Monday 29 Jun 2026, one trading day before the monthly Nifty expiry. The 23,950 call settled at 87.65 and the 23,950 put at 71.15, so the pair cost 158.80 a unit, or Rs 10,322 for a lot of 65 units. The next day Nifty closed at 23,865.75. The put was worth 84.25, the call nothing, and all the time value had gone to zero. I read expiry day as a payoff, not a feeling. This lesson covers what gamma and theta do on the last day, how the final value is set under the 2026 rules, which SEBI rules now shape the day, and what SEBI's July 2025 interim order on the Jane Street group says and does not say. Every figure is an NSE end of day number with a date.
3By the end you can
- Explain why gamma and theta both peak on the last day, with dated Nifty figures.
- Name the settlement regime for an expiry before 3 Aug 2026, from 3 Aug to 6 Dec 2026 and from 7 Dec 2026.
- Describe SEBI's 2024 to 2026 expiry day rules and the Jane Street interim order without overstating either.
The idea, plainly
Why the last day is different
An option's price is intrinsic value plus time value. On expiry day only intrinsic value survives, so all the time value goes, and it goes in hours. Two Greeks describe the speed. Theta is the rupees of premium lost in a day. Gamma is how fast delta changes when the index moves.
Gamma of one call piles up at the strike as expiry nears
With one day left, calls a few hundred points out cost a few rupees
| Calls | Strike | Puts | ||
|---|---|---|---|---|
| Settle | OI | OI | Settle | |
| 374.85 | 9.6L | 23,600 | 70.6L | 5.45 |
| 323.15 | 1.2L | 23,650 | 35.8L | 7.70 |
| 279.20 | 4.8L | 23,700 | 71.8L | 11.25 |
| 234.25 | 2.6L | 23,750 | 42.1L | 16.20 |
| 192.35 | 21.3L | 23,800 | 1.06Cr | 24.25 |
| 152.00 | 9.2L | 23,850 | 41.9L | 35.25 |
| 117.90 | 33.4L | 23,900 | 92L | 50.35 |
| Spot 23,946.25 | ||||
| 87.65 | 51L | 23,950ATM | 55.9L | 71.15 |
| 64.30 | 1.72Cr | 24,000 | 1.2Cr | 96.45 |
| 45.55 | 67.1L | 24,050 | 22.4L | 128.45 |
| 32.35 | 1.57Cr | 24,100 | 49.4L | 164.40 |
| 22.65 | 70.8L | 24,150 | 8.2L | 206.10 |
| 15.85 | 1.38Cr | 24,200 | 27.2L | 247.95 |
| 11.00 | 66.2L | 24,250 | 3.9L | 294.40 |
| 7.65 | 1.31Cr | 24,300 | 11.3L | 338.55 |
Shaded cells are in the money. Outlined cells hold the most open interest among the strikes shown. OI is in units and volume is in contracts; L is lakh and Cr is crore.
The term this section turns on: Gamma
Read 3 more paragraphs, 193 words
Take the at the money call, priced at the implied volatility of its own strike. With 20 days left on 10 Jun 2026, theta was 8.12 a unit a day. With 14 days left it was 8.06. With one day left on 29 Jun it was 37.53, which is 42.8% of the whole 87.65 premium in a single day. Theta is flat for weeks and steep at the end.
Gamma climbs the same way. The 23,950 call had a gamma of 0.0021 with one day left, against 0.0007 for the 24,000 call with 14 days left: about 3.0 times. A fifty point move in the index shifts that call's delta by about 0.10, from a starting 0.55. Small moves in the index make large percentage moves in the premium, in both directions.
That is the lottery ticket behind a hero zero trade. With one day left the 24,300 call, 353.75 points above the index, cost 7.65 a unit, Rs 497 a lot. To break even before costs, Nifty had to settle above 24,307.65, 1.5% over the 29 Jun close. It settled at 23,865.75 and the call expired worthless.
