Expiry dayIntradayNIFTYlow complexity

Expiry max-pain option buy

Max pain is the strike at which option buyers as a group would lose the most at expiry. A popular belief is that the index drifts towards it on expiry day. This strategy tests that on NIFTY's weekly expiry day: at 12:00, if the index is at least 100 points from max pain, it buys the ATM option that profits from a move towards it, aiming for half the distance, with a 30% stop and an exit at 13:30.

On NIFTY weekly expiry day at 12:00, buys the ATM call or put pointing towards max pain when the index is at least 100 points away; 30% stop, out by 13:30.

Market viewCalendar or event timing

TradesNIFTY weekly options on expiry day, 1 leg bought

RiskLimited to the premium paid

CapitalPremium only

SuitsIntermediate

Trades a month1

Typical hold56 min

Profitable months2 of 12

Longest losing run5 trades

Made money inToo few trades to judge (12 in the year)

Lost money inToo few trades to judge (12 in the year)

Default settings

Symbol

Entry time

Min distance points

Target fraction

Stop %

OI delay secs

Exit time

Lots

Backtest this strategy →Change any setting, pick your own period and run it in the Quantsapp web app. Backtesting is part of the Max plan. Pro+ members can use it now as a free trial.

How it trades

What it trades

Universe

NIFTY Intraday · 1 Oct 25 → 30 Sep 26

Enters

12:00 on NIFTY weekly expiry day

Legs

BUY CE · ATM (about 0.5 delta), when spot is 100+ points below max pain · Expiring weekly (0 days left) · 1 lotBUY PE · ATM (about 0.5 delta), when spot is 100+ points above max pain · Expiring weekly (0 days left) · 1 lot

Exits

stop Option down 30% of the price paidtarget Index covers half the distance to max paintime Sold at 13:30

Re-entry

None - one trade a day

Entry

only on the NIFTY weekly expiry day (the nearest expiry has 0 days left), at ENTRY_TIME. Max pain = the strike of the expiring weekly at which option buyers lose the most (call OI x max(K - strike, 0) + put OI x max(strike - K, 0), summed over every strike, smallest), from open interest as of OI_DELAY_SECS before the entry. If spot is at least MIN_DISTANCE_PTS below max pain buy the ATM call; at least MIN_DISTANCE_PTS above it, buy the ATM put. LOTS lots, one trade a day.

Stop

the option loses STOP_PCT % of the price paid.

Target

spot covers TARGET_FRACTION of the entry distance toward max pain (1.0 = all the way to it).

Exit

EXIT_TIME.

Results

PRE-BUILT · DEFAULTS

NIFTY · 2025-10-01 → 2026-09-30 · 12 trades · before costs

Net P&L+₹7,753

Win rate17%

Max drawdown−₹3,485

Avg per trade+₹646

Profit factor2.12

Worst trade−₹1,065

Where it made and lost money

Twelve trades are too few to call any condition a strength or weakness. As observations: the 5 trades after India VIX closed above 14.5 made ₹13,391, and the 3 on days that opened with a gap down of 0.4% or more made ₹14,625, while the 8 on flat-open days lost ₹6,089 with no winners. That fits the mechanics: on a lively expiry day the index can travel 50 or more points towards max pain within 90 minutes, which a near-expiry ATM option magnifies. On calm, flat days the index usually stays put, and the bought option's fast decay drives it to the 30% stop.

India VIX the evening before

VIX below 11.5 (calm)−₹2,2303 trades0% won

VIX 11.5-14.5 (normal)−₹2,6253 trades0% won

VIX above 14.5 (nervous)+₹13,3915 trades40% won

Kind of session on the entry day

Quiet session (range under 0.75%)−₹2,3663 trades0% won

Trend day (closed near the high or low)+₹2,6985 trades20% won

Choppy day (wide range, closed mid-range)+₹8,2043 trades33% won

How the entry day opened

Flat open−₹6,0898 trades0% won

Gap down of 0.4% or more+₹14,6253 trades67% won

Session direction on the entry day

NIFTY closed above its open+₹9,2042 trades50% won

NIFTY closed below its open−₹6689 trades11% won

Trend going in

Uptrend (NIFTY above its 20-day average)+₹6,3954 trades25% won

Downtrend (NIFTY below its 20-day average)+₹2,1417 trades14% won

Day of the week

Monday+₹5,4211 trades100% won

Tuesday+₹3,11510 trades10% won

The same trades, split by the market conditions around each entry, before costs.

About this strategy

Trade only on the NIFTY weekly expiry day, normally Tuesday.
At 12:00, compute max pain for the expiring weekly from open interest as of two minutes earlier: the strike where the total value of all calls and puts at expiry would be smallest.
If the index is at least 100 points below max pain, buy one lot of the ATM call; if at least 100 points above, buy the ATM put.
Target: the index covers half the distance towards max pain.
Stop: the option loses 30% of the price paid.
Otherwise sell the option at 13:30. One trade a day at most.

