Expiry afternoon fade
Expiry afternoons can bring sudden bursts as positions are squared off, and some traders believe sharp late moves tend to snap back before the close. This strategy tests that idea on NIFTY's weekly expiry: an hour before the close, if the index has moved more than 0.3% in the last 15 minutes, it buys the near-the-money option on the opposite side and holds it for up to 55 minutes.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
There is no evidence to read: the rules never triggered between 1 Oct 2025 and 30 Sep 2026. The code checks the NIFTY future at one moment on each expiry day, 60 minutes before the close (14:30 with the old 15:30 close, 14:40 after the move to 15:40), and trades only if the previous 15 minutes moved more than 0.3%. On NIFTY that is roughly 75 points in a quarter of an hour at a fixed time of day, and on none of the year's weekly expiries did the move at that moment cross the threshold. A lower threshold would produce trades, but whether the fade works is untested here.
The same trades, split by the market conditions around each entry, before costs.About this strategy
- Trade only on NIFTY weekly expiry days, which fall on Tuesday.
- Sixty minutes before the session close, measure the NIFTY future's move over the previous 15 minutes.
- If it rose more than 0.3%, buy one lot of the expiring put nearest to 10 points below the forward price; if it fell more than 0.3%, buy the call nearest to 10 points above.
- Take at most one trade a day.
- Exit if the option falls 40% below its cost, or when it is worth twice its cost.
- Otherwise sell it five minutes before the close.
Why traders use it
On expiry afternoons, sharp moves are often driven by short covering or hedging flows rather than news, and such flows can fade once they are done. Buying the expiring option on the opposite side is a cheap way to bet on a snap-back, because near-the-money options in the final hour have little time value left and react strongly to small index moves. The fixed check time keeps the rule simple and avoids chasing every wiggle.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy made no trades, so there is no profit or loss to report before or after costs. The reason is in the entry rule: the move is checked at a single moment on each expiry day, and it must exceed 0.3% over the preceding 15 minutes. On every weekly expiry in the period, NIFTY's move in that particular window stayed below the threshold. The setting can be lowered to see how the fade would have behaved, but the default rules simply never fired.
What the settings do
Risks
- Expiring options in the last hour can lose most of their value within minutes.
- Thin trading in expiring options can make real fills much worse than the last traded price.
- With the default threshold the strategy may go a full year without a single trade.
- Lowering the threshold to get trades also catches smaller moves that may not reverse.
Who it suits
Expiry-day traders who want to explore a precise, low-frequency mean-reversion rule and are willing to tune the threshold themselves, risking only the premium on each trade.
Questions traders ask
Why did this strategy make no trades?
It looks at one moment each expiry day, 60 minutes before the close, and needs NIFTY to have moved more than 0.3% in the previous 15 minutes. In the year from 1 Oct 2025 to 30 Sep 2026 that never happened at the check time, so the rules never triggered.
Is the expiry afternoon fade strategy profitable?
This test cannot say. With default settings it made no trades between 1 Oct 2025 and 30 Sep 2026, so there is no result before or after costs. Lowering “Move th %” would generate trades to study, and past results do not guarantee future ones.
Why buy the opposite option after a sharp move?
The idea is mean reversion: a burst caused by short covering or hedging on expiry day often fades once that flow is done. Buying a put after a rise, or a call after a fall, profits if the index gives back part of the move before the close.
Does the check time change with the 15:40 close?
Yes. The check is counted back from the session close, so it was 14:30 when the market closed at 15:30 and became 14:40 after F&O trading moved to a 15:40 close on 3 Aug 2026.