One number shows the decay: the straddle
A straddle is a call and a put at one strike. Its price is the market's charge for a move either way, so it is a clean gauge of time value at the money. As a share of the index it was 2.77% with 20 days left, 1.89% with 14 days left and 0.66% with one day left. At expiry on 30 Jun, only the 84.25 points of intrinsic value remained, 0.35% of the index. The fall is not a straight line.
The straddle lost most of its price in the last day
Neither side wins by default
The common line is that expiry day pays sellers because time decay is steep. Test it on two dates. On 30 Jun 2026 the seller of the 23,950 straddle kept 74.55 a unit, Rs 4,846 a lot before costs, because Nifty fell 0.34% on the day. The weekly that expired on 16 Jun went the other way. A straddle at the 23,250 strike cost 346.05 on 10 Jun, 6 days earlier. Nifty rose 3.3% to 23,989.15, so the straddle was worth 739.15 at expiry. The buyer made 393.10 a unit, Rs 25,552 a lot, and the seller lost the same. Two expiries, opposite results, no verdict.
The index rose into the weekly expiry and eased into the monthly one
How the final value is set
An index option settles in cash against one number, the final settlement value. Whoever can move that number matters to every holder of an expiring contract, which is why the method is written into SEBI's rules. For expiries in 2026 it has three regimes, so name the regime before you read an expiry price.
- Before 3 Aug 2026: the index close on expiry day, worked out from the last half hour of trading in its stocks. The 16 Jun and 30 Jun examples settled this way.
- 3 Aug to 6 Dec 2026: the index close that uses the closing auction session in the cash market, 3:15 to 3:35 pm. Index derivatives trade until 3:40 pm.
- From 7 Dec 2026: the index worked out from the volume weighted average prices of its stocks over the last 30 minutes of continuous trading. Expiring index contracts stop trading at 3:30 pm, with an indicative value shown live.
The rules that now shape the day
SEBI's circular of 1 Oct 2024 treated expiry day activity in index options as a risk to investors and set six measures. Later circulars followed the same direction.
Seven dated changes from Nov 2024 to Dec 2026 reshaped index option expiry day
- One weekly index per exchange, extra margin
Weekly index options only on one benchmark index per exchange. Short options expiring that day carry an extra 2% extreme loss margin.
- Premium upfront, no calendar offset
Option buyers pay the premium upfront. Index contracts expiring that day get no calendar spread margin offset.
- Intraday position monitoring
Exchanges check index derivative position limits at random times through the day, not only at the close.
- Tuesday expiry for NIFTY
NSE weekly and monthly NIFTY contracts expire on Tuesday and BSE SENSEX on Thursday, under the 26 May 2025 circular.
- Intraday limits on index options
Per entity, net 5,000 crore and gross 10,000 crore on a future equivalent basis. Penalties for breaches on expiry day apply from 6 Dec 2025.
- Closing auction session
The cash market closes through an auction. Expiry settlement uses the index close built from it.
- Settlement on a 30 minute average
The final value comes from stock VWAPs over the last 30 minutes of continuous trading. Expiring index contracts stop at 3:30 pm.
Read one more paragraph, 69 words
Three of these show up in an account. Buyers have paid the full premium upfront since 1 Feb 2025. A long option in a later expiry no longer offsets a short option expiring the same day. And short options expiring that day carry an extra 2% extreme loss margin: on one lot at the 29 Jun 2026 spot that is Rs 31,130, on top of the usual margin.
Do zero day options exist in India?
Yes. A contract trades on the day it expires, so Nifty weekly options with zero days left exist every Tuesday. SEBI's August 2026 study of individual F&O traders, FY25 and FY26, found that zero day contracts were 70% of index options turnover in FY25 and 59% in FY26. Selling an option on its expiry day is permitted, with the extra margin above. These are facts about rules and turnover, not a view on any trade. The question page on expiry day setups covers the 9:20 straddle and hero zero.
