---
title: "Does Nifty pin to max OI strikes? The evidence"
description: "Three tests of the pinning claim on dated NSE files: closes at strikes, the heaviest open interest strike, and call and put walls, with the maths."
source_url: "https://www.rupeecase.com/learn/path-15/module-15-11-pinning-and-max-oi-strikes"
---

[Path 15 11 of 13](/learn/path-15/)Pinning and max OI strikes: the evidence[Next 15.12](/learn/path-15/module-15-12-vanna-and-charm-flows)

On Tuesday 16 Jun 2026, the day the weekly Nifty contract expired, the strike with the most open interest was 24,000. Calls and puts there held 5.84 crore units between them. The index closed at 23,989.15, only 10.85 points away. A screenshot of that chain says the strike pulled the index in. One expiry proves nothing, so this lesson asks three separate questions of the files. Do closes cluster at strikes? Does the heaviest strike attract the close? Do the big call and put strikes hold as a ceiling and a floor? Every figure comes from NSE end of day files and is dated. Nothing here is live and nothing is a view on where the index will settle next.

3By the end you can

1. State the pinning claim as three separate tests, each with its own baseline.
2. Work out the chance share for closes near a strike and the band that counts as evidence.
3. Say which settlement regime a pinning test covers and why a new regime restarts it.

Watch in the terminal: why do the hero, key figure and XIRR differ? A short tutorial on sample data.

## The idea, plainly

### What pinning would mean

Pinning is the claim that an underlying finishes near an option strike more often than chance allows. The usual story has two parts. Option dealers hedge with the underlying, and near a strike with heavy open interest their hedges push against a move: they buy as the price dips and sell as it rises. Some traders also say large writers defend a strike. The first part is a mechanism that has been measured in US stocks. The second is a story, because the files do not say who holds which side.

Read one more paragraph, 74 words
India adds a complication. NSE publishes open interest by strike, and a separate participant file that splits index calls and puts by category, summed over every index, strike and expiry, never by strike. So nobody outside the exchange can tell whether the open interest at 24,000 sits with dealers who hedge, with spread traders, or with buyers who will let it lapse. The [module on the other side of the trade](/learn/path-15/module-15-8-who-is-on-the-other-side) goes into that.

### Heaviest strike, max pain and a wall are three different things

The heaviest strike adds calls and puts at one strike. Max pain is the strike where the payout to all buyers is smallest, which uses every strike at once. A wall is the biggest call strike above the index or the biggest put strike below it. On the expiry day chain of 16 Jun 2026 the heaviest strike was 24,000 and max pain was 23,950. They differ, and the stories told about them differ too. Say which one a claim means before testing it. The [max pain module](/learn/path-15/module-15-4-max-pain) tests the second.

### A magnet or fuel: the sign problem

A dealer who is long options gains from movement and hedges against it, buying dips and selling rallies. That damps moves and can hold a close near a strike. A dealer who is short options hedges the other way, selling dips and buying rallies, which feeds a move. The same open interest can therefore be read as a magnet or as fuel, and the files do not say which dealer holds which side. That is the same sign problem the [gamma exposure module](/learn/path-15/module-15-9-gamma-exposure-gex) shows with three conventions, and it is why a chart of open interest alone cannot settle pinning.

Three claims, three tests, three kinds of file

Pinning is not one claim. Each part needs its own baseline and its own count. Illustration of the method, with no prices. Source: RupeeCase illustration of the method. As of 14 Jul 2026.

### Which close is being tested

The expiry settlement for Nifty options is the index close of expiry day, so a test of pinning is a test of that close. The method behind the close is changing. Before 3 Aug 2026 the close came from a last half hour volume weighted average of the constituents. A closing auction session set it from 3 Aug 2026, and SEBI's circular of 15 Oct 2026 moves index expiries back to a last half hour average of continuous trading from 7 Dec 2026. Every expiry tested below falls before 3 Aug 2026. A result for one regime says nothing yet about the next, and the test starts again for it.

The maths of the first test
Strikes near the money are fifty points apart. If closes had no link to strikes, the distance from a close to the nearest strike would be spread evenly between zero and twenty five points. The chance of landing within five points is then ten out of fifty, one in five.

