NK225 OPTION MONITOR — DAILY MARKET STRUCTURE 20261002
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
| Assessment Item | Assessment | Key Points |
|---|---|---|
| Option Bias | Neutral 6/10 | Model direction score leans toward the bears |
| Position Structure | Call Reallocation / Put Addition Formation | Increases in the balance of high-level Calls and nearby lower Puts |
| Wall Structure | Both Walls shifted upward | Current Call Wall and Put Wall also increase today |
| Gamma Environment | Constrained | Positive Gamma retained, positive GEX is shrinking |
Current Conclusion:
Call activity shows progress in unwinding large positions and reallocation to higher strikes; Put activity concentrates near the current price with nearby downward formation notable. Rising combined Open Interest on both sides and falling Put Skew are positive signals, but ATM IV rise and Call Skew decline offset these, resulting in a Neutral leaning slightly bearish according to the model. Gamma remains Positive.
Call activity shows progress in unwinding large positions and reallocation to higher strikes; Put activity concentrates near the current price with nearby downward formation notable. Rising combined Open Interest on both sides and falling Put Skew are positive signals, but ATM IV rise and Call Skew decline offset these, resulting in a Neutral leaning slightly bearish according to the model. Gamma remains Positive.
1. Overall Market Position
| Item | Value | Assessment |
|---|---|---|
| Nikkei 225 Spot | 68,309.46 | JPX Daily Data Standard |
| Nikkei 225 Futures | 68,650 | Futures value per JPX Daily Data Standard |
| ATM Strike | 68,250 | October contract / DTE 7 |
| Call Wall | 73,000 | Primary Wall Price |
| Put Wall | 66,000 | Primary Wall Price |
| Zero Gamma | 66,697.43 | Regime Shift Benchmark |
| Total GEX | +83.54 JPY bn / 1% | Fundamental indicator of the Gamma environment |
Spot prices are around the ATM, with both spot and futures lying between the Put Wall and Call Wall. Both prices exceed Zero Gamma.