0DTE Options Trading in India: What SEBI Data Reveals About Expiry-Day Trading

India's options market has become increasingly concentrated in very short-duration contracts, particularly those approaching expiry.

SEBI's recent FY25–FY26 analysis of individual trading in the Equity Derivatives Segment provides detailed evidence of this shift. Its findings show that a substantial share of index-options turnover is concentrated on expiry day itself and in the few days immediately preceding expiry.

This raises an important question:

Why has so much options activity moved towards the final days—and even the final day—of expiry, and what does that change about the way traders should think about risk?

The answer requires looking beyond the headline numbers.

As expiry approaches, an option's remaining lifespan becomes shorter, time value changes more quickly, and its sensitivity to movements in the underlying can become more pronounced. The same strategy can therefore behave differently depending not only on market direction, but also on how much time remains until expiry.

This does not mean that expiry-day trading is automatically inappropriate or that every 0DTE position carries the same level of risk.

It means that:

The shorter the trading horizon, the more important it becomes to understand how the position is expected to behave.

This article is part of our analysis of SEBI's FY25–FY26 study on India's equity derivatives market. For the broader findings on retail participation, profitability and trading behaviour, read our full analysis: SEBI's Latest F&O Report: What the Data Reveals About Options.

What Is 0DTE Options Trading?

0DTE stands for Zero Days-to-Expiry.

In SEBI's analysis, 0DTE refers to options contracts traded on their expiry date, with no remaining days to maturity. With only a few hours of life remaining, these contracts represent the shortest-tenor options available.

In practical terms, a trader dealing in a 0DTE option is operating with a time horizon measured in hours rather than days or weeks.

That distinction matters because time is one of the fundamental components of an option's value.

An option's price can be influenced by several factors, including:

• The price of the underlying asset or index
• Time remaining until expiry
• Implied volatility
• The option's strike price
• Its position relative to the underlying price
• Other inputs used in option pricing

As expiry approaches, there is less time available for the underlying to move in a favourable direction. At the same time, the option's sensitivity to changes in the underlying can change more rapidly.

This creates a market environment that requires a different understanding from simply asking whether the market is likely to move up or down.

How Much Index Options Trading Happens Near Expiry?

SEBI's data shows that the concentration of index-options trading around expiry is not a marginal feature of the Indian derivatives market.

It is central to its structure.

• Time Remaining Until Expiry: 0DTE — expiry day
  • FY22: 38%
  • FY25: 70%
  • FY26: 59%
• Time Remaining Until Expiry: 1 DTE or less
  • FY22: 56%
  • FY25: 80%
  • FY26: 75%
• Time Remaining Until Expiry: Within 3 days
  • FY22: 72%
  • FY25: 85%
  • FY26: 82%
• Time Remaining Until Expiry: Within 7 days
  • FY22: 94%
  • FY25: 98%
  • FY26: 97%

Source: SEBI, Study/analysis of trading behaviour and market structure of individual traders in the Equity Derivatives Segment (FY25–FY26). Figures represent the cumulative share of index-options turnover by days to expiry, aggregated across NSE and BSE.

The important point is not simply that expiry-day activity is high.

It is that the overwhelming majority of index-options turnover occurs in contracts with very little time remaining.

SEBI's FY26 analysis showed that only around 3% of turnover occurred in contracts with more than seven days remaining to expiry, while only around 1% occurred in contracts with more than ten days remaining.

In other words, understanding India's index-options market increasingly requires understanding how options behave near expiry.

What Does “1 DTE or Less” Mean?

SEBI's analysis uses cumulative days-to-expiry terminology.

The table above should therefore be read as follows:

• 0DTE: Trading in options on their expiry day
• 1 DTE or less: Cumulative turnover in contracts expiring on the same day or with up to one day remaining
• Within 7 days: Cumulative turnover in contracts with seven days or less remaining to expiry

Using the terminology this way is important because 0DTE and 1DTE are not interchangeable.

A contract with one day remaining and a contract expiring today can have materially different pricing characteristics.

Why Do Traders Gravitate Towards Expiry?

