SENSEX expiry 2 July 2026: what the 77,500 options did in the last 30 minutes
On Thursday 2 July 2026 the SENSEX strike nearest the index at 15:00 was 77,500. The index went from 77,511 at 15:00 to 77,453 at 15:30, down 58 points across the settle walk.
The at-the-money legs, 15:00 to 15:30
| Leg | 15:00 | High | Low | 15:30 | End vs 15:00 | Open interest |
|---|---|---|---|---|---|---|
| 77,500 CE | ₹54.9 | ₹54.9 15:00 | ₹0.1 15:23 | ₹1.7 | worthless | 7.5M → 9.7M |
| 77,500 PE | ₹61.4 | ₹61.4 15:00 | ₹0.1 15:30 | ₹0.1 | worthless | 9.7M → 6.4M |
Premium of the strike nearest the index at 15:00, sampled every ten seconds from the NSE option chain. Index values are the chain's own quote. Dotted verticals mark a pin-book flip on Gamma Terrain.
What happened
The 77,500 call was ₹54.9 at 15:00. It never traded meaningfully above its 15:00 price. Its low was ₹0.1 at 15:23, less than half of where it started the half hour. It ended at ₹1.7, worthless. Open interest at the strike went from 7.5 million to 9.7 million, so positions were added through the window.
The 77,500 put was ₹61.4 at 15:00. It never traded meaningfully above its 15:00 price. Its low was ₹0.1 at 15:30, less than half of where it started the half hour. It ended at ₹0.1, worthless. Open interest at the strike went from 9.7 million to 6.4 million, so positions were closed through the window.
Chain quotes were missing 15:00–15:01, 15:01–15:02, 15:02–15:03, 15:03–15:04, 15:04–15:05, 15:05–15:06, 15:06–15:07, 15:07–15:08, 15:08–15:09, 15:09–15:10, 15:10–15:11, 15:11–15:12, 15:12–15:13, 15:13–15:14, 15:14–15:15, 15:15–15:16, 15:16–15:17, 15:17–15:18, 15:18–15:19, 15:19–15:20, 15:20–15:21, 15:21–15:22, 15:22–15:23, 15:23–15:24, 15:24–15:25, 15:25–15:26, 15:26–15:27, 15:27–15:28, 15:28–15:29, 15:29–15:30: the exchange rate-limited the poll in the endgame, so the chart shows a hole there rather than a line. Highs and lows inside a hole are not known.
For context, across 21 NIFTY and SENSEX expiries measured to 2026-09-08, 15 of 42 at-the-money legs doubled at some point in this window, 26 lost half, and 13 ended at or above their 15:00 price. This page states what the tape did. It is not a recommendation to buy or sell anything.
Gamma Terrain shows the pin, the walls, the book read and every large print, tick by tick, on NIFTY and SENSEX.
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