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Expiry Day

Straddle decay, expected-move containment, max pain drift and today-vs-history context — the expiry-session mechanics in one place.

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What the Expiry Day toolkit shows

The mechanics of an index-option expiry session in one place. Expiry days run on their own physics — premium burns on a clock, the expected move shrinks through the day, and open interest drags price toward heavily-written strikes. This page tracks each of those forces live: ATM straddle decay measured against the theoretical √time path, the expected-move band and whether spot stays contained, max pain drift with the OI shifts driving it, and premium decay across the whole strike ladder — each with today-vs-history context.

Watch the tutorial

Expiry Day, section by section, in a 3-minute video, also in Hindi, Tamil, Telugu, Kannada and Malayalam.

Watch on YouTubeThe 33-second version
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How to read it

  • Pin magnet funnel — the expected-move band drawn as a cone that narrows through the session onto the pin strike, with the walls as guides and spot as the trail. The readouts — distance to pin, gamma at spot, pin probability, magnet pull — come from the live cockpit and update every minute; the strip underneath shows the pin state (no pin, forming, weak, stable, locked) minute by minute.
  • ATM Straddle Decay — the at-the-money straddle's open, current value and decay% for both legs, plotted against the √time model. Decaying faster than the model is a pinned, seller-friendly tape; lagging it means movement is paying for the premium.
  • Expected Move Band — spot plus and minus the live at-the-money straddle — the market's own price for all the movement left — so the band narrows as time decays; the morning band, the range the opening straddle priced, sits in the card's corner, with a count of how many past expiries closed inside it. Spot holding inside the band validates the sellers; a break outside it is where hedging and stop-outs accelerate.
  • Max Pain Drift — how the max-pain strike migrates through the session and which strikes' OI changes pulled it — a drifting max pain is positioning being rebuilt in real time.
  • Premium Decay by Strike — decay% for calls and puts at every strike, so you can see whether the burn is uniform or concentrated around the pin.
  • Median / Percentile — on an expiry day, the Expiry Context card ranks today's readings against comparable past expiry sessions, so 'fast' and 'slow' mean something concrete.

Frequently asked questions

Max pain is the strike where option buyers in aggregate lose the most — equivalently, where writers keep the most premium. It is not fixed: as open interest builds and unwinds through the expiry session, the OI-weighted centre of gravity moves, and that drift is often more informative than the level itself.

No. The straddle decays on the √time clock only if spot stays near the strike. On a trending expiry the gaining leg outruns theta and the straddle appreciates — which is exactly what comparing actual decay against the model is designed to catch early.

The expected-move band redrawn as a cone: the range price can still finish in, narrowing through the session as time decays, with the strike that carries the most hedging pressure drawn as the magnet. When spot sits inside the cone close to the magnet and the pin state reads stable or locked, the mechanics favour price being walked into that strike; a spot trail leaving the cone is the opposite signal.

The range implied by the opening ATM straddle price — the move option sellers were paid to absorb. Historically most expiry sessions settle inside it, which is why a clean break outside the band is treated as a regime signal rather than noise.

Learn how to read it

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