NK225 OPTION MONITOR — DAILY MARKET STRUCTURE 20260924
NK225 OPTION MONITOR — DAILY MARKET STRUCTURE
Today’s Market Judgment
| Judgment Items | Judgment | Key Points |
|---|---|---|
| Option Bias | Neutral 7/10 | Strength and weakness factors are balanced; directional judgment is Neutral |
| Position Structure | Non-directional reorganization | Simultaneous upward-call reorganization and downward-put reorganization |
| Wall Structure | Call buildup / Put unwinding | Movement of concentrated Call on the upper side and Put unwinding on the lower side |
| Gamma Environment | Expanding | Approaching Zero Gamma, be cautious of regime change |
Direction is Neutral, but unlike the previous business day, there is simultaneous reshaping of upper Call and restructuring of lower Put. Negative Gamma environment persists, but the distance to Zero Gamma is narrowing, making price range characteristics more prone to change.
1. Overall Market Position
| Item | Value | Assessment |
|---|---|---|
| Nikkei 225 Cash | 65,513.99 | Based on JPX daily data |
| Nikkei 225 Futures | 65,460 | Futures value based on JPX daily data |
| ATM Strike | 65,500 | October expiry / DTE 15 |
| Call Wall | 68,000 | Major Wall Price |
| Put Wall | 64,000 | Major Wall Price |
| Zero Gamma | 65,890.48 | Regime-change threshold |
| Total GEX | -14.10 JPY bn / 1% | Baseline indicator of Gamma environment |
The current price is near the ATM and between the Put Wall and Call Wall. It sits below Zero Gamma in the relative position.
2. Call Side Position Formation
| Strike | OI | 1D | 3D | 5D | Volume | Assessment |
|---|---|---|---|---|---|---|
| 65,000C | 1,412 | -8 | +717 | +791 | 161 | Mid-term buildup maintained |
| 66,000C | 2,965 | -7 | +1,080 | +1,001 | 210 | Large open interest remains |
| 67,000C | 1,482 | -341 | -269 | -37 | 1,189 | Significant unwinding |
| 68,000C | 2,156 | +436 | +352 | +768 | 1,247 | Call Wall Building |
| 69,000C | 2,531 | |||||
| 70,000C | 2,476 | +181 | ||||
| 71,000C | 1,768 | +383 | Large-scale Building | |||
| 72,000C | 3,059 | +376 |
Today, 67,000C falls by -341 significantly, while 68,000C +436, 70,000C +181, 71,000C +383, 72,000C +376 indicate OI expanding toward higher strikes.Higher strike OI is broadening.
On Option Bias, large-scale reorganization shows Call-building centroid at 70,737.70 and unwinding centroid at 69,620.18, a rise of about 1,118 yen. Not a single-strike move, but a potential reallocation of Call positions toward higher strikes as a whole.Call-side broad reallocation toward higher strikes is possible.
3. Evaluation of Major Call Walls
Call Wall is68,000 / BUILDING。 68,000C has OI 2,156, 1D +436, 3D +352, 5D +768, volume 1,247. Daily increase and mid-term increase align, confirming Wall formation.
On the other hand, sizable new OI formation is seen at 71,000C and 72,000C, so it is more appropriate to evaluate the entire upper Call Zone from 68,000 to 72,000 rather than focusing only on 68,000. In particular, 72,000C has OI 3,059 and volume 2,918, both large in absolute terms and activity.