Chance within a band
= 2 x band / gap
Spread of a share
= sqrt(p x (1 - p) / n)

Here the band is five points, the gap fifty, so p is one in five. With 55 expiry closes the spread is about 5.4 percentage points. A share has to fall outside about two spreads either side of the chance level before it says anything, which is a band of roughly 9 to 31 percent.

## Worked example: a year of expiries, then nine chains

### Test one: do closes cluster at strikes?

The files hold every Nifty close from 1 Jul 2025. Weekly expiries fell on Thursdays until Aug 2025 and on Tuesdays after, moving to the day before when a Tuesday was a holiday. That gives 55 expiry closes up to 14 Jul 2026 and 201 other closes in the same window. For each close I took the distance to the nearest multiple of fifty and asked how often it was within five points.

Expiry closes were no closer to a strike than the other days

Nifty closes from 1 Jul 2025 to 14 Jul 2026, split into expiry days and other days. Seven expiry closes landed within five points of a multiple of fifty, where chance alone gives about eleven. Source: NSE end of day index closes, computed by RupeeCase. As of 14 Jul 2026.
Read one more paragraph, 78 words
Seven out of those expiries is lower than the eleven that chance gives, and lower than the other days. It also sits inside the band from the fold, so I do not read it as an anti pin either. The honest result is no clustering found. US studies of single stocks have found clustering at strikes on expiry dates. This sample of one index finds none, and a sample this size could only have shown a strong effect.

### Test two: does the heaviest strike attract the close?

Now the chains. For each expiry in the same window that has a chain and a close in the files, I took the last chain before expiry day and found the strike with the most open interest, calls and puts together. The baseline is the plain forecast: the close of the chain date. The score is which of the two sat nearer to the settlement. Nine expiries qualify, from 31 Jul 2025 to 7 Jul 2026, with chains from one to fifty six days out. The 28 Jul 2026 expiry falls just after the window; adding it makes six of ten here and eight of ten in test three, and changes no conclusion.

The heaviest strike was nearer on five of nine expiries, a coin flip

Distance from the chain date close to the settlement less the distance from the heaviest strike to the settlement. Above zero, the strike was nearer. Chains one to fifty six days before expiry. Settlement is the index close of expiry day, the regime before 3 Aug 2026. Source: NSE end of day data, computed by RupeeCase. As of 7 Jul 2026.
Read one more paragraph, 56 words
Five wins and four losses is what a fair coin gives half the time. The biggest miss, 30 Mar 2026, came from a chain eight weeks out, when the heaviest strike sat far above an index that went on to fall. Longer chains are not a fair test of a strike that traders adjust every week.

### Test three: ceiling and floor

The wall claim says the largest call strike above the index acts as a ceiling and the largest put strike below it as a floor. On 29 Jun 2026 the largest call open interest was at 25,000 with 1.85 crore units, and the index closed at 23,946.25 that day. Across the nine expiries the settlement stayed between the largest put strike below the index and the largest call strike above it in seven. That sounds like support until you see how wide the walls are.

Open interest is spread over many strikes, so a wall is a wide zone

Calls and puts together by strike on 29 Jun 2026, for the 30 Jun expiry, in units. The index closed at 23,946.25 that day. Source: NSE end of day data, computed by RupeeCase. As of 29 Jun 2026.
How many expiries would settle it?
Say the heaviest strike really were nearer than the plain forecast on seven expiries in ten. To tell that from a coin at a one sided five percent level, with an eighty percent chance of detecting it, takes roughly 37 expiries. Nine cannot do it, and the expiry closes can only test the clustering claim. A fair verdict on the second needs a year or two of chains, saved before each expiry.

Read one more paragraph, 74 words
The two walls sat between five hundred and twenty eight hundred points apart, wide enough to hold an ordinary move over the life of most of these chains whether or not anyone defends them. Both breaches, on 31 Jul 2025 and 30 Mar 2026, fell through the put wall, and both came from chains about two months out. Containment inside a wide band is a low bar. It does not show the strike acts.

