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Expiry day: what changes in the data, and what breaks
Nifty expires on Tuesday, Sensex on Thursday, and on those afternoons the data behaves unlike any other day. Here is what changes, what the rules now say, and what quietly breaks in charts and backtests.
Expiry day compresses a week of option decay into a few hours. Premiums collapse, gamma spikes, ticks arrive in bursts, and by the next morning a contract that dominated every screen has vanished from the data. Each of those changes can break a chart, a script or a backtest that works perfectly the rest of the week.
Rules as of October 2026. Expiry days and margin rules have changed several times since 2024 — confirm against the latest NSE, BSE and SEBI circulars before you trade.
The 2026 expiry calendar
Since November 2024, each exchange may offer weekly expiries on only one benchmark index. Since 1 September 2025, NSE contracts expire on Tuesday and BSE contracts on Thursday, so the two weekly expiries no longer fall on the same day.
| Contract | Exchange | Weekly expiry | Monthly expiry | Settlement |
|---|---|---|---|---|
| Nifty 50 | NSE | Every Tuesday | Last Tuesday | Cash |
| Bank Nifty, Fin Nifty, Midcap Nifty | NSE | None (discontinued) | Last Tuesday | Cash |
| Stock futures and options | NSE | None | Last Tuesday | Physical delivery |
| Sensex | BSE | Every Thursday | Last Thursday | Cash |
When an expiry day is a trading holiday, the contract expires on the previous trading day. A holiday week therefore moves the busiest afternoon of the week — something to check every time you plan a trade or a backtest window.
What SEBI changed, and when
SEBI’s October 2024 framework for index derivatives was aimed squarely at expiry-day speculation. The measures that still shape expiry day:
| Measure | Effective | What it means on expiry day |
|---|---|---|
| One weekly expiry per exchange | 20 Nov 2024 | Weekly contracts only on Nifty (NSE) and Sensex (BSE) |
| Higher minimum contract size | 20 Nov 2024 | Each lot carries more notional, so each position carries more risk |
| Extra 2% extreme loss margin | 20 Nov 2024 | Short options expiring that day need more margin |
| Upfront collection of option premium | 1 Feb 2025 | Option buyers pay the full premium upfront |
| No calendar-spread margin benefit on expiry day | 1 Feb 2025 | A spread whose near leg expires today is margined as two separate positions |
| Intraday position-limit monitoring | 1 Apr 2025 | Limits are checked during the day, not only at the close |
| Tuesday / Thursday split | 1 Sep 2025 | NSE expiries on Tuesday, BSE on Thursday |
Margins change what a position costs to hold. Before you sell options into expiry, run the margin calculator and price the round trip in the brokerage calculator.
How settlement actually works
- Index options are cash-settled against the index’s closing value on expiry day. That value is computed from the constituents’ closing prices, and each closing price is a weighted average of trades in the last thirty minutes. A sharp move at 15:29 moves the last traded price far more than it moves the settlement price.
- In-the-money options are exercised automatically at expiry, and exercise attracts securities transaction tax. Until March 2026 the exercise rate was higher than the rate on selling the option, and many traders closed in-the-money options before the bell to avoid it. Since 1 April 2026 both are 0.15% — on the premium for a sale, on the settlement value for an exercise — so the gap has largely closed. The brokerage calculator uses the current rates.
- Stock futures and options are physically settled. An in-the-money stock option held through expiry becomes a delivery of shares, with the full value to pay or the shares to deliver. Brokers typically raise margins or square off such positions in the days before expiry.
What changes in the data
An ordinary session
Wednesday, mid-month- Steady tick flow, peaks at the open and close
- Option prices move mostly with the underlying
- Open interest changes gradually
- The near contract is the most active
Expiry afternoon
Tuesday, NSE- Tick bursts in the final hour, especially near the money
- Gamma makes at-the-money premiums swing several times over
- Time value falls to zero by the close
- OI of the expiring series vanishes after the session
Two of these are invisible on a snapshot feed. A sampled stream misses most of a final-hour burst, so volume, VWAP and footprint readings understate the very moments that matter most — see why tick-by-tick data matters. And open interest that disappears overnight looks like a collapse unless you know it is a contract ending, not positions unwinding — covered in the number most Indian traders misread.
Six things that quietly break
- Continuous charts. A continuous futures series rolls to the next contract. If price and OI are not adjusted together at the roll, every OI study across the boundary is wrong.
- Hard-coded symbols. Scripts that reference this week’s contract fail on Wednesday morning. Refresh the symbol master every day; lot sizes are revised periodically too.
- Backtests that settle at the last trade. Settle expiring positions at the official settlement price, not the 15:29 print.
- Holiday weeks. An expiry moved to Monday shifts the theta and gamma profile of the whole week.
- Greeks recomputed afterwards. Delta and gamma near expiry are extremely sensitive to the exact time and price used. Recomputing them later from closing prices gives different numbers from what the screen showed — more in our Option Greeks API guide.
- Strategy logic that assumes Thursday. Anything written before September 2025 may still assume a Thursday Nifty expiry.
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An expiry-week checklist
- Check the exchange holiday list: is this week’s expiry on its normal day?
- Price short options with the extra 2% ELM before you sell them.
- Decide in advance what you do with in-the-money options: close them, or let them settle at the official settlement price.
- For stock F&O, close or roll before the delivery margins arrive.
- Make sure your charts and scripts load the next contract on the morning after expiry.
- Size the position for expiry-day gamma, not for an ordinary session.
- Nifty expires weekly on Tuesday, Sensex on Thursday; other NSE index and stock contracts are monthly, on the last Tuesday.
- Expiry day carries an extra 2% ELM on short options and no calendar-spread margin benefit.
- Index options settle at the closing value built from the last half hour, not the last trade.
- Stock F&O settle by physical delivery; plan for it before the expiry week.
- Continuous series, OI studies, symbol lists and backtests all need explicit expiry handling.
Questions traders ask
Which day is Nifty expiry in 2026?
Nifty weekly options expire every Tuesday, and the monthly contract expires on the last Tuesday of the month. If that Tuesday is a trading holiday, expiry moves to the previous trading day.
Which day is Sensex expiry?
Sensex weekly contracts on BSE expire every Thursday, with the monthly contract on the last Thursday of the month.
Does Bank Nifty still have weekly expiry?
No. Since November 2024 each exchange may offer weekly expiry on only one benchmark index. Bank Nifty, Fin Nifty and Midcap Nifty options now have monthly expiries, on the last Tuesday of the month.
What price are index options settled at?
Index options are cash-settled at the index's closing value on expiry day. That value is calculated from the constituents' closing prices, which on NSE are weighted averages of trades in the last thirty minutes.
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