NK225 OPTION MONITOR — DAILY MARKET STRUCTURE 20261001
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 Assessment
| Judgment Item | Judgment | Key Points |
|---|---|---|
| Option Bias | Neutral 7/10 | Maintains neutrality, direction score retreats |
| Position Structure | Formed on both sides · Reallocation upward | Rising OI center with net increase in downside Put |
| Wall Structure | Formation of Call near price · Put below | Call held, Put shifted higher |
| Gamma Environment | Constrained | Continued Positive Gamma, expanding positive GEX |
Current conclusion:
As prices rose, the centroid of Call and Put Open Interest shifted upward and reorganized upward. However, the net increase in Deep Puts, rising ATM IV, and rising Put Skew coincided, causing the direction score to retreat from the previous day. A Neutral structure with price strength and relatively lower pricing on the downside coexists, and Gamma remains constrained.
As prices rose, the centroid of Call and Put Open Interest shifted upward and reorganized upward. However, the net increase in Deep Puts, rising ATM IV, and rising Put Skew coincided, causing the direction score to retreat from the previous day. A Neutral structure with price strength and relatively lower pricing on the downside coexists, and Gamma remains constrained.
1. Overall Market Positioning
| Item | Value | Assessment |
|---|---|---|
| Nikkei 225 Spot | 68,956.72 | JPX Daily Data Standard |
| Nikkei 225 Futures | 69,010 | Futures value per JPX daily data standard |
| ATM Strike | 69,000 | October cycle / DTE 8 |
| Call Wall | 69,000 | Major Wall price |
| Put Wall | 65,000 | Major Wall price |
| Zero Gamma | 66,460.81 | Regime transition benchmark |
| Total GEX | +110.70 JPY bn / 1% | Core indicator for Gamma environment |
現物はATM・Call Wallのわずか下、先物はわずか上に位置する。現物・先物ともPut WallとZero Gammaを上回っている。