Arthfy
Lesson
7 min read

Why most option buyers lose

The arithmetic against buying options — the priced-in move, decay, IV crush and costs — and how often NIFTY actually moved enough, with Arthfy's buyer-odds check.

SEBI's September 2024 study of individual traders found that 93% of them lost money in equity F&O over FY22–FY24. Option buying is where many traders start, because the premium per lot looks small and the possible gain looks large.

  • The premium already prices the move the market expects. A buyer needs a bigger move than that, and soon enough.
  • Time decay works against the buyer every day, fastest in the final week — when cheap weekly options are most popular.
  • IV usually falls after events, so even a correct directional call can lose value.
  • Charges and the bid-ask spread are a larger share of a small premium than of a large one.
  • Out-of-the-money options are cheap because they usually expire worthless.
How far the index must rise for a call buyer to break even at expiry
Days left1 s.d. moveATM callRise neededModel odds100-pt OTM callRise neededModel odds
10.68%70 pts0.28%35%31 pts0.52%23%
31.18%124 pts0.50%35%79 pts0.72%29%
71.80%195 pts0.78%35%148 pts0.99%31%
152.64%297 pts1.19%36%247 pts1.39%33%
303.73%441 pts1.76%37%389 pts1.95%35%
Illustration: an index at 25,000, Black-Scholes at 13% implied volatility, no skew, before charges. Per unit in index points; one NIFTY lot is 65 units. "Model odds" are the lognormal probability, at the option's own implied volatility, of settling above the breakeven — what the price itself implies, before charges. Arthfy's buyer-odds check uses the index's actual history instead.
Arthfy numbers
Buying an at-the-money call 3–7 days before expiry
Long call, at the money, entered 3-7 days before expiry.
0-2 d
3-7 d
8-15 d
16-30 d
31-45 d
Arthfy numbers
Buying an at-the-money put 3–7 days before expiry
Long put, at the money, entered 3-7 days before expiry.
0-2 d
3-7 d
8-15 d
16-30 d
31-45 d

A win rate alone hides how the losses and gains are sized. A buyer can win less than half the time and still come out ahead if the wins are large enough — the average net figure is the one that answers that.

Live buyer-odds check: a NIFTY at-the-money call on the nearest expiry

Runs on today's NIFTY chain with Arthfy's pre-trade check. Free with an Arthfy account.

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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.
Check a long call's buyer odds in the builderAnalyse shows the move needed after charges and how often it happened
Open the option chainPremiums, IV and the expected move, live

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For education: how the structure works and what it did historically, not a recommendation to trade it.