NK225 OPTION MONITOR — DAILY MARKET STRUCTURE 20260925
NK225 OPTION MONITOR — DAILY MARKET STRUCTURE
Today’s Market Judgment
| Judgment Items | Judgment | Key Points |
|---|---|---|
| Option Bias | Bullish 8/10 | Materials indicating ease of downside warning retreat are dominant |
| Position Structure | Tilt toward upside | Deep Put unwinding and upside Call formation progressing |
| Wall Structure | Call formation · Put unwinding | Upside Call concentration continues with Put unwinding on the lower side |
| Gamma Environment | Suppression-type | Shift to Positive Gamma |
The internal option structure has shifted to a Bullish judgment, with downside warnings retreating further from the previous day. On the other hand, there is a large concentration of calls on the upside, making price movement susceptible to the Positive Gamma environment.
1. Overall Market Position
| Item | Value | Evaluation |
|---|---|---|
| Nikkei 225 Spot | 66,364.20 | Based on JPX daily data |
| Nikkei 225 Futures | 66,300 | Futures value based on JPX daily data |
| ATM Strike | 66,375 | October expiry / DTE 14 |
| Call Wall | 72,000 | Major Wall price |
| Put Wall | 60,000 | Major Wall price |
| Zero Gamma | 65,847.62 | Regime-change benchmark |
| Total GEX | +20.45 JPY bn / 1% | Baseline indicator for Gamma environment |
The current price is near ATM, between Put Wall and Call Wall. It sits above Zero Gamma.
2. Call-Side Position Formation
| Strike | OI | 1D | 3D | 5D | Volume | Evaluation |
|---|---|---|---|---|---|---|
| 65,000C | 1,412 | 0 | +638 | +677 | 19 | Maintaining mid-term formation |
| 66,000C | 2,982 | +17 | +1,060 | +1,317 | 124 | Large balance maintained |
| 66,500C | 290 | +105 | +169 | +187 | 126 | Building near current price |
| 67,000C | 1,508 | 381 | ||||
| 68,000C | 2,141 | 225 | ||||
| 69,000C | 2,483 | |||||
| 70,000C | 2,519 | |||||
| 71,000C | 1,878 | |||||
| 72,000C | 3,455 | 2,143 |
The biggest change is 72,000C +396, with a large Building accompanied by volume 2,143. 71,000C +110 and 70,000C +43 also strengthen the upper Call Zone from 70,000 to 72,000.Upper Call Zone 70,000–72,000has thickened further.
On the other hand, 69,000C is -48 for 3D -252 and 5D -833. Therefore, on the Call side, while reducing existing balances around 69,000, there is a possibility of reallocating positions to higher levels 70,000–72,000.Reallocation toward higher strikesmay be ongoing.
3. Evaluation of Major Call Walls
Call Wall is72,000 / BUILDING. 72,000C has OI 3,455, 1D +396, 3D +779, 5D +1,070, volume 2,143. All absolute quantity, short-term change, and multi-day changes are strong, making Wall formation highly likely.
The previous business day's Call Wall was 68,000, but today moved up to 72,000. With increases also in 70,000C and 71,000C, evaluation should be for a range rather than a single strike:Upper Call Zone from 70,000 to 72,000is being regarded.
4. Put-Side Position Formation
| Strike | OI | 1D | 3D | 5D | Volume | IV |
|---|---|---|---|---|---|---|
| 66,000P | 1,095 | +41 | +61 | +59 | 57 | 23.14% |
| 65,000P | 2,013 | +16 | -20 | -18 | 153 | 24.00% |
| 64,500P | 751 | +245 | +250 | 302 | 24.33% | |
| 64,000P | 1,571 | 297 | 24.98% | |||
| 63,000P | 2,000 | 265 | 25.98% | |||
| 62,000P | 1,578 | 334 | 27.48% | |||
| 61,000P | 1,309 | 1,038 | 29.03% | |||
| 60,000P | 11,341 | 1,087 | 30.79% | |||
| 59,000P | 1,044 | 134 | 32.67% | |||
| 58,000P | 2,067 | 721 | 34.93% | |||
| 56,000P | 1,916 | 267 | 39.43% | |||
| 55,000P | 3,469 | 368 | 41.74% |
The one-day net change in OI for 8–25% OTM Put is-507. Gross Building +566 vs Gross Unwinding -1,073, overall Deep Put shows unwinding predominance.