### Read the chart yourself

Take the open interest chart above. Count how many strikes carry at least half the open interest of the heaviest one. Then ask what you would conclude if the index had closed at the second heaviest strike instead. If the same story fits either outcome, the chart is not evidence. Do the same with the largest call strike: would a close above it have been called a breakout, and a close below it a ceiling that held?

## The common mistake

The claim: The strike with the highest open interest is where the index gets pinned, so it acts as support or resistance on expiry. One vivid case, 16 Jun 2026, fits the story. The tests do not: closes did not cluster at strikes on a year of expiries, the heaviest strike was nearer on five of nine, and both breaches of the walls came from chains about two months out. The verdict is not shown, which is not the same as disproved. What would change it is about forty expiries under the method that starts on 7 Dec 2026, a rule written before the data is pulled, and a clear win over the last close. The [question page](/learn/questions/does-nifty-pin-to-oi-strikes) gives the short answer.

## Key takeaways

* Pinning is three claims, and each needs its own baseline.
* Closes near strikes can be tested with index closes alone.
* A year of expiry closes showed no clustering at strikes.
* Nine chains cannot separate the heaviest strike from a coin.
* A new settlement method restarts the test.

3 terms this section turns on

From the module glossary; every term is in the Learn glossary too. Source: Module 15.11, Pinning and max OI strikes: the evidence.

Watch in the terminal: how do I finish a rebalance that partly filled? A short tutorial on sample data.
**Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html)

What does Pinning and max OI strikes: the evidence cover?One expiry day looked like a pin. Three tests ask whether it was a pattern, and what a fair verdict would need. It works through The idea, plainly, Worked example: a year of expiries, then nine chains, The common mistake, Key takeaways. It is module 15.11 of Path 15, Option Chain and Data, about 10 minutes of reading, free.

TTry it

## Max pain checker, on the same example.
The calculation, and how it compares with a plain forecast. Dated NSE end of day data, nothing live, no orders.

**Max pain checker**, Nifty, 29 Jun 2026, 30 Jun 2026 expiry.

[Open the max pain checker](/learn/tools/max-pain-checker?chain=NIFTY_2026-06-29_2026-06-30)

  AF&O on RupeeCase

## Hedging only, in development
F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet.

  [How hedging will work](/hedging)[Sign up for RupeeCase](https://invest.rupeecase.com/signup)

  [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging)

QQuick check

## 10 questions, 7 to pass.
Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 15 certificate.

7 of 10 correct passes module 15.11

Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass).

  Passed

###

  Certificate ID

Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify)
Self paced and unproctored. A record of completing free education by RupeeCase; not a NISM certificate and not endorsed by NISM, NSE, BSE or SEBI. It qualifies no one to deal, advise or publish research.

CCheck yourself

## Path 15 so far.
Your quick check results on this device, stop by stop.

Stop 11 of 13 on Path 15

Option Chain and Data: every live stop, this module ringed. Source: RupeeCase Learn, Path 15.

1. [15.1Reading the NSE option chain, column by columnNot yet](/learn/path-15/module-15-1-reading-the-nse-option-chain)
2. [15.2OI and change in OI on the chain: what they can and cannot tell youNot yet](/learn/path-15/module-15-2-open-interest-on-the-option-chain)
3. [15.3Put call ratio: definitions and what the evidence saysNot yet](/learn/path-15/module-15-3-put-call-ratio)
4. [15.4Max pain: the calculation and a Nifty testNot yet](/learn/path-15/module-15-4-max-pain)
5. [15.5Liquidity in the chain: spreads, volume and tradable strikesNot yet](/learn/path-15/module-15-5-option-chain-liquidity)
6. [15.6Participant wise OI and FII derivatives data, read honestlyNot yet](/learn/path-15/module-15-6-participant-wise-open-interest)
7. [15.7Expected move from the straddle and from IVNot yet](/learn/path-15/module-15-7-expected-move)
8. [15.8Who is on the other side in IndiaNot yet](/learn/path-15/module-15-8-who-is-on-the-other-side)
9. [15.9Gamma exposure: the computation and its assumptionsNot yet](/learn/path-15/module-15-9-gamma-exposure-gex)
10. [15.10Zero gamma, call wall and put wallNot yet](/learn/path-15/module-15-10-zero-gamma-and-walls)
11. [15.11Pinning and max OI strikes: the evidenceNot yet](/learn/path-15/module-15-11-pinning-and-max-oi-strikes#quiz)
12. [15.12Vanna and charm flows around expiries and eventsNot yet](/learn/path-15/module-15-12-vanna-and-charm-flows)
13. [15.13An Indian positioning model and its limitsNot yet](/learn/path-15/module-15-13-indian-positioning-model)
14. [TPath test, 30 questionsNot yet](/learn/path-15/module-15-13-indian-positioning-model#pathTestSection)

