Gamma Zone Reversal Strategy – Real Data Based Intraday Setup!

5月24日

Hello Traders!
In today’s post, we’ll explore the Gamma Zone Reversal Strategy — a high-accuracy intraday setup that uses option data to identify powerful reversal zones. This strategy is especially effective on expiry days and is based on real-time behavior of market makers.

What is a Gamma Zone?

• A Gamma Zone is a strike where option sellers have heavy Open Interest (OI) and high Gamma exposure.
  
  
• These zones are often defended strongly by market makers to avoid delta risk, causing sharp intraday reversals.
  
  
• Ideal Gamma Zones are identified by high Gamma + high OI + high volume near current spot price.
  

Real Market Example: Nifty 24900 PE (29 MAY 2025 Expiry)

Let’s take a real-time example from Option chain data and assume tomorrow is expiry day:

• Gamma: 0.08 (High)
  
• OI Change: +37624
  
• Volume: 1156817
  
• LTP: 194.05
  
• Spot Price: 24845
  

This means that 24900 PE is a strong Gamma zone, where put writers have built huge positions. Market makers are likely to defend this zone to avoid rapid changes in Delta exposure — leading to a high chance of price bouncing from here. I am posting this educational idea today because there will be another 3 days to analyse this before 29th May expiry.

How to Trade Gamma Zone Reversal Strategy

1. Identify High Gamma Strikes: Look for strikes with high Gamma, strong OI addition, and heavy volume near spot.
   
   
2. Observe Price Reaction: Watch if price approaches these zones and forms rejection candles (e.g., Pin Bar, Hammer, Engulfing) on 5–15 min charts.
   
   
3. Entry Point: Enter when price gives confirmation — candle + VWAP support or volume spike.
   
   
4. Stop Loss: Place SL slightly beyond the Gamma zone (e.g., below 24900 if buying CE).
   
   
5. Target: Nearest resistance level (e.g., 25050 or 25100).
   

Why It Works So Well

• Market Maker Hedging: They aggressively hedge around Gamma zones, creating powerful intraday moves.
  
  
• Expiry Day Power: Gamma sensitivity is highest near expiry — ideal for scalpers and option buyers.
  
  
• Data-Driven: This is based on real-time OI shifts, not assumptions or indicators.
  

Rahul’s Tip
Use Gamma zones in confluence with VWAP, OI change, and candle confirmation. Never trade blindly at a Gamma level — wait for price action to confirm the setup.

Conclusion:
The Gamma Zone Reversal Strategy is one of the most reliable setups for expiry-based intraday trading. It helps you follow smart money behavior and enter trades at turning points where market makers are active.

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5月26日

註釋

Update – 26 May 2025 | Gamma Zone Recheck for 29th May Expiry

• Once again, we’re seeing a strong Gamma cluster around 25000–25050, just like before.
  
  
• Gamma = 0.08 remains unchanged on both PE & CE sides, showing stability.
  

Fresh Data Highlights (vs Previous):

• 25000 PE
   - OI increased from ~1 lakh to 1.56 lakh
  
   - Volume rose from ~16 lakh to 23.5 lakh+
  
   - Premium increased from ~₹175 to ₹240+
  
   - Gamma still = 0.08
• 25000 CE
   - OI jumped from ~54k to 1.3 lakh
  
   - Volume increased to 22+ lakh
  
   - Premium moved from ~₹125 to ₹170+
  
   - Gamma remains 0.08
• 25050 PE
   - Volume: ~11.7 lakh
  
   - Gamma = 0.08

Key Insight:
The Gamma Zone at 24980–25050 is now further validated with rising OI, surging volumes, and increasing premiums — indicating a high-confidence reversal or pause zone for upcoming sessions.

Note:
These option prices are taken just before market close. Intraday premiums were even higher, but due to Nifty pulling down in the last hour, prices cooled off slightly. Still, activity around the Gamma Zone remains strong and relevant.