The Expiry Playbook
- Options expiry creates mechanical price distortion. Market makers hedge → gamma effects → strange price action.
- "Max pain" is real: Stocks often gravitate toward strikes where most options expire worthless.
- Volatility collapse: IV crush after expiry can destroy option holders even if direction is right.
- Quadruple witching (4x per year) is when stock options, stock index futures, stock index options, and single stock futures all expire.
- Last hour of expiry Friday is chaos. Normal analysis fails. Anything can happen.
When the Market Gets Haunted
Every month, typically on the third Friday, something strange happens to markets.
Stocks that should move based on news... don't. Stocks that have no news... swing wildly. Prices seem magnetically attracted to certain round numbers. The normal rules temporarily break.
This is expiry week — when options and futures contracts expire, and the mechanical forces of derivatives overwhelm fundamental trading.
"On expiry day, the market isn't driven by buyers and sellers. It's driven by math — the math of options hedging. And that math doesn't care about your thesis."
— Options Market Maker
In India, every Thursday brings weekly options expiry chaos. In the US, it's typically Fridays, with mega-events quarterly.
Let's decode the strangeness.
The Gamma Effect: Why Stocks Pin to Strikes
The Pinning Phenomenon
On expiry day, stocks often close suspiciously close to major option strikes. This isn't manipulation — it's gamma hedging mechanics.
Here's how it works:
Options market makers sell options to traders. To hedge, they must buy or sell shares as the stock moves. This hedging is called "delta hedging."
As expiry approaches, a magical thing happens: gamma explodes.
🧮 The Gamma Mechanics
Price Rises Toward Strike
Call options gain delta. Market makers who sold calls must buy shares to hedge. This pushes price higher.
Price Falls Toward Strike
Put options gain delta. Market makers who sold puts must sell shares to hedge. This pushes price lower.
At the Strike = Balance
When price equals strike, hedging flows balance. Price stabilizes. Pinning occurs.
Gamma Maximum at Expiry
As time to expiry → 0, gamma → infinity near the strike. Hedging flows become overwhelming. Price is "stuck."
This is why a stock with heavy options interest at $100 will often close at $99.95 or $100.05 on expiry day. The options are controlling the stock, not vice versa.
Max Pain: Where Options Go to Die
"Max Pain" is the strike price where the maximum number of options expire worthless — hurting option buyers and benefiting option sellers (usually institutions).
Max Pain Theory
Stocks gravitate toward the strike where calls + puts lose the most value. Option sellers win maximally.
How to Calculate
Find the strike where total dollar value of all OTM calls + puts is maximized. Many free tools do this.
Does It Work?
Research shows stocks close near max pain more often than chance. Not always, but enough to notice.
The Trap
Don't trade max pain blindly. It's one force among many. Works best with high OI and no competing news.
"Max pain is not a conspiracy. It's just math. When you're short a billion dollars of options, you hedge. And your hedging moves the market toward where you make money."
— Institutional Trader
Quadruple Witching: Maximum Chaos
The Witching Hour
Four times per year (March, June, September, December), four types of derivatives expire simultaneously. Volume explodes. Chaos ensues.
Quadruple witching is when these all expire together:
Stock Options
Individual equity options on thousands of stocks. Millions of contracts.
Stock Index Futures
S&P 500 futures, NASDAQ futures. Massive institutional positions.
Stock Index Options
Options on SPX, NDX. Often the largest notional values.
Single Stock Futures
Less common but add to the complexity. Fourth witch in the mix.
📊 Quadruple Witching by the Numbers
The final hour of quadruple witching is particularly insane. Institutional traders must roll or close massive positions. The last 30 minutes often sees billions in index buying or selling.
India's Thursday Chaos: Weekly Expiry Madness
In India, every Thursday is expiry day for weekly index options (Nifty, Bank Nifty). This creates a weekly cycle of chaos that American markets only experience monthly.