Notably, 60,000P -435, 58,000P -365, 56,000P -123 are large. Meanwhile, increases at 55,000P +125, 52,500P +101, 55,500P +100 remain, sothe structure is not a full Put unwind; instead, lower-side balances are reduced and some strikes are reallocated downwardas part of a partial redeployment.
5. Put / Call Balance
Near-Market P/C OI Ratio: 1.129(Previous business day 1.234, -0.106)
Near-Market P/C Volume Ratio: 0.780
ThereforePut bias is rapidly shrinking, and Near-Market position balance is becoming more neutral. PCR alone cannot determine direction, but when combined with Deep Put unwinding, it aligns with retreating downside warnings.
6. OI Center of Gravity
Call Near-Market OI Center: 68,551.38(1D +54.84 / 3D +8.02 / 5D -98.92)
Put Near-Market OI Center: 62,165.15(1D +45.52 / 3D +58.20 / 5D +48.93)
Call center is rising in 1D and 3D, but slightly falling in 5D. Put center moved up in 1D, 3D, and 5D.
ThereforePut side has clearly returned its center upward, and Call side is moving higher in the short term. However, Call 5D remains negative, so another step of confirmation is needed for mid-term upside shift.
7. IV / Skew
ATM Average IV: 23.77%(Previous business day 24.63%, -0.86pt)
Put Skew: +0.23pt(Previous day +0.61pt, -0.38pt)
Call Skew: +0.46pt(Previous day +0.63pt, -0.17pt)
ATM IV has declined, and Put Skew has also declined. Price pricing for the previously reaccelerated downside hedging demand has retreated today.
On the other hand, Call Skew is also decreasing, so it cannot be said that upside Call demand has simply accelerated.More than direction, overall volatility demand has slightly cooled. This is a natural interpretation.
8. Gamma Environment
Total GEX: +20.45 JPY bn / 1%
Gamma Regime: POSITIVE GAMMA
Zero Gamma: 65,847.62
| Strike | Net GEX | Evaluation |
|---|---|---|
| 60,000 | -11.56 | Largest negative GEX |
| 61,000 | -1.58 | Negative GEX |
| 62,000 | -3.23 | Negative GEX |
| 62,500 | -4.27 | Negative GEX |
| 63,000 | -5.50 | Negative GEX |
| 64,000 | -3.53 | Negative GEX |
| 65,000 | -3.55 | Negative GEX |
| 66,000 | +9.53 | Strong Positive GEX |
| 67,000 | +5.19 | Positive GEX |
| 68,000 | +7.65 | Positive GEX |
| 69,000 | +9.33 | Strong Positive GEX |
| 70,000 | +7.49 | Positive GEX |
Total GEX reversed from the previous business day’s -14.10 to+20.45, and Gamma Regime shifted from Negative to Positive. Futures 66,300 slightly exceeds Zero Gamma 65,847.62 by about 452 yen.
Up to 65,000 Negative GEX, but at 66,000 it abruptly becomes +9.53, and 66,000–70,000 shows large Positive GEX consecutively. Thereforethe upside environment may have shifted to be more price-absorbing. However, Positive GEX is not a guaranteed support or resistance.
Inferred Position Rebalancing
Known Facts
- Option Bias is Bullish 8/10, Score +4.5.
- Deep Put’s 1D net OI change is -507. Gross Building +566 / Unwinding -1,073.
- 60,000P is 1D -435, 58,000P -365, 56,000P -123.
