NK225 OPTION MONITOR — DAILY MARKET STRUCTURE 20260929
NK225 OPTION MONITOR
NK225 OPTION MONITOR — DAILY MARKET STRUCTURE
Daily Nikkei 225 Options Market Insight Report
Today's Market Judgment
| Judgment Item | Judgment | Key Points |
|---|---|---|
| Option Bias | Neutral 7/10 | Strength and weakness materials are balanced, shifting to neutrality |
| Position Structure | Formation progresses on both sides | Put formation coexists with rising center of gravity and skew improvement |
| Wall Structure | Nearby Call and Put formations | Select Wall on both sides close to the current price |
| Gamma Environment | Expanding type | Turns to Negative Gamma |
Current Conclusion:
The internal option structure has returned to Neutral, but the formation of lower-positioned positions is expanding. Meanwhile, Skew and OI center of gravity show improvements, and the directional signals are balanced. The volatility environment is Negative Gamma, indicating a structure that anticipates wider moves after a direction is established.
The internal option structure has returned to Neutral, but the formation of lower-positioned positions is expanding. Meanwhile, Skew and OI center of gravity show improvements, and the directional signals are balanced. The volatility environment is Negative Gamma, indicating a structure that anticipates wider moves after a direction is established.
1. Overall Market Positioning
| Item | Value | Assessment |
|---|---|---|
| Nikkei 225 Cash | 65,481.27 | JPX Daily Data Standard |
| Nikkei 225 Futures | 65,830 | Futures value per JPX Daily Data Standard |
| ATM Strike | 65,500 | October Contract / DTE 10 |
| Call Wall | 66,000 | Key Wall Price |
| Put Wall | 65,000 | Key Wall Price |
| Zero Gamma | 65,715.46 | Regime Switch Basis |
| Total GEX | -12.68 JPY bn / 1% | Fundamental gauge of Gamma environment |
The spot is around the ATM, positioned between the Put Wall and Call Wall for both spot and futures. The spot sits below Zero Gamma, while futures sit above.