The StratLab Daily
No. 139 · Friday 11 Sep 2026 · NSE, data through close
Redesign v5 · One-thesis + Market Health · Real data
Short gamma raises overshoot risk as market health weakens.
Dealers flipped from +30,178 net gamma to -43,542, shifting the regime from Stabilizing to Acceleration Risk.
What happenedDealers flipped short gamma: net gamma moved to -43,542 from +30,178 prior.
The tensionAcceleration Risk now meets a Bear Market, Weakening trend and Very High risk.
Net readNet read: fragile conditions leave the index exposed to larger moves.
Nifty Close
23,398.10
−0.34%
Market Phase
🔴 Bear Market
session 3 · ↓ weakening
Risk
Very High
confidence 10
FII Idx Fut
−284.9K
0.4th %ile
Walls
23.3–23.5K
PE base · CE wall
01 The crowd
The crowd
Positioning over the last 20 sessions
FII net index futures · 20 sessions · '000 contracts · endpoint = 11 Sep · source: StratLab participant OI
What this means: The close was 23,398.1 after a -0.34% session. The backdrop is already a Bear Market with a Weakening trend.
02 The turn
The turn
What this means: Dealers flipped short gamma, moving the regime from Stabilizing to Acceleration Risk. Moves can now overshoot.
03 The catch
The catch — Market Health
Market health over the last 20 sessions
Market Health Index · 20 sessions · 0–100 · endpoint = 11 Sep · percentiles vs 1,282 sessions
What this means: Market Health Index (MHI) is 21.16 at the 3.8 percentile, with Bear Market phase, Weakening trend and Very High risk.
Phase
🔴 Bear Market
risk Very High
Participation
50.0
delivery breadth
StratLab Breadth Index
28.0
15th %ile, trailing year
04 Days like today
Days like today
Across 132 matches, conditions like today historically favored a 0.43% average five-day outcome; the worst was -4.86%.
Conditions analog · Phase + Trend + Risk match
n = 132 · tier: exact
| Horizon | Avg | Median | Win rate | Worst |
|---|
| Next session | +0.14% | +0.12% | 54% | −3.24% |
| Next 5 sessions | +0.43% | +0.29% | 55% | −4.86% |
| Next 10 sessions | +0.57% | +0.37% | 54% | −7.37% |
| Next 20 sessions | +1.20% | +0.80% | 64% | −8.66% |
The historical average was 0.43%, against a -4.86% worst five-day outcome.
Defensive posture: Acceleration Risk sits against Very High market risk.
05 Tomorrow's tripwires
Three checks that settle the argument
Confirm
Bear Market, Weakening trend and Very High risk remain in place.
Watch
Net gamma at -43,542 keeps the market in Acceleration Risk.
Break
The historical downside marker is a -4.86% five-day outcome.
The ledger
Where that leaves us
Lines up bullish
- Conditions like today historically favored a 0.43% average five-day outcome.
- The close held at 23,398.1.
Lines up bearish
- Market Health Index (MHI) is 21.16 at the 3.8 percentile.
- Net gamma is -43,542 after +30,178 prior.
- The worst five-day historical outcome was -4.86%.
Net read: Short gamma increases overshoot risk while market health remains deeply weak.
Short gamma raises overshoot risk; Market Health Index (MHI) at 21.16 remains Bear Market, Weakening and Very High risk.
Regime
BULL