How expiry days changed
- Sep 2023NSE moves Bank Nifty weekly expiry from Thursday to Wednesday, spreading expiries across the week.
- 1 Oct 2024SEBI announces measures on index derivatives: larger contracts, one weekly expiry per exchange, extra margin on expiry day and upfront premium collection.
- 20 Nov 2024Weekly options end for Bank Nifty, FinNifty and Nifty Midcap Select. Nifty 50 (NSE) and Sensex (BSE) keep weekly expiries. Extra 2% margin on short index options on expiry day begins.
- 1 Feb 2025Option buyers must pay the full premium upfront. Calendar spread margin benefit ends on expiry day.
- 26 May 2025SEBI limits equity derivative expiries to Tuesday or Thursday, one day per exchange.
- 1 Sep 2025NSE moves to Tuesday and BSE to Thursday. The first Nifty weekly on the new cycle expires on Tuesday, 2 September 2025, and the first Sensex weekly on Thursday, 4 September 2025.
- 3 Aug 2026A closing auction session sets the closing prices of stocks with F&O contracts, and derivatives trading is extended to 15:40.
- 15 Oct 2026SEBI revises the auction. From 7 December 2026 it runs from 15:30 to 15:40, expiring index contracts stop trading at 15:30 on expiry day, and expiry settlement returns to average prices from the last 30 minutes of continuous trading.
Before November 2024, there was an index expiry almost every weekday. Now there are two: Tuesday for Nifty and Thursday for Sensex, with NSE's monthly contracts for Bank Nifty, FinNifty, Midcap Select and stocks expiring on the last Tuesday of the month.
Where volume concentrates
| Measure | Figure | Source |
|---|---|---|
| Index option turnover on NSE and BSE in same-day expiry (0DTE) contracts | 59% (FY25: 70%) | SEBI FY26 profitability study |
| Within one day of expiry | 75% (FY25: 80%) | SEBI FY26 profitability study |
| Within one week of expiry | 97% (FY25: 98%) | SEBI FY26 profitability study |
| Individual traders who mainly buy options | About 97% (sample) | SEBI FY26 trading behaviour study |
| Share of individual losses from options | 92% | SEBI FY26 profitability study |
The same-day share fell from 70% in FY25 to 59% in FY26, the first full year with one weekly expiry per exchange, but same-day contracts still carry most index option turnover. This concentration is the defining feature of Indian options trading. On expiry day, premiums are small, lot sizes give large exposure per rupee, and a move of a few hundred points can multiply or wipe out an option's value within an hour.
How expiry-day trading differs
| Expiry day | Other days | |
|---|---|---|
| Option premiums | Small: mostly intrinsic value plus a few rupees of time value | Larger time value |
| Theta | Very high: ATM options lose most of their remaining value during the session | Gradual decay |
| Gamma | Very high near the ATM strike: delta swings from 0.2 to 0.8 on a small move | Moderate |
| Intraday volatility | Higher, especially in the last hour | Normal |
| Margin for sellers | Extra 2% ELM on short index options; no calendar spread benefit | Standard SPAN plus exposure |
| Settlement | Index options settle in cash at the index's official close; stock options in the money settle by delivery | — |
The last hour
In the last hour of expiry day, three things happen at once: option sellers who are winning let positions expire or close them, buyers chase any move with cheap out-of-the-money options, and the index's settlement value is being set. Since 3 August 2026, stocks with F&O contracts stop continuous trading at 15:15 and take their closing prices from an auction that ends at about 15:35. The index close built from those prices is the settlement value, while the options themselves trade until 15:40. Before that date, the close came from each stock's average price in the last 30 minutes. From 7 December 2026, under SEBI's circular of 15 October 2026, the auction moves to 15:30 to 15:40, expiring index options stop trading at 15:30, and settlement goes back to an index value built from each stock's volume-weighted average price in the last 30 minutes of continuous trading. The result is often the most volatile part of the week in index options, with option prices that can rise several times over or go to zero within minutes; see expiry day strategies.
