Options Expiry & Settlement Glossary — Every Term Defined (Nifty)

0DTE Expiry

0DTE means a contract expiring that same day — zero days to expiry. Nifty and Sensex weekly options trade as 0DTE contracts on their respective expiry days, with extreme theta and gamma behaviour. also: Zero days to expiry

Annual expiry Expiry

An annual expiry contract expires once a year rather than weekly, monthly, or quarterly. Some Indian index options list long-dated annual series, mainly used by institutions for longer-term hedging.

Assignment Settlement

Assignment is what happens to an option seller (writer) when the buyer's option is exercised — the seller is obligated to pay the cash difference (or deliver/receive shares) on an in-the-money contract.

Assignment risk Settlement

Assignment risk is the possibility that an option seller is assigned — obligated to settle in cash or deliver/receive shares — because the buyer's option finished in the money at expiry.

ATM (At the money) Option chain

An option is at the money (ATM) when its strike price is closest to the current market price of the underlying. ATM options carry the most extrinsic value and the highest gamma near expiry. also: At the money

Auto-exercise Settlement

Auto-exercise means the exchange automatically exercises any in-the-money option at expiry without the holder needing to submit an instruction. This is standard for all Indian exchange-traded options. also: Automatic exercise

Bank Nifty Instruments

Bank Nifty is NSE's index tracking the largest Indian banking stocks. Since November 2024 its derivatives expire monthly only, on the last Tuesday of the month, after weekly expiries were discontinued. also: Nifty Bank

BSE General

BSE (Bombay Stock Exchange) is India's oldest stock exchange, home to the Sensex index derivatives, which currently expire on Thursdays. also: Bombay Stock Exchange

Cash settlement Settlement

Cash settlement means a contract is settled by paying or receiving the money difference between the strike and the final settlement price, with no shares or index units changing hands. All Indian index options and futures are cash-settled.

Closing session Expiry

The closing session is the final window of trading on expiry day (the last 30 minutes on Indian exchanges) whose prices are averaged to compute the final settlement price for index derivatives. also: Closing auction

Contract Instruments

A contract is a single standardised options or futures agreement defined by its underlying, strike (for options), lot size, and expiry date, as specified by the exchange.

Covered option Behaviour

A covered option is a short option position that is offset by holding the underlying (or another option), limiting the seller's risk compared to a naked position — for example, a covered call written against shares already owned.

Days to expiry Expiry

Days to expiry (DTE) is simply the number of calendar or trading days remaining until a contract's expiry date, a key input for how much time value and theta decay it still has. also: DTE

Dealer hedging Behaviour

Dealer hedging is the buying and selling market makers do in the underlying to stay delta-neutral against the options they have sold, and it tends to intensify and shift strikes as expiry nears.

Defined risk Behaviour

A defined-risk position has a known, capped maximum loss set at entry — typically achieved by combining a long and short option (a spread) — as opposed to a naked position with theoretically unlimited risk.

Delivery margin Settlement

Delivery margin is the extra margin exchanges collect ahead of expiry on stock derivatives likely to result in physical delivery, meant to cover the cost of taking or giving actual shares.

Delta Greeks

Delta measures how much an option's price is expected to move for a one-point move in the underlying. Near expiry, delta moves toward 0 (OTM) or 1/-1 (ITM) very quickly as the option's fate is decided.

European option Instruments

A European option can only be exercised on its expiry date, not any time before. All Indian index and stock options are European-style, unlike American options which can be exercised early.

Exercise Settlement

Exercise is the act of converting an option into its underlying payoff — receiving the intrinsic value for an in-the-money option. In India this happens automatically at expiry; there is no manual exercise instruction to submit.

Exercise process Settlement

The exercise process is the mechanism by which an in-the-money option's payoff is realised at expiry — in India this is fully automated (auto-exercise) through the clearing corporation, requiring no action from the holder.

Expiry Expiry

Expiry is the fixed date on which an options or futures contract stops trading and is settled for the last time. After expiry, an in-the-money option is auto-exercised and paid out; an out-of-the-money option lapses worthless.

Expiry date Expiry

The expiry date is the specific calendar date printed on a contract that marks its last trading day and settlement trigger. Every NSE and BSE derivative contract has one fixed in advance.

Expiry day Expiry

Expiry day is the calendar day on which a contract's last trading session and final settlement occur. It typically sees the highest volatility, gamma risk, and open-interest unwinding of the contract's life.

