NK225 OPTION MONITOR — DAILY MARKET STRUCTURE 20260928
NK225 OPTION MONITOR
NK225 OPTION MONITOR — DAILY MARKET STRUCTURE
日次オプション市場考察レポート
Today's Market Judgement
| Judgement Item | Judgement | Key Points |
|---|---|---|
| Option Bias | Bearish 9/10 | Downside caution materials are once again dominant |
| Position Structure | Reinforcement of downside caution | Changes in Put pricing and some balance formation |
| Wall Structure | Both Call and Put formed | Concentration of upside Calls and formation of downside Puts coexist |
| Gamma Environment | Approaching suppression/turning criteria | Model maintains Positive Gamma |
Current Conclusion:
Option internal structure has turned Bearish, and downside caution has strengthened again. Meanwhile, Gamma remains positive, and a one-sided move has not yet been confirmed.
Option internal structure has turned Bearish, and downside caution has strengthened again. Meanwhile, Gamma remains positive, and a one-sided move has not yet been confirmed.
1. Overall Market Position
| Item | Value | Assessment |
|---|---|---|
| Nikkei 225 Cash | 65,877.62 | JPX Daily Data Standard |
| Nikkei 225 Futures | 65,570 | Futures value per JPX daily data standard |
| ATM Strike | 65,875 | October contract / DTE 11 |
| Call Wall | 72,000 | Major Wall price |
| Put Wall | 62,000 | Major Wall price |
| Zero Gamma | 65,627.40 | Regime transition benchmark |
| Total GEX | +11.52 JPY bn / 1% | Fundamental indicator of the Gamma environment |
The spot and futures are between the Put Wall and Call Wall. The spot is above Zero Gamma near the ATM, while the futures are below Zero Gamma.