The StratLab Daily
No. 85 · Wednesday 24 Jun 2026 · NSE, data through close
Redesign v5 · One-thesis + Market Health · Real data
Dealers flipped short gamma — moves can now overshoot.
NIFTY +0.83% to 24,022. Positive dealer gamma dampens intraday swings; negative gamma amplifies them. A sign change resets how the index trades.
What happenedNIFTY +0.83% to 24,022. Dealers flipped short gamma — moves can now overshoot.
The tensionMarket Health is Healthy Uptrend at Elevated risk, 41st percentile.
Net readConditions broadly line up with the move.
Nifty Close
24,021.65
+0.83%
Market Phase
🟢 Healthy Uptrend
session 2 · → stable
Risk
Elevated
confidence 55
FII Idx Fut
−229.1K
11.3th %ile
Walls
24.0–24.1K
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 = 24 Jun · 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 -7,240 vs +64,783 prior · regime: Stabilizing → Low Gamma · near-money IV ≈11%
03 The catch
Market Health reads Healthy Uptrend
Market health over the last 20 sessions
Market Health Index · 20 sessions · 0–100 · endpoint = 24 Jun · percentiles vs 1,226 sessions
What this means: the internals broadly agree with today's move.
Phase
🟢 Healthy Uptrend
risk Elevated
Participation
46.8938
delivery breadth
StratLab Breadth Index
71.3
88th %ile, trailing year
04 Days like today
22 sessions like this one.
Every session sharing today's Market Health signature — healthy uptrend, Elevated risk — 22 of them on record.
Conditions analog · Phase + Trend + Risk match
n = 22 · tier: exact
| Horizon | Avg | Median | Win rate | Worst |
|---|
| Next session | +0.01% | +0.19% | 64% | −1.53% |
| Next 5 sessions | +0.23% | +0.26% | 57% | −3.71% |
| Next 10 sessions | +0.02% | −0.05% | 48% | −6.13% |
| Next 20 sessions | +0.90% | +1.34% | 67% | −8.33% |
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
Healthy Uptrend runs a median of 1 session(s) (max 7) — this is session 2. 56% of exits went up.
Market Health crosses the 50 midline
MHI at 60.9 — a close back above 50 would end the 41st-percentile read.
Phase slips to Bear Market
0.0% of Healthy Uptrend exits went straight to Bear — the conditions analog's worst 5-session outcome (−3.71%) 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 41st percentile · Elevated risk
- Conditions analog: +0.23% avg next 5 · 57% 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
BULL