9A.15 Weekly expiries and the SEBI loss data

The numbers this section uses (SEBI FY26 study; M01 · 1.11 Case 1 has the full table, the primary press release and the caveats): in FY26, 87.7% of option traders lost money against 66% of futures traders; 59% of index-option turnover was in contracts on their expiry day (0DTE) and 75% within one day of expiry.

Reading the numbers with this module's tools A 0DTE option's price is almost all gamma and theta (M09 · 9.8). The buyer of a one-day ATM straddle pays the market's expected absolute move (Proposition 9A.6). In the 31-expiry sample the realised absolute move was 84% of the straddle on average, and the move fell short of the straddle on 22 of 31 days; the buyer also pays the spread, brokerage, exchange charges and, on selling, STT. Buying OTM options rather than straddles adds skew and lottery effects (M14 · 14.9.1). None of this proves that buying weeklies must lose; it shows why the base rate is so poor.

Expiry-day behaviour to expect ATM gamma scales like $\tau^{-1/2}$ (M09 Proposition 9.10); IV of the expiring series is noisy and convention-dependent (9A.9); OI in the expiring series collapses during the day as positions close (9A.11); and the extra 2% ELM raises the cost of carrying short options into the last session (9A.12). From 7 Dec 2026, expiring index contracts stop trading at 15:30 while other index derivatives trade to 15:45, and settlement uses the index value computed from the constituents' VWAPs over the last 30 minutes of continuous trading (SEBI circular of 15 Oct 2026, paras 4.2.4 and 4.9; M01 · 1.2).

Weekly-expiry policy SEBI's chairman said in Sep 2025 that a paper on weekly expiries would come "as and when ready" (press reports); a consultation was reported to be in preparation in early 2026. As of 6 Nov 2026 SEBI's circulars list contains no circular abolishing weekly expiries, and the circular of 26 May 2025 (SEBI/HO/MRD/MRD-TPD-1/P/CIR/2025/76, para 3.2) still allows each exchange one weekly benchmark index option. Re-check SEBI's circulars before relying on weekly series.