How markets behave near expiry
As expiry approaches, options stop behaving like calm instruments. Time decay accelerates, gamma explodes, prices get pulled toward high open-interest strikes, and dealer hedging can amplify moves. These pages explain the forces that make expiry day different from every other day.
Expiry Market Behaviour: Near expiry, at-the-money options develop very high gamma and very fast theta decay while vega collapses. This produces distinctive behaviour — pin risk around big strikes, the max-pain pull, sharp intraday swings and heavy dealer hedging — that defines expiry-day and 0DTE trading in Nifty and Bank Nifty.
Why Volatility Changes Near Expiry
Volatility dynamicsImplied volatility behaves differently in an option's final days — it can spike ahead of a known event and then collapse sharply once that event or t…
Theta Acceleration Near Expiry
Greeks near expiryTheta acceleration is the well-documented pattern where an option's time decay is not linear but speeds up sharply in its final days, so an at-the-mo…
Gamma Risk Near Expiry
Greeks near expiryGamma risk near expiry is the sharp rise in an at-the-money option's gamma in its final days, which makes delta — and therefore the option's price se…
Pin Risk
Risk patternPin risk is the uncertainty that arises when the underlying settles very close to — or is 'pinned' near — an option's strike price at expiry, making …
Max Pain Theory
Market structureMax pain is the strike price at which, if the underlying settled there, the total payout owed to all outstanding option buyers across the entire opti…
Open Interest Behaviour Near Expiry
Market structureOpen interest — the number of outstanding option contracts at each strike — behaves distinctively near expiry, typically concentrating heavily around…
Dealer Hedging Concepts
Market structureDealer hedging refers to how options market makers and large sellers manage the risk of the option books they run, typically by delta-hedging with th…
Liquidity Near Expiry
Market structureLiquidity near expiry behaves distinctively — it concentrates heavily in at-the-money and near-the-money strikes of the current, nearest contract whi…
Intraday Behaviour on Expiry Day
Expiry dayIntraday behaviour on expiry day tends to follow a recognisable rhythm — often an active opening as overnight positions and news are digested, a comp…
The Close & Settlement Window on Expiry Day
Expiry dayThe close and settlement window on expiry day is the final 30 minutes of trading, roughly 3:00–3:30 PM IST, during which the underlying's weighted-av…