via the sniper_eod cron at 15:35 IST on each trading day and stored as the reference for the following session.

Dashboard Display

The Sniper section of the dashboard shows two cards — BULL (watching the OTM CE side for upside panic) and BEAR (watching OTM PE for downside panic). Each card displays the current state badge (IDLE / SETUP / WATCH / ENTRY), live ATM LTP vs. previous close, OTM LTP vs. sniper point, progress bars, and entry + target levels. Below the cards, the OI Change Momentum chart shows the real-time tick buffer as bars.

ATM Greeks Tab — Live IV, Delta, Gamma, Theta, Vega

The ATM Greeks tab on GammaAlgo displays the five primary option Greeks for the current ATM strike across all three monitored indices in real time. Values update each data tick as the live option chain refreshes.

What Each Greek Tells You

• Implied Volatility (IV) — the market's expectation of future volatility, priced into the option premium. When ATM IV rises without a corresponding move in spot, it indicates hedging demand or event-driven uncertainty. The dashboard shows IV rank — where current IV sits relative to the past 52-week range (0 = historically low, 100 = historically high).
• Delta (Δ) — the rate of change of the option price relative to the spot move. ATM options have delta near 0.5 for calls and −0.5 for puts. When ATM CE delta is climbing without a spot rally, it signals dealer delta re-hedging — a precursor to GEX-driven acceleration.
• Gamma (Γ) — the rate of change of delta. High ATM gamma near expiry creates the most hedging activity per spot move. The Gamma Engine tab shows per-strike gamma to identify where this hedging pressure is concentrated.
• Theta (Θ) — daily time decay of the option premium. ATM theta is highest among all strikes and accelerates rapidly in the last 3 days before expiry. The dashboard uses theta to flag when straddle premium is decaying faster than expected (potential IV crush signal).
• Vega (ν) — the option premium's sensitivity to a 1% change in IV. High ATM vega means a small IV move has a large premium impact. Vega-driven premium moves are the mechanism behind expiry-week "IV crush" and pre-event premium expansion.

IV Rank

IV Rank normalises the current IV on a 0–100 scale using the past 52-week high and low. IV Rank < 20 means volatility is historically cheap — ideal for premium buying strategies or anticipating an IV expansion. IV Rank > 80 means volatility is historically expensive — ideal for premium selling or expecting IV crush. The ATM Greeks tab highlights when IV Rank crosses the 20 and 80 thresholds.

Straddle Analyzer

The Straddle Analyzer tab tracks the combined CE + PE premium of the ATM straddle (buying or selling both options at the same strike) in real time. This is the most widely used structure among institutional index option traders.

What the Straddle Tab Shows

• Live Straddle Premium — ATM CE LTP + ATM PE LTP updated each tick. Any deviation from the theoretical fair value (based on current IV) reveals dealer premium adjustments in real time.
• Break-even Range — the distance from ATM spot in both directions that the straddle buyer needs the index to travel before expiry to profit. When the break-even is wider than historical average daily range, selling the straddle has a statistical edge.
• Straddle Decay Curve — how much premium the straddle should theoretically lose per day if spot stays flat (theta decay profile from today to expiry). Deviations from this curve signal IV changes.
• IV Skew — the difference between CE IV and PE IV at the ATM strike. Positive skew (CE IV > PE IV) means the market fears an upside breakout more. Negative skew (PE IV > CE IV) indicates downside hedging demand is dominant — often seen before heavy institutional selling.
• Premium Alerts — fires a Telegram notification when straddle premium drops below a configured threshold (for sellers managing positions) or when IV skew flips direction intraday.

NSE Market Breadth & FII/DII Data

The NSE Market Intelligence section aggregates three categories of market-wide data that the option chain alone cannot capture:

Market Breadth

Breadth measures how many stocks are participating in a move. The dashboard shows:

• Advance/Decline (A/D) ratio — number of NSE stocks advancing vs. declining. An index rally with A/D < 1 is a "narrow" rally — likely driven by heavyweight stocks, not broad participation, and is structurally weaker.
• New 52-week Highs/Lows count — rising new highs with a rising index confirms trend health. Divergence (index rising but new highs falling) is an early distribution signal.

Sector Heatmap

The sector panel shows intraday performance of key NSE sectors — Banking, IT, Auto, FMCG, Energy, Metals, Pharma and Realty. When a broad index move is supported by multiple sector moves, it tends to sustain. When only 1–2 sectors are driving the move, expect a reversion once that sector rotation exhausts.

