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Histories

The long series the readings are judged against, since 2019, from the stored daily files.

Who holds the index futures

index futures, net contracts (long - short), all underlyings. Net is long minus short; a negative number is a net short book. 312 report days since 1 Jan 2019.

Client	Net contracts, 30 Oct 2026
FII	−2,40,753
DII	+40,523
Pro	+13,242
Client	+1,86,988

Observation date: 30 Oct 2026
Updated: 19:25 IST on 30 Oct 2026
Units: contracts, net (long − short)
Frequency: each report day
Source: NSE participant-wise open interest (the participant report)

The gamma regime: spot against the flip

Dealers' net gamma on the front expiry, computed from each session's settles. With spot above the flip their hedging damps the index; below it, it amplifies. Spot closed above the flip in 7% of the 216 sessions on file.

Session	Expiry	Close	Flip	Regime	Net gamma	Pin	ATM IV
Fri 30 Oct 2026	3 Nov 2026	23,053	—	—	₹0.0 cr	23,000	12.0%
Thu 29 Oct 2026	3 Nov 2026	22,937	—	—	₹0.0 cr	23,000	13.0%
Wed 28 Oct 2026	3 Nov 2026	22,699	22,639	damped	−₹0.0 cr	22,700	15.3%
Tue 27 Oct 2026	3 Nov 2026	22,750	22,626	damped	−₹0.0 cr	22,800	15.4%
Mon 26 Oct 2026	27 Oct 2026	22,753	22,764	amplified	₹0.0 cr	22,700	19.8%
Fri 23 Oct 2026	27 Oct 2026	22,600	22,482	damped	−₹0.0 cr	22,500	14.6%
Thu 22 Oct 2026	27 Oct 2026	22,688	22,656	damped	−₹0.0 cr	23,000	14.2%
Wed 21 Oct 2026	27 Oct 2026	22,811	22,546	damped	−₹0.0 cr	23,000	14.2%
Mon 19 Oct 2026	27 Oct 2026	22,889	22,788	damped	−₹0.0 cr	23,000	12.6%
Fri 16 Oct 2026	19 Oct 2026	23,146	23,114	damped	−₹0.0 cr	23,100	11.0%
Thu 15 Oct 2026	19 Oct 2026	22,997	23,024	amplified	−₹0.0 cr	23,000	12.0%
Wed 14 Oct 2026	19 Oct 2026	22,623	22,486	damped	−₹0.0 cr	22,700	13.0%

Observation date: 30 Oct 2026
Updated: 19:25 IST on 30 Oct 2026
Units: rupees of dealer gamma per index point; levels in index points
Frequency: each NSE session
Source: computed on the desk from the bhavcopy (the stored gamma board)

Implied vol: level, rank, term and skew

At-the-money implied vol at the 30-day bucket of the surface the desk solves each evening from the bhavcopy's settles.

Reading	Value	Note
ATM IV	12.8%	30 Oct 2026
1-year rank	20	low 5.0% · high 44.6%
Percentile	56	of 252 sessions
25-delta skew	-0.9 pts	put IV minus call IV

Term structure on 30 Oct 2026

Bucket	25Δ put	ATM	25Δ call
7 d	14.3%	9.7%	10.2%
14 d	16.0%	12.3%	12.2%
30 d	16.1%	12.8%	17.1%
60 d	15.8%	12.8%	12.2%
90 d	18.0%	13.3%	14.3%
180 d	15.0%	12.5%	12.0%
365 d	15.2%	14.5%	15.3%

Observation date: 30 Oct 2026
Updated: 19:25 IST on 30 Oct 2026
Units: % annualised; rank 0–100 over 252 sessions
Frequency: each NSE session
Source: computed on the desk from the bhavcopy (the stored vol surface)

How often the weekly band held

Every week since 1 Jan 2019: one sigma over 7 days from INDIA VIX at the last close before the week, and where the week's last session closed against it. A band that is calibrated holds about 68 weeks in 100.

Reading	Value
Inside, all weeks	50% of 4 weeks
Inside, last 52	50%
Weeks a close left the band mid-week	2

Week of	Anchor	VIX	±σ	Band	Closed	Held
26 Oct 2026	22,600	16.86	528	22,072–23,128	23,053	inside
19 Oct 2026	23,146	14.06	451	22,696–23,597	22,600	outside
12 Oct 2026	22,520	14.38	448	22,072–22,969	23,146	outside
5 Oct 2026	22,422	14.46	449	21,973–22,871	22,520	inside

Observation date: 30 Oct 2026
Updated: 23:45 IST on 30 Oct 2026
Units: index points; share of weeks
Frequency: weekly, the band drawn at the last close before each week
Source: computed on the desk from NSE index closes

Nothing on this page is advice. The figures are the exchange's end-of-day data as this desk's store ingested them, and no position of the desk's is named anywhere on this site.

This is the page's text, served for readers without JavaScript and for crawlers; the page itself draws with JavaScript. The same figures as JSON: /v1/public/histories/participants; the feed at /feed.xml.