The StratLab Daily
No. 52 · Thursday 7 May 2026 · NSE, data through close
Redesign v5 · One-thesis + Market Health · Real data
Dealers flipped short gamma — moves can now overshoot.
NIFTY −0.02% to 24,327. Positive dealer gamma dampens intraday swings; negative gamma amplifies them. A sign change resets how the index trades.
What happenedNIFTY −0.02% to 24,327. Dealers flipped short gamma — moves can now overshoot.
The tensionMarket Health is Strong Bull at Low risk, 88th percentile.
Net readConditions broadly line up with the move.
Nifty Close
24,326.65
−0.02%
Market Phase
🟢 Strong Bull
session 2 · ↑ improving
FII Idx Fut
−195.9K
14.1th %ile
Walls
24.3–24.4K
PE base · CE wall
01 The crowd
Dealers flipped short gamma — moves can now overshoot.
Positioning over the last 20 sessions
FII net index futures · 20 sessions · '000 contracts · endpoint = 7 May · 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 -1,386 vs +733 prior · regime: Low Gamma → Low Gamma · near-money IV ≈15%
03 The catch
Market Health reads Strong Bull
Market health over the last 20 sessions
Market Health Index · 20 sessions · 0–100 · endpoint = 7 May · percentiles vs 1,193 sessions
What this means: the internals broadly agree with today's move.
Phase
🟢 Strong Bull
risk Low
Participation
56.1122
delivery breadth
StratLab Breadth Index
79.6
91th %ile, trailing year
04 Days like today
259 sessions like this one.
Every session sharing today's Market Health signature — strong bull, Low risk — 259 of them on record.
Conditions analog · Phase + Trend + Risk match
n = 259 · tier: exact
| Horizon | Avg | Median | Win rate | Worst |
|---|
| Next session | +0.08% | +0.08% | 57% | −5.93% |
| Next 5 sessions | +0.37% | +0.62% | 62% | −6.33% |
| Next 10 sessions | +0.55% | +0.75% | 62% | −9.20% |
| Next 20 sessions | +0.92% | +1.25% | 66% | −12.41% |
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
Strong Bull runs a median of 3 session(s) (max 22) — this is session 2. 23% of exits went up.
Market Health crosses the 50 midline
MHI at 84.7 — a close back above 50 would end the 88th-percentile read.
Phase slips to Bear Market
3.7% of Strong Bull exits went straight to Bear — the conditions analog's worst 5-session outcome (−6.33%) lives on that path.
The ledger
Where that leaves us
Lines up bullish
- Dealers flipped short gamma — moves can now overshoot.
Lines up bearish
- Market Health 88th percentile · Low risk
- Conditions analog: +0.37% avg next 5 · 62% win
Net read: Conditions broadly line up with the move.
Dealers flipped short gamma — moves can now overshoot. Conditions broadly line up with the move.
Regime
BEAR