Extrinsic value Greeks

Extrinsic value is the part of an option's premium above its intrinsic value, reflecting time remaining and expected volatility. It decays to zero by expiry, which is why it is also called time value. also: Time value

Final settlement price Settlement

The final settlement price is the value used to settle a contract on its expiry day, calculated as the volume-weighted average price of the underlying index or stock over the last 30 minutes of trading. also: FSP

FinNifty Instruments

FinNifty (Nifty Financial Services) is NSE's index of financial-sector stocks beyond just banks. Like Bank Nifty, its derivatives have been monthly-only, expiring on the last Tuesday, since November 2024. also: Nifty Financial Services

Gamma Greeks

Gamma measures how fast an option's delta changes as the underlying price moves. Gamma is highest for at-the-money options on expiry day, which is why small index moves can cause outsized swings in option value near expiry.

Gamma exposure (GEX) Behaviour

Gamma exposure (GEX) estimates the aggregate gamma held by option dealers across all strikes, used to gauge whether dealer hedging is likely to amplify or dampen price moves as expiry approaches. also: GEX

Gamma risk Behaviour

Gamma risk is the danger that an option's delta — and therefore its price and hedging requirement — changes very rapidly near expiry, especially for at-the-money strikes, making positions hard to manage in the final session.

Greeks interaction at expiry Greeks

Greeks interaction near expiry refers to how delta, gamma, theta and vega behave together in the final sessions — gamma and theta both intensify while vega collapses, making option prices far more sensitive to small underlying moves.

Implied volatility Greeks

Implied volatility (IV) is the market's forward-looking estimate of how much the underlying will move, derived from option prices. IV often rises just before a known event and falls sharply afterward. also: IV

Intrinsic value Greeks

Intrinsic value is the immediate exercise value of an option — how much it is in the money, if at all. It is never negative and is the only value an option retains at the moment of expiry.

ITM (In the money) Option chain

An option is in the money (ITM) when it already has intrinsic value — a call whose strike is below the current price, or a put whose strike is above it. ITM options are the ones auto-exercised at expiry. also: In the money

IV crush Behaviour

IV crush is the rapid fall in implied volatility — and therefore option premiums — right after an anticipated event or expiry passes, since the uncertainty priced into the option has now resolved. also: Volatility crush

Last trading day Expiry

The last trading day is the final day a contract can be bought or sold before it is settled and removed. For most Indian contracts this is the same calendar day as expiry, ending at the normal market close.

Liquidity near expiry Behaviour

Liquidity near expiry refers to how trading volume and open interest shift as a contract approaches its last day — near-the-money strikes typically see a surge in activity while far strikes thin out.

Lot size Instruments

Lot size is the fixed number of underlying units in one derivatives contract, set by the exchange for each stock or index. You can only trade in multiples of the lot size, not single shares or index units.

Max pain Option chain

Max pain is the strike price at which the total value of all outstanding options (calls plus puts) would be lowest for option buyers at expiry — often watched as a magnet-like reference point, though it does not reliably predict where the market will settle.

Moneyness Option chain

Moneyness describes an option's strike relative to the current underlying price — in the money, at the money, or out of the money. It determines both intrinsic value and how the option behaves as expiry nears.

Monthly expiry Expiry

A monthly expiry contract expires on the last trading day of the expiry month — the last Tuesday for NSE contracts and last Thursday for BSE contracts. All stock options and futures use monthly expiry only.

Naked option Behaviour

A naked option is a short (sold) option position with no offsetting hedge in the underlying or another option, exposing the seller to potentially large losses if the market moves sharply against it, especially near expiry. also: Uncovered option

Neutral expiry Behaviour

A neutral expiry strategy is a market-neutral options structure, such as an iron condor or short strangle, designed to profit if the underlying stays within a range through expiry rather than betting on direction.

Nifty Instruments

Nifty (Nifty 50) is NSE's benchmark index of the top 50 Indian companies by market capitalisation, and its options are among the most heavily traded derivatives in the world, with weekly expiries on Tuesday. also: Nifty 50

Notional value General

Notional value is the total market value a derivatives position controls — strike (or price) multiplied by lot size — used to gauge real exposure rather than just the premium paid.

NSE General

NSE (National Stock Exchange) is India's largest stock exchange by derivatives volume, home to Nifty, Bank Nifty and FinNifty contracts, which currently expire on Tuesdays. also: National Stock Exchange

Open interest Option chain

Open interest (OI) is the total number of outstanding option or futures contracts that have not yet been closed, exercised, or expired. Rising OI at a strike signals fresh positioning building up around that level. also: OI

Options chain Option chain

An options chain (or option chain) is the table listing every available strike price for a given underlying and expiry, showing calls and puts side by side with their premiums, open interest, and volume. also: Option chain

OTM (Out of the money) Option chain

An option is out of the money (OTM) when it has no intrinsic value — a call whose strike is above the current price, or a put whose strike is below it. OTM options expire worthless if held to expiry. also: Out of the money

Physical settlement Settlement

Physical settlement means an in-the-money option results in actual delivery of the underlying shares rather than a cash payout. All single-stock options and futures in India are physically settled.