Path 15 in reading time: 119 minutes over 13 modules

Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 15.

    Explore next

## Put the module to work.

* [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder)
* [Free module 15.2OI and change in OI on the chain: what they can and cannot tell you8 min read](/learn/path-15/module-15-2-open-interest-on-the-option-chain)
* [Free module 15.4Max pain: the calculation and a Nifty test7 min read](/learn/path-15/module-15-4-max-pain)
* [Free module 15.6Participant wise OI and FII derivatives data, read honestly8 min read](/learn/path-15/module-15-6-participant-wise-open-interest)
* [Free module 15.8Who is on the other side in India10 min read](/learn/path-15/module-15-8-who-is-on-the-other-side)
* [Free module 15.9Gamma exposure: the computation and its assumptions10 min read](/learn/path-15/module-15-9-gamma-exposure-gex)

      Community

## Join my WhatsApp group.

      Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me.

      New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal)

        [Sign up for RupeeCase](https://invest.rupeecase.com/signup)
        [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7)

      [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera

SSources

## Go to the source.
6 sources, SEBI the most cited

The publisher of each source listed below. Source: Module 15.11 source list.
1. [NSE, equity derivatives contract specifications](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
2. [SEBI, master circular on exchange traded derivatives: the index settlement price is the index close on expiry day](https://www.sebi.gov.in/sebi_data/commondocs/dec-2024/RE_Chapter%205%20-%20Exchange%20Traded%20Derivatives%20FINAL_1_p.pdf) SEBI
3. [SEBI circular of 16 Jan 2026, closing auction session in the equity cash segment](https://www.sebi.gov.in/legal/circulars/jan-2026/introduction-of-closing-auction-session-cas-in-the-equity-cash-segment-and-certain-modifications-in-the-pre-open-auction-session_99122.html) SEBI
4. [SEBI circular of 15 Oct 2026, closing auction session, market timings and settlement methodology for derivatives](https://www.sebi.gov.in/legal/circulars/oct-2026/review-of-certain-aspects-of-the-closing-auction-session-market-timings-and-settlement-methodology-for-derivatives-contracts_105293.html) SEBI
5. [NSE, participant wise open interest file, fao_participant_oi (example file)](https://nsearchives.nseindia.com/content/nsccl/fao_participant_oi_11052023.csv) NSE
6. [Ni, Pearson and Poteshman (2005), Stock price clustering on option expiration dates, Journal of Financial Economics](https://ideas.repec.org/a/eee/jfinec/v78y2005i1p49-87.html) Paper

GTerms

## 5 terms from this module.
PinningThe claim that a price finishes near an option strike on expiry more often than chance allows.
Heaviest strikeThe strike with the most open interest, calls and puts together, in units.
WallThe strike with the largest call open interest above the index, or the largest put open interest below it.
BaselineThe plain forecast a claim must beat, such as chance or the last close.
Settlement regimeThe method that sets the expiry price. A test covers one regime, and a new method restarts it.
[All 230 terms in the glossary](/learn/glossary)

[Question people askDoes Nifty pin to big OI strikes at expiry?A short answer with a dated chart](/learn/questions/does-nifty-pin-to-oi-strikes)[Question people askWhat is max pain, and does max pain theory work?A short answer with a dated chart](/learn/questions/does-max-pain-work)[Related module15.2 OI and change in OI on the chain: what they can and cannot tell you8 min, Beginner](/learn/path-15/module-15-2-open-interest-on-the-option-chain)[Related module15.4 Max pain: the calculation and a Nifty test7 min, Beginner](/learn/path-15/module-15-4-max-pain)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives)

Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.