4. Put Side Position Formation
| Strike | OI | 1D | 3D | 5D | Volume | IV |
|---|---|---|---|---|---|---|
| 65,000P | 1,997 | +32 | -35 | -29 | 454 | 24.57% |
| 64,000P | 1,612 | -162 | -136 | -139 | 523 | 24.96% |
| 63,000P | 1,915 | +39 | -86 | -126 | 440 | 26.26% |
| 62,625P | 692 | -494 | -494 | +562 | 494 | 27.05% |
| 62,500P | 1,692 | 192 | 27.02% | |||
| 62,000P | 1,563 | 685 | 27.75% | |||
| 61,000P | 1,421 | +125 | +147 | +199 | 622 | 29.02% |
| 60,000P | 11,776 | -25 | +19 | +499 | 2,261 | 30.52% |
| 59,500P | 428 | -455 | -469 | +57 | 624 | 31.58% |
| 59,000P | 1,137 | +109 | +97 | +174 | 602 | 32.27% |
| 58,500P | 786 | +336 | +366 | +427 | 601 | 33.04% |
| 56,000P | 2,039 | +214 | +342 | +466 | 573 | 37.97% |
| 55,000P | 3,344 | -616 | -616 | -537 | 1,677 | 40.32% |
| 52,000P | 1,417 | -488 | -665 | -207 | 1,470 | 47.47% |
8～25% OTM Putの1日OI純変化は-172。 Gross Building +1,447に対しGross Unwinding -1,619で、Deep Put全体ではわずかにUnwinding優位。
ただし内部は大きく分岐している。 58,500P +336、56,000P +214、59,000P +109、53,000P +120などが増加する一方、 55,000P -616、52,000P -488、59,500P -455などは大幅減少。 したがって、Deep Put全体の解消というより、Strike間で大規模な組み替えが進行しているとみる。
5. Put / Call Balance
Near-Market P/C OI Ratio：1.331（前営業日1.425、-0.093）
Near-Market P/C Volume Ratio：0.799
Therefore,Although Put dominance remains on the balance sheet, Call presence has increased compared to the previous business day。 PCR is supplementary and should not be used alone to determine direction.
6. OI Center of Gravity
Call Near-Market OI Center：68,130.54（1D +132.08 / 3D -69.05 / 5D -168.99）
Put Near-Market OI Center：61,954.84（1D +28.96 / 3D +35.32 / 5D -50.71）
Call centroid rose in 1D, but still declines in 3D and 5D. Put centroid rises in 1D and 3D, but falls in 5D.
Therefore, both sides trend upward in the short term, but direction is not yet aligned across multiple days.1D rise in Call centroid aligns with upper-call reorganization, but cannot confirm mid-term trend reversal.
7. IV / Skew
ATM Average IV：24.63%(Previous business day 23.43%, +1.19pt)
Put Skew：+0.61pt(Prev day -0.33pt, +0.93pt)
Call Skew：+0.63pt(Prev day +1.33pt, -0.70pt)
This is consistent with the idea that the earlier strong easing of downside hedges has been partially reversed, with renewed demand for downside hedges coming back into focus. However, Deep Put overall decreased, and IV / Skew do not fully align with OI.
8. Gamma Environment
Total GEX：-14.10 JPY bn / 1%
Gamma Regime：NEGATIVE GAMMA
Zero Gamma：65,890.48
| Strike | Net GEX | Assessment |
|---|---|---|
| 60,000 | -17.16 | Largest Negative GEX |
| 62,500 | -5.41 | Negative GEX |
| 63,000 | -6.46 | Negative GEX |
| 64,000 | -4.33 | Put Wall / Negative GEX |
| 65,000 | -3.36 | Around ATM / Negative GEX |
| 66,000 | +8.88 | Strong Positive GEX |
| 67,000 | +4.19 | Positive GEX |
| 68,000 | +6.32 | Call Wall / Positive GEX |
| 69,000 | +7.54 | Strong Positive GEX |
| 70,000 | +5.61 | Positive GEX |
Total GEX remains -14.10, keeping Negative Gamma, but the negative magnitude has greatly reduced. Futures at 65,460 are about 430 points below Zero Gamma 65,890.48, approaching the regime-change point compared to the previous day.
At 65,000 Negative GEX, at 66,000 turning to +8.88 strong Positive GEX. Therefore,The early 65,000s retain a wider-range characteristic, while around 66,000 price movement may be more restrained可能性。
Estimated Position Reorganization
Confirmable Facts
- Option Bias is Neutral 7/10, Score -0.5.
- 68,000C is Call Wall Building with 1D +436.
- 71,000C +383, 72,000C +376, rising upper Call activity.