SEBI's analysis shows that the Indian derivatives market increasingly shifted towards very short-duration index options as weekly expiries expanded and contract lot sizes were reduced.

By FY24, weekly expiry events across different indices were available on almost every trading day, creating what SEBI describes as an "everyday expiry" cycle. Trading increasingly shifted towards short-duration contracts, particularly options expiring on the same day.

There are several characteristics that can help explain why short-dated contracts attract activity.

Lower Absolute Premium

A shorter-dated option can have a lower absolute premium than an otherwise comparable longer-dated contract because less time remains for the underlying to move.

For some traders, this can make the position appear more accessible.

However, a lower premium should not automatically be interpreted as lower risk.

A smaller premium can still experience a substantial percentage change in value over a short period.

Faster Time Decay

As expiry approaches, the time component of an option's value becomes increasingly important.

This is commonly discussed through theta, which measures the sensitivity of an option's value to the passage of time, all else being equal.

For an option buyer, time passing without a sufficiently favourable move can work against the position.

For an option seller, time decay can work in favour of the position, but that benefit comes with exposure to adverse underlying moves, volatility changes and potentially rapid changes in the option's sensitivity near expiry.

Selling premium is therefore not automatically safer than buying premium. The risk depends on the structure, position size and the conditions under which the position is managed.

Short Trading Horizons

Some traders may prefer to express a market view over hours rather than days or weeks.

A short-duration contract may appear suitable for a short-term market thesis.

However, a shorter holding period also means there is less time for the original thesis to develop.

High Responsiveness to the Underlying

SEBI notes that near-expiry options can require relatively small premium outlay while being highly sensitive to movements in the underlying index as expiry approaches. Even a relatively small index move can therefore result in a large percentage change in the option's price.

That sensitivity is one of the defining characteristics of near-expiry trading.

It can create opportunity.

It can also make incorrect positioning more difficult to manage.

The important distinction is between why traders participate and whether a particular approach produces favourable outcomes. High participation does not, by itself, establish profitability.

What Changes as an Option Approaches Expiry?

This is where expiry-day trading becomes technically different from simply trading the same option strategy with more time remaining.

Three concepts become particularly important:

• Theta
• Gamma and delta
• Implied volatility

Theta: The Effect of Time

Theta describes how an option's value is affected by the passage of time, all else being equal.

As expiry approaches, the amount of time value remaining in an option progressively declines.

For an option buyer, this creates an important consideration:

The underlying does not simply need to move in the expected direction. The move may also need to be sufficiently large and sufficiently timely.

An option buyer can therefore be directionally correct while still facing pressure from time decay or changes in implied volatility.

For an option seller, the opposite side of time decay may appear favourable, but that does not eliminate exposure to sharp market movement or volatility changes.

Gamma: How Quickly Delta Can Change

Delta broadly describes how an option's price may respond to a movement in the underlying.

Gamma measures the rate at which delta itself changes as the underlying moves.

As expiry approaches, particularly for options near the strike price, gamma can become more significant.

This means the directional sensitivity of an option can change rapidly.

A practical way to think about this is to imagine two otherwise similar options:

• One expires in several weeks.
• The other expires today.

A ₹100 move in the underlying does not necessarily produce the same percentage change in their premiums.

The longer-dated option still contains more time value and may respond within a broader range of pricing influences. The option expiring today has very little time remaining, and as the underlying moves closer to or away from the strike, its delta can change much more rapidly.

This is why an expiry-day option can move from appearing relatively stable to becoming highly sensitive within a comparatively small movement in the underlying.

Implied Volatility

Implied volatility reflects the market's expectations regarding future price variability embedded in an option's premium.

It can change independently of the direction of the underlying.

As a result, option pricing cannot always be understood through a simple assumption such as:

"The market went up, so the call option should necessarily rise."

The size and speed of the underlying move, changes in implied volatility, time decay and the option's relationship to its strike price can all influence the premium.

For traders operating close to expiry, these interactions can become especially important because the position has very little time remaining for conditions to change.

Why Expiry Trading Requires a Different Risk Framework

A shorter trading horizon does not automatically mean a strategy is unsuitable.

