SENSEX Liquidity Heatmap — Live
Per-strike option-chain liquidity grading — A (best) through D (dangerous). Know which strikes are actually tradable.
Why per-strike liquidity matters
Retail traders often place limit orders at ATM-±10 strikes assuming any strike listed is tradable. In reality, only ATM ±3 strikes typically have institutional-grade liquidity on SENSEX options. Farther-OTM strikes have wider spreads, thinner depth, and more slippage risk. Getting stuck in a poorly-liquid strike during a fast move can cost 2-5× your intended risk. The liquidity heatmap classifies every listed strike A/B/C/D by combining spread tightness, book depth, and volume.
Grade meanings
A-grade — spread < 0.05% of mid, book depth > 20K lots, volume > 40K lots. Safe for any size. B-grade — spread 0.05-0.15%, depth 5-20K, volume 10-40K. Safe for retail, some slippage on 5+ lots. C-grade — spread 0.15-0.5%, depth 1-5K. Retail-only, expect 3-8 pip slippage per side. D-grade — spread > 0.5% or depth < 1K. AVOID for anything but tiny scalping. The counts in the hero card tell you how deep into the chain you can safely trade today.
Liquidity varies by session and event
First 30 minutes of the session: liquidity is THINNEST — many strikes downgrade a full grade. After lunch (13:00-14:00 IST): often peak liquidity for SENSEX. Last 15 minutes: liquidity thickens on ATM but thins on far-OTM. On event days (RBI, budget): OTM strikes can see 2-5× wider spreads for hours. When market pressure spikes, D-grade strikes can go NO-QUOTE. If you're trading anything past ATM ±5, refresh this heatmap 15 minutes before entry.
How the liquidity score is computed
Each strike gets a 0-100 liquidity score: 50% weight on spread tightness (spread ≤ 0.02% of mid = full points), 30% on depth (log-scaled bid+ask quantities), 20% on volume (log-scaled session volume). Grade thresholds: A ≥ 75, B ≥ 55, C ≥ 35, D < 35. The formula is documented in our /orderflow terminal's Liquidity page with per-strike breakdown.
Cross-reference with GEX walls
GEX walls attract institutional flow — they're USUALLY A-grade. If a GEX call wall is at strike 24500 but that strike shows only C-grade liquidity, it's likely a stale wall — dealers may have already unwound. Fresh walls = high grade. Old walls = grade decays.
Frequently Asked Questions
Which strikes should I trade on SENSEX?
A- and B-grade strikes only. Anything C is retail-scalping-only; D is avoid.
How is liquidity graded?
50% spread tightness + 30% depth + 20% volume. Weighted score 0-100 mapped to A/B/C/D.
Does this include depth beyond top-of-book?
Yes — sum of all 5 visible bid/ask levels via the Kotak 5-level depth feed.
How often does the grid refresh?
60-sec cache on this page. Live in /orderflow terminal.
Why does an A-grade strike sometimes become C during the day?
Institutional makers step away during news events or volatile hours. Spreads widen, grades drop.
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