- 67,000C is -341, large unwinding.
- Call large-building centroid is 70,737.70, unwinding centroid 69,620.18.
- 64,000P is -162 Put Wall Unwinding.
- Deep Put overall -172, but Gross Building +1,447 / Unwinding -1,619.
- 58,500P +336, 56,000P +214, whereas 55,000P -616, 52,000P -488.
- Near-Market P/C OI Ratio fell to 1.331.
- ATM IV +1.19pt, Put Skew +0.93pt, Call Skew -0.70pt.
Possible Structure
On the Call side, 67,000C drops significantly while new OI increases from 68,000C to 72,000C. The large Call-building centroid sits about 1,118 yen above the unwinding centroid,indicating a repositioning of Call positions toward higher strikesis underway.
On the Put side, 64,000P unwinds, and Deep Put overall is down, but 58,500P and 56,000P increase sharply. The Option Bias Put reorganization centroid is Building 58,098 vs Unwinding 61,546,consistent with removing nearby puts while shifting some positions to lower strikes.
Thus, superficially, bullish factors from Call upper reorganization and Put Wall unwinding coexist with downside warning signals from rising Put Skew and rising ATM IV. It appears to be a Neutral structure with no clear bullish/bearish consensus.A structure where bulls and bears are not aligned in one direction.
Overall Judgment
The September 24 October expiry Option Bias isNeutral 7/10, Score -0.5. It is a few days since the last business day of September 18, but Call-side reshaping toward 68,000–72,000 is progressing, and Put-side 64,000 Wall unwinding and large-scale reorganization within Deep Put have been observed.
Bullish factors include upward Call Strike reorganization, Put Wall unwinding, and the drop in Near-Market P/C OI Ratio. On the other hand, ATM IV rise, Put Skew rise, Call Skew decline, and downward shift in Put Strike reorganization continue to signal downside caution.
Also, Total GEX has shrunk the negative magnitude to -14.10, and the distance between futures and Zero Gamma is about 430 points.The focus should be on potential changes in the range environment around Zero Gamma rather than the direction itself.
Option：Neutral 7/10（Score -0.5）
Wall：68,000 Call Wall Building / 64,000 Put Wall Unwinding
OI Center of Gravity：Short-term rising for Call and Put; medium-term unclear
IV / Skew：ATM IV rising / Put Skew rising / Call Skew falling
Gamma：Negative Gamma / Expanding / Near Zero Gamma
As upper Call reorganization and Put Wall unwinding advance, IV and Skew show renewed downside caution. Currently, the direction is evaluated as Neutral with no clear bias.
Next Business Day’s Most Important Points to Observe
| Strike | Current Meaning | If OI Increases | If OI Decreases |
|---|---|---|---|
| 68,000C | Call Wall / 1D +436 | Continuation of Call Wall Building | Wall formation weakens |
| 70,000C | 1D +181 | Continuation of upper Call Zone expansion | Temporary pause in upper reorganization |
| 71,000C | 1D +383 | Continuation of upper Call demand | Today’s Building may have been temporary |
| 72,000C | OI 3,059 / 1D +376 | Upper Call concentration strengthened further | Start of unwinding of large Call on the higher side |
| 64,000P | Put Wall / 1D -162 | Put Wall reformation | Put Wall Unwinding continues |
| 62,625P | 1D -494 | If reformation, lower Put re-concentration | Continuation of unwinding from recent formation |
| 58,500P | 1D +336 | Continuation of reallocation to lower strikes | Pause in Deep Put reorganization |
| 55,000P | 1D -616 | Reformation after large unwinding | Continued Deep Put unwinding |
Most Important Price-Side Points
- 65,500: ATM Strike. Both spot and futures are nearby.
- 65,890.48: Zero Gamma. About 430 points above the current price.
- 66,000: Net GEX +8.88. Major zone where negative shifts to positive.
- 68,000: Call Wall Building.
- 64,000: Put Wall, but unwinding ongoing.
- 60,000: Put OI 11,776, Net GEX -17.16. Largest lower concentration zone.