But it does mean that the framework around the trade needs to account for the characteristics of the instrument.

As the available time decreases, the room for reactive and unstructured decision-making can also decrease.

A disciplined expiry-day framework should consider the following.

Position Sizing

Position size should be determined before entering the trade.

A short time horizon does not automatically justify taking a larger position.

When an option can respond rapidly to movements in the underlying, controlling the amount of capital exposed becomes particularly important.

Defined Risk

Before entering a position, the trader should understand the possible loss under the chosen structure or establish a clearly defined risk boundary.

Risk management should not begin only after the market has moved against the position.

Entry Conditions

An expiry strategy should have a reason for entry beyond the simple availability of an expiry-day contract.

Useful questions include:

• What market structure is present?
• Is the market trending, ranging or reacting to an event?
• What volatility environment exists?
• What behaviour would invalidate the original setup?

Without defined conditions, short-duration trading can become a sequence of reactive decisions.

Exit Conditions

The exit should not be determined entirely after the position has been opened.

A structured process can establish:

• Profit-taking conditions
• Maximum acceptable loss
• Time-based exits
• Conditions that invalidate the original thesis

The purpose is not to guarantee a particular outcome.

It is to reduce the extent to which every decision has to be made emotionally in real time.

Liquidity and Slippage

Theoretical prices and executable prices are not always identical.

Bid-ask spreads, market depth and rapid changes in premium can influence actual execution.

This is particularly relevant when markets are moving quickly.

A strategy that appears attractive in theory may behave differently once execution costs and slippage are considered.

Event Risk

Expiry-day trading can coincide with scheduled or unscheduled market-moving events.

A strategy designed around normal market conditions may behave differently during a sudden increase in volatility or an unusually large underlying move.

The risk framework therefore needs to consider the market environment rather than relying only on the theoretical payoff structure of the option.

Does 0DTE Automatically Mean Higher Risk?

No.

An option expiring on the same day is not automatically more or less risky in every situation.

Risk depends on the complete structure of the position, including:

• The strategy being used
• Position size
• Whether the position is long or short premium
• Strike selection
• Distance from the underlying price
• Market volatility
• Liquidity
• Leverage
• Defined risk controls
• Execution quality

A small, defined-risk position and an oversized leveraged position in the same 0DTE contract are not equivalent.

Similarly, buying an option and selling an option create fundamentally different payoff structures and risk characteristics.

The more useful conclusion is therefore not:

"0DTE options are always dangerous."

It is:

"0DTE options operate within a very short time horizon, and their behaviour can change rapidly as expiry approaches. The strategy and risk framework need to account for that."

Responsible options education should focus on explaining how risk works, rather than simply categorising an entire product as safe or unsafe.

What SEBI's Data Actually Tells Us

SEBI's FY25–FY26 findings show that the concentration of trading around expiry remains a defining feature of India's index-options market.

The regulatory measures introduced during FY25–FY26 were followed by a moderation in expiry-day concentration and changes in participation. However, SEBI's analysis also makes clear that the findings should be interpreted as associations in timing rather than evidence of causation.

The broader structural observation remains unchanged:

Trading activity continues to be heavily concentrated in very short-dated index options.

Even after the moderation in 0DTE concentration during FY26, SEBI found that approximately 97% of index-options turnover occurred within seven days of expiry.

That means expiry is not a niche topic for understanding India's options market.

It is central to understanding how the market is currently being traded.

For an individual trader, this creates an important distinction.

Learning options is not only about understanding whether a strategy is bullish, bearish or neutral.

It also requires understanding when the strategy is being applied.

The same structure can behave differently depending on:

• Time to expiry
• Implied volatility
• Underlying price movement
• Position size
• Liquidity
• Market regime

A payoff diagram alone cannot capture every aspect of live market behaviour.

What Changed After SEBI's Measures?

SEBI introduced a series of measures between November 2024 and April 2025 to strengthen risk management in the Equity Derivatives Segment.

These included:

• Restricting weekly derivative contracts to one index per exchange
• Increasing minimum contract size
• Requiring upfront collection of options premium from buyers
• Withdrawing calendar spread benefits on expiry day
• Introducing additional Extreme Loss Margin requirements for short options positions on expiry day

Separately, the Government increased Securities Transaction Tax on equity derivatives from October 1, 2024.