FII/DII Options OI Data

The FII/DII panel shows the net futures and options positions of Foreign Institutional Investors and Domestic Institutional Investors as reported in SEBI's daily OI data. This data lags intraday but is released on the NSE website each evening. Key metrics:

• FII Index Futures Long/Short ratio — when FIIs are net long futures, they tend to hold bullish index exposure; unwinding appears as selling in the cash segment and index futures together.
• FII Options CE vs PE OI — FII dominance in CE OI suggests they are buying calls (expecting upside) or selling puts (neutral to bullish). PE OI dominance means downside hedging or directional put buys.
• DII positioning — DIIs (mutual funds, insurance) tend to be structurally long cash and short/neutral futures. Large DII futures sells are a warning sign of institutional distribution.

BTC, ETH & SOL — Gamma, Funding & Flow Signals

The GammaAlgo Crypto tab brings the same analytical framework used for Indian indices to BTC, ETH and SOL — combining on-chain positioning data, derivatives metrics and sentiment indicators that simply don't exist for Indian equity options.

Crypto Gamma Exposure

BTC, ETH and SOL have liquid derivatives markets on Deribit and Binance where dealers also carry gamma exposure. The crypto GEX panel shows the estimated net gamma by strike for BTC/ETH options, identifying where dealer hedging will create gravitational pull on price. Crypto GEX flips tend to have sharper effects than equity GEX because the underlying is 24/7 and there is no "market close" to reset dealer books.

Funding Rate

The perpetual futures funding rate is the hourly payment between long and short holders of the perp contract. It is the single best real-time indicator of leverage positioning:

• Positive funding — longs pay shorts; the market is crowded long on leverage. Elevated positive funding (>0.05% per 8h) often precedes long liquidation cascades.
• Negative funding — shorts pay longs; the market is crowded short. Deeply negative funding often resolves with a short squeeze.
• Funding rate trend — a funding rate that turns from negative to positive during an uptrend confirms institutional longs are building, not just retail punting.

Long/Short Ratio

The L/S ratio from Binance shows the proportion of accounts holding net long positions vs. short on perpetual futures. It measures directional bias of active traders. L/S > 1.5 means the crowd is significantly long — contrarian signal for caution. L/S < 0.8 means the crowd is net short — potential fuel for a short squeeze.

Liquidation Heatmap

The liquidation heatmap plots price levels where clusters of leveraged positions (both longs and shorts) will be force-liquidated if price reaches that level. Concentrated liquidation clusters act as price magnets — the market frequently "hunts" these clusters before reversing. On GammaAlgo, the crypto heatmap shows the top 3 long and short liquidation levels for BTC and ETH and is updated every 30 minutes.

IV Term Structure

The implied volatility term structure for crypto shows IV at multiple option expiries — 7-day, 14-day, 30-day, 90-day. A normal (upward-sloping) term structure means near-term calm is expected. An inverted term structure (near-term IV > far-term IV) signals an imminent event or panic in the immediate term.

Fear & Greed Index

The Crypto Fear & Greed Index aggregates multiple sentiment signals (volatility, market momentum, social media, surveys, dominance, trends) into a 0–100 scale. Values below 20 (Extreme Fear) have historically been strong medium-term buy signals. Values above 80 (Extreme Greed) have preceded corrections. The dashboard shows the current reading alongside its 7-day trend.

BTC.DOM — Bitcoin Dominance

Bitcoin dominance measures BTC's share of total crypto market capitalisation. Rising BTC dominance means capital is flowing into BTC relative to altcoins — typically a risk-off crypto signal. Falling dominance means altcoins are outperforming — risk-on and often a sign of a broader altcoin rally. The dashboard tracks BTC.DOM alongside BTC spot price to identify regime changes.

Volume Flow, PCR & OI Spike Signals

The platform uses three additional filters applied to the raw NSE option chain data to flag genuine institutional activity:

• OI Spike Threshold (5%) — any OI change exceeding 5% in a single data tick across a strike is flagged as a flow alert in the options chain panel
• Volume/OI Ratio (VOR) — high VOR (today's volume as a multiple of current OI) relative to historical average at that strike suggests fresh positioning rather than rolling or hedging of existing books
• PCR Divergence — when volume PCR and OI PCR diverge in direction, it signals fresh positioning in one direction against an existing structure in the other. This is most powerful near key GEX levels.