- 55,000P +125, Deep Put contains some increasing strikes in opposite directions.
- 72,000C is 1D +396, 3D +779, 5D +1,070, volume 2,143.
- 71,000C +110, 70,000C +43 keeps the upside Call Zone.
- Near-Market P/C OI Ratio has fallen to 1.129.
- ATM IV -0.86pt, Put Skew -0.38pt.
- Total GEX reversed to +20.45 and Gamma Regime shifted to Positive.
Possible Structures
On the Put side, large OI decreases occurred at 60,000P, 58,000P, 56,000P, and overall Deep Put -507. This aligns with partial unwinding of downside hedges and positions. However, since some strikes like 55,000P are increasing, it is not a complete retreat.Possible partial unwinding of downside hedges / reallocation of some Put balances upwardtoward lower strikes have occurred.
On the Call side, increases continue centered at 72,000C with 70,000–72,000 rising, while 69,000C decreases. This suggeststhe possibility of rolling or reallocating upside Call positions to higher strikes.
Furthermore, Total GEX has turned Positive and price has moved above Zero Gamma. Combined with bullish Option Bias and shifting Gamma environment toward suppression, the overall direction leans upside, but price range expansion is more restrained than the previous day.Characterized by upside bias with restrained price movement
Overall Judgment
As of September 25, for the October expiry Option Bias isBullish 8/10, Score +4.5. Bullish threshold is surpassed (+4.0).
Main supportive factors are Deep Put Unwinding, ATM IV decline, Put Skew decline, Put Wall Unwinding, Near-Market P/C OI Ratio decline. Meanwhile, Call Wall at 72,000 Building and Call Skew decline remain as opposing factors.
Of particular importance is that the Put balance around 60,000P is unwinding while the Call formation toward 70,000–72,000 progresses simultaneously.This combination aligns with the bullish market structure. Furthermore, Gamma Regime has shifted to Positive, and the current price is above Zero Gamma.
Therefore today’s market structure is evaluated asUpside-biased with downside warnings retreating, yet the Positive Gamma environment tends to restrain price moves in a bullish structure.
Option:Bullish 8/10（Score +4.5）
Wall:72,000 Call Wall Building / 60,000 Put Wall Unwinding
OI Center of Gravity:Put upward, Call also upward in the short term
IV / Skew:ATM IV decline / Put Skew decline / Call Skew decline
Gamma:Positive Gamma / suppression-type
Downside warnings clearly retreat, Internal option structure shifts to Bullish. However, due to the Positive Gamma environment, directions and magnitude of moves should be evaluated separately.
Next Trading Day’s Most Important Observation Points
| Strike | Current Meaning | If OI Increases | If OI Decreases |
|---|---|---|---|
| 66,000C | OI 2,982 / Net GEX +9.53 | Concentration of Positive Gamma near the current price | Weakening of nearby Call concentration |
| 70,000C | 1D +43 / 3D +501 | Expansion of Upside Call Zone | Pause in upside reorganization |
| 71,000C | 1D +110 | Strengthening around 72,000 Call Wall | Weakening of upside Call formation |
| 72,000C | Call Wall / 1D +396 | Continued Call Wall Building | Possible Wall unwinding |
| 64,500P | 1D +137 | Re-acceleration of nearby Put formation | Put demand waning in an uptrend |
| 60,000P | Put Wall / 1D -435 | Put Wall reformation | Continuation of unwinding the lower Put concentration |
| 58,000P | 1D -365 | Deep Put reformation | Continuation of lower-hedge unwinding |
Most Important Price Points
- 66,375: ATM Strike. Center of current price.
- 65,847.62: Zero Gamma. Current price is above this.
- 66,000: Net GEX +9.53. Major Positive Gamma band.
- 68,000–70,000: Consecutive Positive GEX band.
- 72,000: Call Wall Building.
- 60,000: Put Wall unwinding in progress. Net GEX -11.56.