The StratLab Daily
No. 12 · Thursday 5 Mar 2026 · NSE, data through close
Redesign v5 · One-thesis + Market Health · Real data
Dealers flipped from accelerant to shock-absorber.
Net gamma swung to +4,438 from -7,206, recasting dealer positioning as IV holds near 18%.
What happenedNifty50 rose 1.17% to 24,765.9.
The tensionDespite the rally, the StratLab Breadth Index sits at 30.85 (7th percentile) in a Bear Market phase.
Net readSession bullish; structural backdrop bearish.
Nifty Close
24,765.90
+1.17%
Market Phase
🔴 Bear Market
session 3 · ↑ recovering
Risk
Very High
confidence 45
FII Idx Fut
−161.8K
32.4th %ile
Walls
24.6–24.8K
PE base · CE wall
01 The crowd
01 The Crowd
Positioning over the last 20 sessions
FII net index futures · 20 sessions · '000 contracts · endpoint = 5 Mar · source: StratLab participant OI
What this means: Index gained 1.17%, closing at 24,765.9.
02 The turn
02 The Turn
What this means: Dealers flipped net gamma to +4,438 from -7,206, shifting from accelerant to shock-absorber. Near-money IV at 18%.
03 The catch
03 The Catch (Market Health)
Market health over the last 20 sessions
Market Health Index · 20 sessions · 0–100 · endpoint = 5 Mar · percentiles vs 1,155 sessions
What this means: StratLab Breadth Index at 30.85 (7th percentile), Bear Market, Recovering trend, Very High risk. Confidence 45%.
Phase
🔴 Bear Market
risk Very High
Participation
40.9639
delivery breadth
StratLab Breadth Index
23.8
10th %ile, trailing year
04 Days like today
04 Days Like Today
In 52 condition analogs, the 5-day forward average was +0.29%, with a worst-case of -4.77%.
Conditions analog · Phase + Trend + Risk match
n = 52 · tier: exact
| Horizon | Avg | Median | Win rate | Worst |
|---|
| Next session | −0.10% | −0.13% | 35% | −4.78% |
| Next 5 sessions | +0.29% | +0.12% | 56% | −4.77% |
| Next 10 sessions | +0.56% | +0.88% | 58% | −4.30% |
| Next 20 sessions | +1.33% | +0.68% | 62% | −3.24% |
Conditions like today historically favored a +0.29% 5-day drift, with a -4.77% tail risk.
Gamma-driven stability inside a fragile Bear Market recovery.
05 Tomorrow's tripwires
Three checks that settle the argument
Confirm
Nifty holds above 24,765.9 and net gamma stays above zero (current +4,438).
Watch
Net gamma flips negative; StratLab Breadth Index breaks below 30.85.
Break
A 5-day decline exceeding -4.77% breaks the analog pattern.
The ledger
Where that leaves us
Lines up bullish
- Dealers long +4,438 gamma dampens swings.
- 5-day forward average +0.29%.
- Recovering trend.
Lines up bearish
- StratLab Breadth Index at 7th percentile (30.85) – Very High risk.
- Bear Market phase, confidence 45%.
- Tail risk -4.77%.
Net read: Cautiously bullish near-term; elevated structural risk caps conviction.
Dealers have turned shock-absorber, but the market’s health remains in a Bear Market at the 7th percentile of breadth.
Regime
BULL