Pin risk Behaviour

Pin risk is the uncertainty that arises when the underlying settles very close to a strike price at expiry, making it unclear whether that option will finish in or out of the money until the final settlement price is fixed.

Position adjustment Behaviour

Position adjustment means modifying an existing options position — rolling strikes, adding legs, or resizing — in response to how the underlying has moved, usually to manage risk as expiry approaches.

Put-call ratio (PCR) Option chain

The put-call ratio compares total put open interest (or volume) to total call open interest. A high PCR is generally read as bearish sentiment or put-heavy hedging, while a low PCR suggests call-heavy positioning. also: PCR

Quarterly expiry Expiry

A quarterly expiry contract expires at the end of a calendar quarter (March, June, September, December). Index futures and options list a few quarterly series alongside monthly ones, mainly used by institutional hedgers.

Rolling Behaviour

Rolling means closing a position in the current expiry and opening a similar one in a later expiry, used to extend a trade's duration, avoid physical delivery, or manage risk as expiry approaches. also: Rollover

Rollover Behaviour

Rollover is closing a position in the expiring contract and simultaneously opening an equivalent position in the next expiry, done by traders who want to keep their exposure without going through settlement. also: Rolling

Sensex Instruments

Sensex is BSE's benchmark index of 30 large Indian companies. Its weekly options expire on Thursday, the BSE equivalent of Nifty's Tuesday weekly expiry on NSE.

Settlement day Settlement

Settlement day is when the cash (or shares, for stock options) actually moves between buyer and seller accounts, typically one working day after the expiry/last trading day.

Settlement price Settlement

The settlement price is the reference price used to mark or close out a derivative contract — the daily closing price for mark-to-market, or the final settlement price on expiry day.

Squaring off Behaviour

Squaring off means closing an open position by taking the opposite trade before expiry — selling what you bought, or buying back what you sold — rather than carrying it into settlement.

Strike migration Option chain

Strike migration is the tendency of trading activity and open interest to concentrate around strikes closer to the current underlying price as expiry nears, since far-dated OTM strikes lose relevance.

Strike price Option chain

The strike price is the fixed price at which an option holder can buy (call) or sell (put) the underlying if exercised. It is set when the contract is listed and never changes. also: Exercise price

STT (Securities Transaction Tax) General

STT is a tax levied on securities transactions in India, including options and futures trades. It is notably higher on the exercise of an in-the-money option than on a regular sale, which is why many traders square off rather than let ITM options auto-exercise. also: Securities Transaction Tax

Theta Greeks

Theta measures how much an option's price falls each day purely from the passage of time, holding everything else constant. Theta is negative for option buyers and accelerates sharply in the last week before expiry.

Theta harvest Behaviour

Theta harvesting is an options-selling strategy that aims to profit from time decay by collecting premium on options expected to lose extrinsic value faster than the underlying moves against the position. also: Theta harvesting

Time decay Greeks

Time decay is the erosion of an option's extrinsic value as expiry approaches, driven by theta. It is slow for far-dated options and speeds up dramatically in the final days and hours before expiry. also: Theta decay

Time value Greeks

Time value is the portion of an option's price attributable to the time left until expiry and the possibility the underlying moves in its favour. It erodes steadily and accelerates in the final days before expiry. also: Extrinsic value

Vega Greeks

Vega measures how much an option's price changes for a one-point change in implied volatility. Vega shrinks toward zero as expiry approaches, since there is less and less time for volatility to matter.

Vega collapse Greeks

Vega collapse is the sharp fall in an option's sensitivity to implied volatility as expiry nears, meaning IV changes stop moving the option's price by expiry day, when only intrinsic value remains relevant.

Volatility crush Behaviour

Volatility crush describes the same effect as IV crush: option premiums deflating quickly once expected volatility fails to materialise, commonly seen right after weekly expiry in Nifty and Bank Nifty options. also: IV crush

Volume changes Behaviour

Volume changes near expiry describes the typical spike in traded contracts on and just before expiry day, driven by squaring off, rollovers, and speculative last-day positioning.

Weekly expiry Expiry

A weekly expiry contract expires every week rather than only once a month. In India, weekly expiries currently exist only for Nifty (Tuesday) and Sensex (Thursday) index options.