Expiry-day strategies traders use
| Strategy | Who | Logic | Main risk |
|---|---|---|---|
| Short straddle or strangle at the open, with stops | Sellers | Collect the day's time decay | A trending day blows through the short strike |
| Iron fly or iron condor | Sellers who want defined risk | Collect decay with capped loss | Lower credit; wings cost money |
| Cheap OTM buys in the last hour | Buyers | Pay a few rupees for a chance at a sharp move | Most expire worthless |
| Breakout with a long option after 13:00 | Buyers | Direction becomes clearer late in the day; premiums are small | Reversal into the close |
Our guide to expiry day strategies covers these in detail with worked examples.
What SEBI's data says about expiry-day results
SEBI's FY26 studies do not publish profit and loss by days to expiry, but they report that 92% of individual losses came from options and that about 97% of sampled individuals mainly bought options. Combined with the 59% share of same-day turnover across the index options market, the data point to heavy individual buying of short-dated options, many of which expire worthless. Proprietary traders, whose profits SEBI found came almost entirely from algo trading, earned about ₹44,000 crore in gross profits in the same year.
What it means for algos
- Timing rules matter more on expiry day. A strategy that enters at 9:20 and exits at 15:15 behaves differently on Tuesday from Wednesday. Backtest expiry days separately, and from 7 December 2026 plan expiry-day exits before 15:30, when expiring index options stop trading.
- Holiday shifts. When Tuesday is a holiday, Nifty expiry moves to the previous trading day, usually Monday. Pick contracts by expiry date, not by weekday. Our F&O expiry calendar lists every 2026 date.
- Margin checks. Short index option positions need the extra 2% ELM on expiry day, and calendar spreads lose their offset. A bot should check free margin before entry.
- Stop losses need room. Last-hour moves can jump past a tight stop. SL orders with a sensible buffer and an MTM stop loss across the position help.
- Order rate. Rapid re-entries on expiry day can approach the exchanges' threshold of 10 orders a second, above which a self-built algo must be registered. See SEBI's algo trading rules.
Related guides
- Expiry day strategy: how traders approach the last session of a contract
- F&O expiry calendar: every Nifty and Sensex expiry for the rest of 2026
- India VIX report: how volatility behaves around events and expiries
- Algo trading growth in India: SEBI's FY26 figures on who earned from derivatives
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Frequently asked questions
Which days are expiry days now?
Tuesday for NSE (Nifty 50 weekly and all NSE monthly contracts) and Thursday for BSE (Sensex weekly and BSE monthly contracts), since September 2025.
Why is expiry day so volatile?
Premiums are small and gamma is high, so small index moves produce large option moves. Sellers closing or defending positions and buyers chasing moves add to the swings, especially in the last hour.
Is it better to buy or sell options on expiry day?
Neither is guaranteed. Sellers collect fast time decay but face sharp moves; buyers risk small amounts for occasional large gains. SEBI's FY26 study found that 87.7% of individual traders lost money and that 92% of their losses came from options, so defined-risk structures and strict stops matter.
Do Bank Nifty options still have weekly expiry?
No. Bank Nifty weekly options ended in November 2024. Bank Nifty now has monthly contracts only, which have expired on the last Tuesday of the month since September 2025.
Sources
- SEBI, studies on profitability and trading behaviour of individual traders in the equity derivatives segment, FY25-FY26, press release 50/2026, 20 August 2026 (sebi.gov.in; turnover-by-expiry, loss and options-share figures checked against the studies on 20 October 2026)
- SEBI, measures to strengthen the equity index derivatives framework, 1 October 2024, and circular on expiry days, 26 May 2025
- NSE and BSE circulars on expiry-day changes effective 1 September 2025
- SEBI circular of 16 January 2026 introducing the closing auction session, and NSE circular NSE/CMTR/74466 of 29 May 2026 on the auction and derivatives trading until 15:40, effective 3 August 2026
- SEBI circular of 15 October 2026 revising the closing auction session, market timings and derivatives settlement, effective 7 December 2026