₹ Billions at Stake
Indian F&O market is one of the world's largest by volume. Weekly expiry = weekly drama.
2:30-3:30 PM IST
Last hour before expiry. Nifty can swing 100+ points in minutes. Normal analysis worthless.
Retail Graveyard
SEBI data: 93% of retail F&O traders lose money. Weekly expiry is where most losses concentrate.
Pros Love It
Option sellers (institutions) feast on weekly theta decay. They're the house. Retail is the gambler.
"Every Thursday, I watch retail traders buy lottery tickets called 'weekly options.' They almost all expire worthless. The premium I collect is their hope, converted to my income."
— Indian Options Seller
The IV Crush: Right Direction, Still Lost Money
One of the cruelest expiry week phenomena: you predicted the direction correctly, but your options still lost money.
This is the IV crush.
What Is IV?
Implied Volatility = market's expectation of future movement. High IV = expensive options. Low IV = cheap options.
When Does Crush Happen?
After events: earnings, expiry, FOMC. Uncertainty resolves → IV collapses → option value evaporates.
The Math That Hurts
Stock +5%, but IV drops 50%? Call option can still lose money. Vega loss exceeds delta gain.
How to Avoid
Sell premium before events. Buy premium after. Or use spreads to neutralize vega. Don't buy inflated options.
The 0DTE Phenomenon: Same-Day Options Insanity
In recent years, 0DTE (zero days to expiration) options have exploded in popularity. These are options that expire the same day you buy them.
They're essentially lottery tickets. And they've created a new layer of expiry-day chaos.
0DTE Volume
Now ~40-50% of all SPX options. Didn't exist at this scale 5 years ago.
The Odds
Studies show 97%+ of 0DTE buyers lose money. Pure gambling for most.
The Appeal
Cheap. $100 can control $50,000 of stock. Potential 10x+ in hours. Addictive.
Market Impact
0DTE gamma creates intraday swings. Amplifies moves. Makes markets jumpier.
"0DTE options have turned every day into expiry day. The market now dances to the tune of intraday gamma. It's a fundamentally different beast than 10 years ago."
— Volatility Researcher
How to Survive Expiry Week
The Expiry Survival Guide
You can't fight the expiry forces. But you can work with them — or step aside.
Know the Calendar
Mark monthly options expiry (3rd Friday). Mark quarterly witching (Mar, Jun, Sep, Dec). Plan around them.
Check Open Interest
Before trading expiry week, see where OI is concentrated. Those strikes are magnets. Trade with awareness.
Avoid Holding Through
Close or roll options before expiry. Pin risk is real. Assignment surprises are painful.
Reduce Position Size
Expiry week has higher variance. Reduce size. What's normal becomes abnormal. Protect capital.
Be the House
If you must trade expiry, sell premium rather than buy. Time decay is your friend. But manage risk.
Skip the Last Hour
The final 30-60 minutes of expiry are pure chaos. Unless you're a pro, just watch. Don't participate.
The Recurring Madness
Every month, the witching returns. Every week in India. Every day now with 0DTE.
The market temporarily stops being driven by fundamentals, earnings, or news. It becomes a machine executing hedging flows.
This isn't a bug — it's a feature of modern markets. Derivatives exist. They expire. Their expiration creates mechanical forces that overwhelm human analysis.
"The tail now wags the dog. Options volume exceeds stock volume. Expiry mechanics move markets more than fundamentals on these days. Adapt or die."
— Market Structure Expert
You have two choices:
- 1. Understand the forces and trade with them. Learn gamma, pin risk, max pain. Use the chaos.
- 2. Step aside during expiry and return when the ghosts have passed. There's no shame in sitting out.
What you cannot do is trade expiry week like a normal week and expect normal results.
The witches are coming. They always do.
Master the Patterns That Rule Markets
Expiry madness is just one of the recurring cycles. Learn them all before they catch you off guard.
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