Expiry-day OI writer follow
On NIFTY's weekly expiry day, large option writers leave a trail in open interest. This strategy scans the strikes around the money every minute, looks for one where open interest has jumped since the open while its price keeps falling, and sells that same option. The stop is the option's high of the day, and the trade otherwise runs to the close.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the strategy earned most on quiet expiry days: 21 trades with a range under 0.75% made ₹22,597 and won 81%, because the sold option simply melted toward zero by the close. Choppy expiry days were the weakest session type, ₹5,732 over 24 trades, as a swing back toward the sold strike lifted the option through its day high and hit the stop. Flat opens made ₹30,923 over 47 trades, while the 11 gap-down opens lost ₹2,155, too few to judge firmly. Entries with NIFTY above its 20-day average (₹31,314) did far better than in a downtrend (₹6,450).
About this strategy
- Trade only on the NIFTY weekly expiry day, which falls on Tuesday.
- From 09:45 to 14:30, every minute, scan calls and puts ten strikes either side of ATM.
- A strike qualifies if its open interest has risen by at least 20,000 lots since the open, using OI from a minute earlier to allow for reporting delay, and its price is below where it was 15 minutes ago.
- Sell one lot of the qualifying option with the largest OI addition, skipping anything priced under ₹2.
- Place the stop at that option's highest price of the day so far.
- Exit early if the OI added since the open drops below 10,000 lots, a sign the writers are leaving; otherwise hold to the last price of the session.
- Hold one position at a time, with at most two trades a day.
Why traders use it
Option writers are usually larger, better-capitalised participants, and on expiry day they tend to defend the strikes they have sold. A big fresh build-up of open interest at a strike whose price is falling suggests writers are confident the market will stay away from it. Following them, with a stop at the level where they would be proven wrong, is a popular way to read the option chain on expiry day without forecasting direction.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy made 66 trades on expiry days and won 71% of them for ₹39,928 before costs, a profit factor of 1.83. Most trades (47) ran to the close, 17 hit the day-high stop and two exited on OI unwinding. Losses were larger than wins on average (₹2,522 against ₹1,869), and March lost ₹7,315, but ten of twelve months were positive. With only one leg and few trades, costs were modest: after ₹20 per order and bid-ask slippage the result was ₹35,055. The sample is small, about one or two trades a week.
What the settings do
Risks
- A naked short option on expiry day can multiple in price within minutes if the market moves toward its strike.
- The stop at the day's high can be far from the entry price, so a single loss can be several times an average win.
- Open interest is reported with a delay; the one-minute lag helps but real-time data may still differ from what the backtest saw.
- Since 3 Aug 2026 settlement uses a closing auction, so results before and after that date may not be directly comparable.
Who it suits
Expiry-day traders who read open interest and are comfortable holding a short option into the close, with the margin for naked selling and the discipline to honour a wide stop.
Questions traders ask
What does following the option writers mean?
It means selling the same strike that large sellers are building positions in. Rising open interest together with a falling price usually signals fresh writing rather than buying. The trader joins them and exits if the option's price recovers to its high of the day or if the writers start covering.
Is the expiry-day OI writer strategy profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹39,928 before costs and ₹35,055 after ₹20 per order and bid-ask slippage (statutory charges not included), with a maximum drawdown of ₹10,153 before costs. It is a sample of 66 trades, and past results do not guarantee future ones.
Why is open interest read with a delay?
Exchange open interest reaches data feeds later than prices. A backtest that uses OI stamped at the exchange time would see information a live trader did not yet have. Using the reading from 60 seconds earlier keeps the test closer to what was actually knowable.
Which day is NIFTY weekly expiry?
NIFTY weekly options expire on Tuesday. If Tuesday is a holiday, the expiry moves to the previous trading day, and this strategy trades on whichever day the nearest expiry falls.