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What Is a Gamma Blast in Options? Expiry-Day Spikes Explained

A "gamma blast" is Indian traders' name for an expiry-day move in which cheap out-of-the-money options jump many times in value within minutes. It happens because gamma, the rate at which an option's delta changes, is at its highest near the money in the final hours. A modest index move can then turn a ₹3 option with almost no delta into one that moves nearly point-for-point with NIFTY. The term is slang, not an exchange or SEBI term, and most expiries have no blast at all.

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What is gamma in options?

Delta is how much an option's premium moves per point of the underlying. Gamma is how much the delta itself changes per point. Gamma is highest at the money and rises sharply as expiry approaches. A far OTM option early in the week has a tiny delta, and its delta barely changes. The same strike on expiry afternoon, once the index comes close to it, can see its delta go from 0.05 to 0.5 within a few dozen points.

Why does it happen on expiry day?

With hours left, time value is almost gone, so OTM strikes trade at a few rupees. Their price is mostly the market's estimate of the small chance they finish in the money. If the index moves quickly towards a strike:

  1. Its delta jumps because of very high gamma, so each further point adds more premium than the one before.
  2. Sellers of that strike may buy back or hedge. That can add to the move, but it is not guaranteed.
  3. The option's percentage move dwarfs the index move, because it started from almost nothing.

The same mechanism works in reverse. Most cheap OTM options bought on expiry day simply go to zero.

A worked example

Hypothetical numbers for illustration. At 13:30 on expiry day NIFTY is at 24,000. The 24,150 CE trades at ₹3 with a delta near 0.08.

By 15:00 NIFTY has rallied to 24,180. The 24,150 CE is now ₹30 in the money and trades at about ₹38.

Delta did not stay at 0.08. Rising gamma pushed it towards 1 as the strike went in the money, so later points were worth far more than early ones. If NIFTY had stalled at 24,100, the option would most likely have expired at zero.

GEX adds up gamma across the whole option chain, weighted by open interest. It is a way to describe where hedging flows might push or damp moves, if option writers hold the other side of the book, which is broadly true for index options but not observed directly. FNOTrader's Greeks Exposure page shows:

Above the flip with positive net GEX, implied hedging leans against moves. Below it with negative net GEX, implied hedging adds to them. These describe positioning, not a signal. The method and its limits are covered in Gamma Exposure (GEX) for NIFTY.

Greeks Exposure for NIFTY: net DEX/GEX cards, walls, flip and pin, the insights strip, and delta and gamma exposure by strike.
Greeks Exposure for NIFTY: net DEX/GEX cards, walls, flip and pin, the insights strip, and delta and gamma exposure by strike.
The GEX Dashboard for NIFTY in the Main + four layout: price × delta, strike GEX profile, cumulative net gamma, OI tick tape and pin magnet.
The GEX Dashboard for NIFTY in the Main + four layout: price × delta, strike GEX profile, cumulative net gamma, OI tick tape and pin magnet.

Is there a "gamma blast strategy"?

Courses and social media sell "gamma blast strategies", usually buying far OTM options late on expiry day. Keep three facts in mind:

Whether any such rule has worked is a question for data, not anecdotes.

How do I study gamma blasts on past data?

The Simulator's replay bar: jump buttons from −2h to +2h, a date and minute picker, Play with a timeframe, Auto-adjust and Rules.
The Simulator's replay bar: jump buttons from −2h to +2h, a date and minute picker, Play with a timeframe, Auto-adjust and Rules.

Try it in Options Analytics

Watch the zero-gamma flip, call and put walls and the GEX pin live, or replay a past expiry, in Options Analytics; test expiry-day rules on every expiry in Algo & Backtest.

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Educational content. Not a recommendation to buy or sell any security. Options trading involves substantial risk of loss.

Common questions

What is gamma blast in options?

Traders' term for an expiry-day move in which cheap OTM options multiply in value within minutes, because gamma is extreme near the money close to expiry.

Is gamma blast real or a myth?

The mechanism is real: gamma does peak near expiry. The frequency is what is exaggerated. Most expiries do not produce one, and they cannot be reliably predicted in advance.

Which day does gamma blast happen?

It refers to expiry day, usually the final hours. NIFTY and SENSEX have weekly expiries on exchange-set weekdays. Check the current calendar, because the weekdays have changed more than once.

What is the difference between gamma blast and short covering?

Short covering is writers buying back positions, which shows as rising price with falling open interest. It can be part of a gamma blast but also happens on ordinary days.

What is a GEX level?

A strike or price derived from gamma exposure, such as the zero-gamma flip, a call or put wall, or the GEX pin. These describe where option positioning is concentrated.

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