Why traders use it

Option writers hold most of the open interest, and many traders believe their hedging pulls the index towards the strike where writers keep the most premium. On expiry day the effect would be strongest, and a cheap ATM option can turn a small move in that direction into a large percentage gain. The idea is widely discussed and easy to check on the option chain, which makes it a common expiry-day trade, though research on NSE finds little evidence of pinning.

Works best whenLively expiry days when the index moves 50 points or more towards max pain within the 90-minute window. The few winning trades in this test came after a nervous VIX close or a gap-down open.

Struggles whenCalm expiry days when the index barely moves after noon, so the bought option decays to its 30% stop. All eight trades on flat-open days lost in this test, though the sample is small.

The year in plain words

On NIFTY from 1 Oct 2025 to 30 Sep 2026, the index was far enough from max pain at 12:00 on 12 expiry days. Only 2 trades won, but they averaged ₹7,327 against average losses of ₹690, giving ₹7,753 before costs and a profit factor of 2.12. Seven trades hit the 30% stop, 3 ran to 13:30 and 2 reached the target. The profit came from March and May (₹5,421 and ₹7,999); every other traded month lost a little. After ₹20 per order and bid-ask slippage it made ₹7,044. With 12 trades and two winners, luck plays a large part.

What the settings do

Entry timeWhen max pain is checked and the option is bought.Min distance pointsHow far the index must be from max pain before a trade is taken. Larger values trade less often but expect a bigger pull.Target fractionThe share of the distance to max pain the index must cover to hit the target. 1.0 waits for it to reach max pain itself.Stop %The loss, as a percentage of the price paid, at which the option is sold.OI delay secsHow many seconds before entry the open interest is read, so late, still-updating figures are not used.Exit timeWhen the option is sold if neither target nor stop has been hit.

Risks

Evidence that NIFTY is pulled towards max pain on expiry day is weak.
Expiry-day options decay very fast, so a stalled move turns into a loss within minutes.
With two winners in twelve trades, one missed winner would erase the year's result.
Max pain can shift during the day as open interest changes.

Who it suits

Option buyers who like small, defined-risk expiry-day bets, accept many small losses for occasional larger wins, and want to test the max-pain idea with real numbers.

Questions traders ask

What is max pain?

Max pain is the strike at which the combined value of all open calls and puts would be lowest at expiry, so option buyers would lose the most. It is calculated from the open interest at every strike of the expiring series.

Does NIFTY move towards max pain on expiry day?

Sometimes, but not reliably. Research on NSE finds little evidence of pinning. In this test the index covered half the distance in only two of twelve trades, though those two produced the year's profit.

Is the max pain option buy profitable?

In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹7,753 before costs and ₹7,044 after ₹20 per order and bid-ask slippage, over 12 trades with a ₹3,485 maximum drawdown. Past results do not guarantee future results.

Why trade at midday instead of the last hour?

The midday window leaves time for a move while options still have some value. Many max-pain ideas target the last few minutes, which was written for the old 15:30 close; the F&O session now closes at 15:40.

Terms used here

Max pain Open interest (OI)ATM (at the money)Weekly expiry DTE (days to expiry)Call and put options Theta (time decay)Stop loss (SL)Target / take profit Before costs / after taxes / after all costs

Before you rely on it

ADAPTED FOR TODAY'S NSE RULESNIFTY weekly (Tuesday) expiry from the expiry list (dte == 0), never a weekday. Sized in lots. EXIT_TIME is well before the 15:30 close (15:40 from 3 Aug 2026), so the closing-session change does not touch it.

WATCH OUTResearch on NSE finds little evidence of pinning to strikes; the sources' 3:20-3:30 window assumes the old 15:30 close.

WHERE THE RULES WERE UNCLEAR · OUR CHOICESThe source's entry window (12:00-14:00) ends after its own 13:30 exit and gives no distance threshold: we enter once at ENTRY_TIME with a 100-point minimum (the spec's reading). "Target max pain or half the distance" is read as half the distance (the nearer of the two; TARGET_FRACTION 1.0 restores the full move). Spot is the weekly chain's put-call-parity price at entry; during the hold it is the near-month future plus the carry measured at entry, so no chain is read to follow the index.

Also known asmax pain convergence buyExpiry-day last-hour max-pain pin trademax pain expiry hourpin to max pain

Backtests run on historical NSE data with fills at the last traded price. "Before costs" excludes brokerage, taxes and slippage. Quantsapp is not recommending any strategy; it is just a backtesting utility. Past results are not a promise of future returns.