The gamma blast detector: what it watches, and its full record including the misses

TBTflow runs a gamma blast detector on every NIFTY and SENSEX expiry: a state machine that watches the at-the-money option chain through the afternoon and names four states, quiet, coiled, triggered and blast. This page says exactly what it watches, what it does not watch, and its full record on the 22 expiry days it has run, including the two it missed. A detector page that only showed the hits would be advertising. This one is the log.

What the detector watches

Every 60 seconds on an expiry day, from the afternoon to 15:20, it reads the option chain and builds a frame from five inputs: the premium of the out-of-the-money call and put nearest the index, the at-the-money implied volatility against its low of the day, the open interest at the strikes around the index against the walls it saw earlier, the direction of the broad-market read, and for NIFTY the futures order-flow vote. From those it scores a coil, from 0 to 4: a premium that has stopped decaying while the index sits against a large open-interest wall, with implied volatility off its low. A coil score of 3 or more moves the state to coiled. A premium break out of the coil with the order flow and the structure agreeing moves it to triggered, and a premium that keeps going to a multiple of its trigger price is graded blast. At 15:20 the machine stops and grades the day: blast hit, fizzle, or expiry close.

It does not watch the resting order book. The pin-book read on Gamma Terrain, which measures the depth at the put strikes below the pin and the call strikes above it, is a separate instrument. On 8 September that separate instrument flipped at 15:16:50 while the detector sat at a coil score of 2.8, below its gate.

The record, every expiry day it has run

Source: the detector's own log, read 8 September 2026. "Peak premium" is the out-of-the-money leg the machine was tracking, not the at-the-money leg the recaps report. "Done" with a grade and no earlier state means the transition rows were not written that day.

Counted plainly: on 22 expiry days it reached its blast state on 3, graded itself blast hit on 6, triggered without a blast on 6, stayed coiled or quiet on 8, and on 2 days, 3 September and 8 September, it wrote nothing at all. Those two silent days were the two largest at-the-money moves of the whole set. The 3 September put ended at 4.2 times its 15:00 price and the 8 September put spiked to 2.7 times and gave it back.

Why it missed the two biggest days

Two design choices, both visible in the record. The first is the coil gate: the score has to reach 3 before the machine arms, and on 8 September it sat at 2.8 through the afternoon. The second is the hard stop at 15:20, chosen when the machine was built so that it never graded itself on the frozen quotes of the closing auction. The 8 September covering wave began at 15:20:03. The machine had switched itself off three seconds earlier. On 3 September the SENSEX put made most of its move after 15:20 as well.

There is also a logging gap the record exposes: the machine writes a row only when its state changes or an outcome is graded, so a day on which it never arms leaves no rows, and no rows looks the same as the machine not having run. Both are being changed. The hard stop is being extended through the settle walk in shadow first, and the machine will write a closing row on every expiry day whether or not it fired. When those changes have enough expiries behind them, this table gets updated with the new column beside the old one, never replacing it.

What a detector can and cannot be

A gamma blast detector can name the conditions: a coiled premium, a wall the index is leaning on, implied volatility off its low, order flow that agrees. It cannot say which side will blast or whether the spike will hold to 15:30, and the 21-expiry data says that even with the conditions in view fewer than a third of at-the-money legs end the half hour above where they started. TBTflow shows the machine's state on Gamma Terrain as data, beside the pin-book read that caught what the machine missed. Nothing on that screen is a recommendation.