NK225 OPTION MONITOR — DAILY MARKET STRUCTURE 20260909

After creating the daily Option data, futures fell sharply and both 65,000 Put Wall and Zero Gamma 65,303 were breached. Therefore tonight, from the daily time point, the “65,000–65,303 battle” advances one step,confirmation of downside settlementis the focus. GEX is a daily data-based model value, and actual distribution can change with overnight price movements.

The +899 of 66,625C stands out, and Building also expands from 67,000 to 68,750. The daily structure continues to form an upper Call Zone, but since current price is 64,570, the distance is widening, reducing the immediate significance as tonight’s upper price level.

Call Wall is67,000 / BUILDING. Together with the large Building at 66,625C, 66,625–67,000 is the first Call Zone. Further up, 68,000–69,000 also shows upper formation continuing.

However, the current price has fallen to 64,570, so tonight the priority is whether we can recover to around 65,000–65,303. Call Wall is not a fixed resistance; treat it as a reference band upon re-approach.

65,000P is +409 with Put Wall Building, and 64,500P and 64,250P are increasing as nearby puts form downward. Conversely, declines in 61,500P, 62,000P, and 60,000P are notable, and the overall Deep Put rearrangement is clearly shifting between strikes.

Near-Market P/C OI Ratio：1.140(down from 1.185 yesterday)

Near-Market P/C Volume Ratio：1.014

OI-based Put dominance has shrunk from the previous day and volume is nearly balanced. The market’s downside tilt is easing versus yesterday, but the current price drop does not align with that direction. Therefore tonight, prioritize price structure over PCR.

Call Near-Market OI Center：66,752.30(1D +5.51 / 3D +115.77 / 5D +62.10)

Put Near-Market OI Center：63,359.36(1D +38.83 / 3D -23.54 / 5D +154.06)

Call center of gravity is upward in mid-term. Put center is mixed by period, rising at 5D. The overall center of gravity of option positions has not shifted downward as much as price drop, keeping Option Bias Neutral.

ATM Average IV：31.06%(yesterday 32.94%, -1.88pt)

Put Skew：+2.72pt(yesterday +4.41pt, -1.70pt)

Call Skew：+1.69pt(yesterday -2.38pt, +4.08pt)

ATM IV and Put Skew have declined, while Call Skew has risen sharply. The previous strong downward hedging demand has softened, yet the actual price overnight has fallen steeply.Internal option improvements and price structure are diverging— this is the day's main feature.

Total GEX：-12.87 JPY bn / 1%

Gamma Regime：NEAR ZERO

Zero Gamma：65,302.80

The current price 64,570 is entering the 64,500 Negative GEX zone, and the next 64,000 is also a strong Negative GEX. This does not determine the downtrend, butif downside continues, the range tends to widen. Conversely, if a sharp rebound begins, price range is likely to widen upward as well.

The September 9 daily Option data are Neutral. Declines in ATM IV and Put Skew, rise in Call Skew, and lower P/C OI ease yesterday’s downside warnings, yet Deep Put Building and the 65,000 Put Wall and 67,000 Call Wall remain, so Option alone cannot determine direction.

However, futures as of 20:26 fell to 64,570 and clearly breached 65,000 Put Wall and 65,303 Zero Gamma. The 15-minute chart shows a retrace from 66,780 down to 65,790, then a break below 64,810. The price is below 20EMA, 80EMA, and 320EMA.

Currently, price structure takes precedence over improvement in options. If price settles below 64,500, 64,250→64,000 becomes the next monitoring band. Negative GEX is large at 64,000; if the trend continues, be wary of wider swings. If 63,710 is breached, a further significant deterioration of the 4H-scale structure occurs.

Conversely, if a rebound occurs, first recover 65,000 and then surpass Zero Gamma 65,303 and the nearby high 65,340. Until this is recovered, the rebound remains within the realm of a bearish bias.