Expiry Day Analysis
Overview
NSE derivatives expire on the last Thursday of each month (monthly) and every Thursday (weekly for NIFTY and BANK NIFTY). Expiry days often show distinct behavioral patterns.
Research Questions
- Does NIFTY tend to move toward max pain on expiry?
- What is the average intraday range on expiry day vs non-expiry?
- Is there a directional bias based on Put/Call ratio at open?
- How does theta decay affect ATM option premium behavior through the day?
Data Sources
scr_nsefo_eod— Options EOD data (OHLCV + OI)scr_nseeq_eod— Underlying spot data- External: NSE FII/DII data (manual import)
Test Setup
| Parameter | Value |
|---|---|
| Instrument | NIFTY 50 Weekly Options |
| Period | 2021–2024 |
| Expiry Day | Every Thursday |
| Data Granularity | 5-minute intraday |
Preliminary Findings
Placeholder: Update with actual backtesting data.
Intraday Range (Placeholder)
- Average range on expiry Thursday: [TBD] points
- Average range on non-expiry Thursday: [TBD] points
- Range ratio: [TBD]x
Max Pain Convergence (Placeholder)
- % of expiries where spot closed within 50 pts of max pain: [TBD]%
- % of expiries where spot closed within 100 pts of max pain: [TBD]%
Tools
# Compute max pain for a given expiry
# SELECT strike, sum(oi) as total_oi, option_type
# FROM scr_nsefo_eod
# WHERE sdate = expiry_date AND symbol = 'NIFTY'
# GROUP BY strike, option_type
See also: ORB Tests