The StratLab Daily
No. 23 · Friday 20 Mar 2026 · NSE, data through close
Redesign v5 · One-thesis + Market Health · Real data
Dealers flipped from accelerant to shock-absorber.
NIFTY +0.49% to 23,114. Positive dealer gamma dampens intraday swings; negative gamma amplifies them. A sign change resets how the index trades.
What happenedNIFTY +0.49% to 23,114. Dealers flipped from accelerant to shock-absorber.
The tensionMarket Health is Bear Market at Very High risk, 6th percentile.
Net readConditions broadly line up with the move.
Nifty Close
23,114.50
+0.49%
Market Phase
🔴 Bear Market
session 14 · ↑ recovering
Risk
Very High
confidence 35
FII Idx Fut
−234.5K
1.6th %ile
01 The crowd
Dealers flipped from accelerant to shock-absorber.
Positioning over the last 20 sessions
FII net index futures · 20 sessions · '000 contracts · endpoint = 20 Mar · source: StratLab participant OI
What this means: Positive dealer gamma dampens intraday swings; negative gamma amplifies them. A sign change resets how the index trades.
02 The turn
What changed today
What this means: Net gamma +3,896 vs -1,218 prior · regime: Low Gamma → Low Gamma · near-money IV ≈24%
03 The catch
Market Health reads Bear Market
Market health over the last 20 sessions
Market Health Index · 20 sessions · 0–100 · endpoint = 20 Mar · percentiles vs 1,166 sessions
What this means: the internals broadly agree with today's move.
Phase
🔴 Bear Market
risk Very High
Participation
62.8514
delivery breadth
StratLab Breadth Index
18.2
6th %ile, trailing year
04 Days like today
57 sessions like this one.
Every session sharing today's Market Health signature — bear market, Very High risk — 57 of them on record.
Conditions analog · Phase + Trend + Risk match
n = 57 · tier: exact
| Horizon | Avg | Median | Win rate | Worst |
|---|
| Next session | −0.22% | −0.16% | 33% | −4.78% |
| Next 5 sessions | +0.09% | +0.08% | 53% | −4.77% |
| Next 10 sessions | +0.41% | +0.68% | 57% | −7.12% |
| Next 20 sessions | +1.33% | +0.68% | 62% | −3.24% |
This compares today against every session sharing the same Market Health signature, regardless of what triggered it.
Conditions like today historically favored staying with the move.
05 Tomorrow's tripwires
Three checks that settle the argument
Market Phase exits upward
Bear Market runs a median of 2 session(s) (max 14) — this is session 14. 18% of exits went up.
Market Health crosses the 50 midline
MHI at 27.9 — a close back above 50 would end the 6th-percentile read.
Phase slips to Bear Market
0.0% of Bear Market exits went straight to Bear — the conditions analog's worst 5-session outcome (−4.77%) lives on that path.
The ledger
Where that leaves us
Lines up bullish
- Dealers flipped from accelerant to shock-absorber.
Lines up bearish
- Market Health 6th percentile · Very High risk
- Conditions analog: +0.09% avg next 5 · 53% win
Net read: Conditions broadly line up with the move.
Dealers flipped from accelerant to shock-absorber. Conditions broadly line up with the move.
Regime
BEAR