💫 Practical option plays · Expiry theta
Expiry decay strategy
On expiry day, sell an ATM straddle or a tight strangle after 11am. Theta collapses through the day; close by 3pm to avoid pin-risk chaos in the last 30 min.
Setup
- Instrument: Nifty (Tue) or Sensex (Thu) — the two weekly-expiry indices in India
- Enter after 11:00 am — early-session volatility settles by then
- Sell ATM straddle (same strike) OR very tight strangle (25-50 point spread on Nifty)
- India VIX preferably < 15 — you want a quiet day so theta wins
Entry
At 11:00-11:30 am on expiry day, sell ATM call + ATM put (straddle) or a 1-strike-wide strangle. Net credit is what you're targeting to keep 30-50% of.
Exit
Target 30-50% of premium collected — theta is aggressive on expiry day but so is gamma. Exit by 2:30-3:00 pm regardless of P&L; never hold into the last 30 minutes.
Stop-loss
Combined loss ≥ 100% of premium collected → exit. Also mandatory exit if underlying moves > 0.5% from entry level intraday.
When it works
- Range-bound expiry days with underlying within ±0.3% of morning close
- India VIX below 15 (implied realized vol low)
- No macro events falling on expiry day (RBI, budget, jobs data)
When it fails
- Trending expiry days that break out of morning range
- Event overlap — surprise news creates 1%+ moves
- Holding past 3:00 pm — gamma explosion punishes any short strangle
General trading rules that apply
Regardless of the specific setup, these apply to every strategy on this site:
- Never risk more than 2% of your account on a single trade
- Place a hard stop-loss before entering — no exceptions
- Journal every trade: setup, reason, outcome, one lesson
- After two consecutive losses, stop for the session
- Backtest and paper-trade for a month before deploying real capital
Every strategy here is an educational description of a widely-known technical setup. Past behavior does not guarantee future results. The chart above uses synthetic price data generated for illustration — real market behavior varies. Backtest, paper-trade, and size responsibly before risking real capital.