Following these developments, expiry-day concentration moderated.

However, trading remained heavily focused on short-tenor contracts.

SEBI's data also showed that after weekly expiries were limited to one index per exchange, the share of weekly expiry contracts initially declined before recovering to around 97% over subsequent months.

The appropriate interpretation is not that a particular regulatory measure directly caused every subsequent market change.

SEBI itself cautions against treating the timing of these changes as proof of causation.

The more defensible conclusion is that market structure changed, participation moderated and expiry-day concentration reduced, while the overall preference for short-duration index options remained firmly in place.

Opportunity vs Process

The question is not whether expiry-day trading offers opportunities.

It clearly offers an environment characterised by high activity and potentially rapid changes in option prices.

The more important question is:

Does the trader have a repeatable framework for deciding when an opportunity is worth taking—and when it is not?

This is where process becomes more important than prediction.

Analysis

What is the underlying market doing?

Is it trending, ranging, breaking out or responding to a specific event?

Strategy

Which option structure is appropriate for the market environment being analysed?

Is the strategy designed for directional movement, range-bound conditions, volatility changes or another defined scenario?

Execution

Where is the entry?

What invalidates the original setup?

How is the position sized?

Where is the risk boundary?

What conditions define the exit?

These three layers -

Analysis → Strategy → Execution

- provide a more structured way of approaching expiry than simply treating every expiry session as a trading opportunity.

The objective is not to predict every move.

It is to develop a framework for deciding:

• When a setup meets the required conditions
• When it does not
• How much risk is appropriate
• What to do if the market behaves differently from expectations

That distinction becomes increasingly relevant when the instrument being traded has only hours remaining until expiry.

Frequently Asked Questions

What is 0DTE options trading?

0DTE, or Zero Days-to-Expiry, refers to trading options on their expiry date, when no days remain to maturity. In SEBI's analysis, these contracts represent the shortest-tenor options available.

Is 0DTE options trading risky?

Risk cannot be determined by time to expiry alone. It depends on the strategy, position size, leverage, volatility, liquidity, execution and the risk controls applied to the position. However, near-expiry options can be highly sensitive to movements in the underlying, which makes understanding the position's behaviour particularly important.

What percentage of Indian index-options trading happens near expiry?

According to SEBI's FY26 data, approximately 59% of index-options turnover occurred on expiry day, 75% occurred within one day of expiry and 97% occurred within seven days of expiry.

What does SEBI's data say about expiry-day trading?

SEBI's FY25–FY26 analysis shows that trading remains heavily concentrated in short-duration index options. Although expiry-day concentration moderated in FY26 compared with FY25, the overwhelming majority of index-options turnover continued to occur within seven days of expiry.

What is the difference between 0DTE and 1DTE options?

0DTE refers to options traded on their expiry day. In SEBI's cumulative days-to-expiry analysis, “1 DTE or less” includes turnover in contracts with up to one day remaining, including expiry-day contracts.

Summary: Expiry Creates Opportunity. Expiry Also Compresses the Margin for Error.

SEBI's FY25–FY26 findings show that India's index-options market remains overwhelmingly concentrated around short-duration contracts.

This makes time to expiry an essential consideration in options trading.

As expiry approaches, traders need to understand the interaction between:

• Time decay
• Delta and gamma
• Implied volatility
• Underlying price movement
• Position sizing
• Liquidity
• Execution
• Defined risk

The important lesson is not that every trader should avoid expiry-day options.

Nor is it that 0DTE trading automatically produces a particular outcome.

The lesson is that time to expiry materially changes the environment in which an options strategy operates.

The shorter the trading horizon, the less room there may be for an undisciplined process.

Expiry creates opportunity. Expiry also compresses the margin for error. The difference is process.

This article is for educational purposes only and should not be construed as investment advice, trading advice or a recommendation to buy, sell or trade any financial instrument. Options and derivatives involve risk, and trading outcomes can vary significantly depending on market conditions, strategy selection, position size and execution.