Nifty gamma exposure (NiGEX), which measures liquidity and volatility, rose on May 02nd with a closing value of 37L, after being at 20L on April 28th. Not much to infer from this drop. While this indicates a positive gamma environment, it's important to note that NiGEX should not be the sole factor in making investment decisions. Theta, the cost of owning gamma, benefits option owners in this scenario, as well as rewards delta, with call owners seeing a positive effect when asset prices rise. This also reduces directional risk and variance.
An increase in NiGEX, correlating with Nifty which closed with a 0.8% gains on May 02nd. Additionally, NiGEX has exhibited volatile behavior over the past 200 days, with an average value of 299K and a median value of 1144K. The value range has been wide, ranging from a low of -116L to a high of 50L.
To learn more about Gamma Exposure and NiGex, refer to the article on What is GEX (Gamma Exposure)?
To know more about VIX, visit the NSE page at VIX
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