What SEBI's Jane Street order says, and what it does not
On 3 Jul 2025 SEBI issued an interim ex parte order against four entities of the Jane Street group. Interim means pending investigation. Ex parte means issued before hearing the entities. The findings are prima facie, on a preponderance of probability, and the entities had three weeks to reply.
Read 3 more paragraphs, 247 words
What SEBI alleged: the group built large index option positions and, on certain expiry days, traded the index's stocks and futures to move the index in the direction that paid those options. The order describes two patterns. An intraday pattern, found on fifteen of eighteen BANKNIFTY expiry days between Aug 2023 and Jul 2024, traded stocks and futures hard early in the day and reversed those trades later. An "extended marking the close" pattern, found on the other three of those eighteen days and on three NIFTY expiry days in May 2025, concentrated trades in the last stretch before the close. Table 44 of the order lists twenty-one days with profits that sum to Rs 4,843.57 crore, which the order impounds into an escrow account with a lien for SEBI.
What came after, from SEBI's own releases: on 14 Jul 2025 SEBI said the group had credited that sum to escrow, stating it did so without prejudice to its rights. On 21 Jul 2025 SEBI said most restrictions ceased under paragraph 62.11 on that compliance, while the cease and desist direction and exchange monitoring continue. SEBI's site listed no final order when we checked on 16 Oct 2026.
What the order does not say: that expiry day moves in general are manipulated, that any trader outside the named entities did anything wrong, or that a position of yours is affected. It is a market structure case about a settlement value that depends on the closing minutes.
Worked example: one lot, one day
Take the 23,950 straddle from the story. The call and put settled on 29 Jun 2026 at the prices below and ran to the 30 Jun expiry, which settled on the index close.
| One lot of 65 units | Value |
|---|---|
| Call premium a unit | 87.65 |
| Put premium a unit | 71.15 |
| Straddle, one lot | Rs 10,322 |
| Nifty close on 30 Jun | 23,865.75 |
| Call value at expiry | Zero |
| Put value at expiry a unit | 84.25 |
| Buyer's result, one lot | −Rs 4,846 |
| Seller's result, one lot | Rs 4,846 |
| STT on the put's exercise | Rs 8.21 |
| STT on the seller's premium | Rs 15.48 |
Two terms to hold on to from 17.12
Read 2 more paragraphs, 87 words
The buyer lost what the seller kept, as every option pair does before costs. STT is 0.15% of the intrinsic value on exercise and 0.15% of the premium on sale from 1 Apr 2026. Brokerage, exchange charges, the SEBI fee, stamp duty and GST come on top: see the cost of an F&O trade. All prices are settlement prices, not fills. The tool below opens on this chain, so you can read theta and gamma for yourself.
Related: expiry and settlement and margins without jargon.
The common mistake
The belief: Theta is fastest on expiry day, so selling options then wins.
The data in this lesson does not say that. The 30 Jun straddle seller kept Rs 4,846 a lot. The 16 Jun weekly buyer made Rs 25,552 a lot. Theta is the rent a seller collects for carrying gamma, and gamma is high on the same day. A seller is paid for both and loses when the index moves further than the premium. The opposite belief is as wrong: The Jane Street order proves expiry day is rigged.
The order is interim, its findings are prima facie, it names specific entities and days, and no final order is listed. Expiry day is a risk to measure, not a pattern to trust.
Key takeaways
- On the last day all time value goes, and theta and gamma both peak.
- One day out, the straddle still priced 0.66% of the index.
- The 30 Jun 2026 straddle seller won and the 16 Jun weekly seller lost.
- The settlement method changed on 3 Aug 2026 and changes again on 7 Dec.
- SEBI limits weekly index options and adds expiry day margin and monitoring.
- The Jane Street order is interim and prima facie; no final order is listed.
Where this section sits in module 17.12
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