SEBI's FY2024 study found that 89% of individual F&O traders lost money — and Thursdays are the worst day to be on the buying side.
Not 50%. Not 60%. Eighty-nine percent.
That number isn't evenly spread across the week. A disproportionate chunk of retail losses happens on one specific day: expiry day.
Every Thursday, NSE's weekly options contracts expire. Every Thursday, the same pattern plays out — retail buyers lose, and the people on the other side win. This isn't bad luck. It's the structure of how options work near expiry. Once you understand it, you'll see why buying cheap OTM options on a Thursday afternoon is one of the most reliably money-losing things you can do in Indian markets.
What "Expiry Day" Actually Means
When you buy an options contract, you're buying a right — the right to buy (a call) or sell (a put) an underlying asset at a specific price before a specific date. That right has a deadline.
On NSE, weekly options on Nifty 50 and Bank Nifty expire every Thursday. After 3:30 PM on Thursday, those contracts no longer exist. If the price hasn't moved far enough in your direction by then, your option expires worthless. You lose every rupee you paid for it.
So the closer you get to Thursday, the more pressure you're under. Your position needs to make a big move fast. And markets rarely perform on demand.
The expiry date isn't just an administrative deadline. It fundamentally changes the math of every option you hold.
Theta Decay: How Time Eats Your Option's Value
Every option has two components of value. The first is intrinsic value — how far in-the-money the option already is. The second is time value — what buyers are willing to pay for the chance that the option moves into profit before expiry.
Time value goes to zero at expiry. Every day, a portion of it disappears. That daily erosion is called theta.
And here's the critical part: theta doesn't decay at a constant rate. It accelerates as you get closer to expiry.
Think of it like paying for a 30-day parking spot in Mumbai. You pay ₹1,800 upfront. In the first two weeks, each day costs you about ₹40–50 of that value. But in the last week, the daily cost jumps. On the final day, whatever residual value is left disappears completely because you have no more days to use it.
Options work exactly like this. Say you bought a Nifty weekly call option for ₹150 on Monday, when the market was at a specific level. By Thursday morning, if Nifty is exactly where it was on Monday — no move at all — that option might be worth ₹15. You haven't been wrong about direction. The market hasn't gone against you. But you've still lost ₹135.
That's theta. It's quiet. It doesn't show up as a single sharp loss. It just steadily drains your position each morning, faster and faster as Thursday approaches.
On expiry day specifically, the rate of decay can be so aggressive that options lose 50–70% of their remaining value in a single afternoon session.
Who's Actually on the Other Side of Your Trade
This is the part most retail traders don't think about. When you buy that Nifty call for ₹150, someone sold it to you for ₹150.
That someone is usually a market maker, a prop trading desk, or an institutional hedger. They collected your ₹150 upfront. From that moment on, they want one thing: for your option to expire worthless so they keep the entire premium.
Market makers don't bet on direction the way retail traders do. They use pricing models, manage risk across large books of trades, and hedge their positions continuously. Their advantage isn't that they're smarter about where Nifty will go. Their advantage is that they understand, with mathematical precision, that time works for them and against you.
When you buy an OTM option on Thursday morning hoping for a 200-point Nifty move, here's what each side needs:
You need: the right direction, enough magnitude, fast enough.
The seller needs: nothing dramatic to happen.
Guess which scenario plays out more often on any given Thursday.
The market maker's edge isn't about picking direction. It's about collecting time premium from buyers who need an unlikely move in a short window. Over hundreds of trades, that edge is significant.
The Last 90 Minutes: Where Most Damage Happens
Between 1:30 PM and 3:30 PM on expiry day, retail activity in near-expiry OTM options spikes sharply. Volumes surge in contracts that are nearly worthless. And this is precisely where the most severe losses happen.
Here's the logic trap that pulls traders in. By early Thursday afternoon, an OTM option that was ₹80 in the morning might be ₹8. Some traders look at that ₹8 price and think: "This is cheap. If Nifty moves 150 points, I'll make 10x." So they buy.
But even when markets make a meaningful move in the final session, most OTM options don't respond proportionally. The delta is extremely low — each one-point move in Nifty moves the option by only a fraction of a rupee. The gamma can spike, but by that point the bid-ask spread has blown out. You might buy at ₹9 and only be able to sell at ₹4.
So even a sharp 100-point Nifty move might take your ₹8 option to ₹14. And if Nifty moves against you even slightly, you're at zero.
This is the last-90-minutes trap. You're taking maximum risk for minimal upside, in a window where market manipulation, stop-loss cascades, and thin volumes make outcomes unpredictable. The combination of near-zero delta, wide spreads, and zero remaining time value creates a situation where the expected outcome is negative almost regardless of what the market does.
Traders who enter fresh positions in OTM options after 1:30 PM on expiry day are essentially buying lottery tickets with worse odds than the jackpot advertised.
What to Do Instead
You don't need to avoid expiry day entirely. But you do need to stop doing the specific things that reliably produce losses.
Don't buy OTM options late on expiry day. If you want to trade expiry-day momentum, be in your position before 11 AM — ideally before the market opens. Late-morning and afternoon entries into cheap expiry-week options almost never work out because you're fighting theta at its most aggressive rate.
Exit profitable positions before 1 PM. If you bought options earlier in the week and you're sitting on a gain Thursday morning, take it. The risk of holding through the afternoon far outweighs the potential upside of squeezing out an extra few rupees. Theta takes more in the afternoon than most traders make from the move.
Consider selling premium instead of buying it. Options sellers collect theta instead of paying it. A covered call — where you own the underlying shares and sell a call against them — lets you earn income from time decay instead of fighting it. Spreads allow you to define your risk while still being a net seller of premium. These strategies are more complex to manage, but the directional math works in your favor on expiry day.
Track your expiry-day trades separately from other trades. Pull your trade history and separate out every Thursday. Compare your win rate and P&L on Thursdays vs other days. Most traders find a clear pattern: their results on expiry day are significantly worse than on any other day. That data alone is worth having, because it tells you where to cut activity.
Cut your position size on expiry day. If you're going to trade, go small. Expiry-day options can go to zero in a single session. Sizing down means a bad Thursday doesn't undo a good week.
The 89% loss figure from SEBI isn't uniform across all trades and all days. Expiry day — and especially the final session of expiry day — carries more than its share of that destruction. The mechanics are clear: theta decay accelerates, delta stays low, spreads widen, and the market maker's advantage is at its highest.
You don't have to be in that 89%. But you do need to trade differently on Thursdays than on any other day.
Head to while25.com for more on how options pricing works and how to build a trading approach that stops bleeding money on structure alone.