Lesson
5 min read
Gamma on expiry day
Why an at-the-money option's delta swings wildly in the last hours, what that does to short straddles, and what the history of 0–2 day entries shows.
Gamma is how fast delta changes as the underlying moves. For an at-the-money option it grows as expiry approaches: in the last hours of expiry day, a move of about half a percent can take a call's delta from about 0.2 to 0.8 (a week out, the same swing needs a move of about 3%).
The same 1% move, at different distances from expiry
| Days left | ATM call delta → after +1% | ATM straddle premium | Short straddle after +1% | Per NIFTY lot |
|---|---|---|---|---|
| 30 | 0.56 → 0.67 | 749 pts | −58 pts | −₹3,768 |
| 15 | 0.55 → 0.69 | 528 pts | −59 pts | −₹3,855 |
| 7 | 0.53 → 0.74 | 360 pts | −69 pts | −₹4,454 |
| 3 | 0.52 → 0.81 | 235 pts | −89 pts | −₹5,765 |
| 1 | 0.51 → 0.93 | 136 pts | −129 pts | −₹8,383 |
| 0.25 | 0.51 → 1.00 | 68 pts | −183 pts | −₹11,916 |
For a seller, high gamma means losses that accelerate: the same 1% move that a weekly short straddle absorbs easily a week out can wipe out the whole premium on expiry day. For a buyer it is the reverse — a cheap option can multiply in value — but most expiry-day options still finish worthless.
Since 20 November 2024 an extra 2% extreme-loss margin applies to short index options on their expiry day, so carrying shorts into expiry morning can also need more margin.
Arthfy numbers
Short at-the-money straddles entered 0–2 days before expiry
0-2 d
3-7 d
8-15 d
16-30 d
31-45 d
Try it in the F&O hub
Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.Replay a short straddle on past expiry daysSame clock time, every past session at the same distance from expiry
See the scenario grid for a short straddleP&L across price moves and days, in the builder
Open the option chainDelta and gamma per strike, live
Related
For education: how the structure works and what it did historically, not a recommendation to trade it.
