On expiry day the payoff of a short dated option is a sharp bend at its strike, not a slope
A 0DTE option has no days left before expiry on the day it trades. Nifty weekly options expire on Tuesdays, so on a Tuesday the weekly contract is 0DTE for that session. The chart shows a call bought on the 10 Jun 2026 chain against the 16 Jun 2026 weekly, drawn at three days before expiry and at expiry.
On expiry day an option is worth only its intrinsic value at settlement, which for expiries before 7 Dec 2026 is the index close. Its time value collapses through the session, so the price moves in steps near the strike. A buyer needs the index to cross the strike and stay across it at the close, which is a narrow test that is decided fast.
Selling on expiry day is a different risk. Gamma is highest for at the money strikes, so the position's delta can change sharply within minutes. SEBI's circular of 1 Oct 2024 added 2% extra margin on short options expiring that day and removed the calendar spread offset. A short seller keeps the premium only if the close stays inside the band.
Expectancy is the test that matters. A cheap far out strike pays a large multiple of its price on a steep move, and that is why it draws attention. Most of the time the same strike expires worthless. Expectancy adds both outcomes together, after STT on a sale and on exercise, exchange fees and brokerage.
SEBI's Aug 2026 study found that 87.7% of individual F&O traders made a net loss in FY26. It counts traders over the year, not expiry day trades, so it does not measure 0DTE alone.
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