Expiry OI pin fade
On expiry day, the strikes with the largest call and put open interest act like walls, and many traders expect NIFTY to settle between them. This strategy marks the midpoint of those two walls as the 'pin'. If the index has wandered more than 30 points away from it at 11:00 or 13:00, it buys the at-the-money option that profits from a move back to the pin.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the pin fade earned on choppy expiry days, making ₹9,934 over 12 trades, and lost ₹3,257 over 10 trend days with only a 20% win rate. That fits the mechanism: on a choppy day the index swings back through the middle of the open-interest walls and reaches the pin; on a trend day it keeps moving away until the 30% premium stop fires. Volatility helped rather than hurt: days after India VIX closed above 14.5 made ₹7,867 over 9 trades, while calm days below 11.5 lost ₹3,222 over 8, because cheap, slow options rarely moved far enough to pay before decaying.
About this strategy
- Trade only on the NIFTY weekly expiry day (Tuesday, or the previous session if that is a holiday).
- At 11:00, find the strike with the most call open interest and the strike with the most put open interest in the expiring series. The pin is halfway between them. Open interest is read as of two minutes earlier, so only data already published is used.
- If spot is more than 30 points above the pin, buy one lot of the ATM put; if more than 30 points below, buy the ATM call.
- If spot is within 30 points, check again at 13:00. No entries after 14:00, and at most one trade a day.
- Exit when spot reaches the pin measured at entry (the target) or when the option has lost 30% of its price (the stop).
- Anything still open is sold at 15:15.
Why traders use it
Option writers hold the biggest positions at the call and put walls, and on expiry day they have a strong interest in the index finishing between them. The belief that the index gets drawn toward that middle zone in the last hours is widespread in Indian F&O circles. Buying an ATM option on expiry day is cheap, the loss is limited to the premium, and the target is a clear price level rather than a guess.
The year in plain words
On NIFTY weekly expiries from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy took 31 trades and won only 32% of them, yet made ₹9,597 before costs and ₹7,673 after ₹20 per order and bid-ask slippage. It worked because winners averaged about ₹2,969 against losses of about ₹957: 21 trades hit the 30% premium stop, while 9 reached the pin. April alone made ₹8,691, nearly the whole year's profit, and September lost ₹2,910. Maximum drawdown was ₹6,402 before costs. With so few trades and one dominant month, the result is fragile.
What the settings do
Risks
- ATM options on expiry day can lose 30% of their value in minutes, so the stop is hit often.
- The result rests on 31 trades and one strong month, which is too little to tell skill from luck.
- Studies of NSE data have found little evidence that the index reliably pins to strikes at expiry.
- The pin is fixed at entry, but the walls can move during the afternoon as writers roll or close positions.
Who it suits
Option buyers who trade only on expiry day, want a small and defined loss per trade, and accept a low win rate. It needs little capital per trade but discipline to follow a strategy that loses on two of every three days.
Questions traders ask
What is OI pinning on expiry day?
Pinning is the idea that an index tends to close near the strikes where the most options are open, because large writers hedge in ways that push the price back toward them. This strategy uses the midpoint between the highest call and highest put open-interest strikes as the pin.
Is the expiry day OI pin fade profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹9,597 before costs and ₹7,673 after ₹20 per order and bid-ask slippage, from 31 expiry-day trades. Statutory charges were excluded, and April alone accounted for most of the profit. Past results do not guarantee future ones.
Why does it win only a third of the time but still make money?
Each losing trade is capped at roughly 30% of a small ATM premium, while a winning trade rides spot back to the pin and can multiply the premium on expiry day. In this run the average winner was about three times the average loser.
Is max pain the same as the OI pin?
No. Max pain is the strike where option holders would lose the most at expiry, calculated across the whole chain. The OI pin here is simply the midpoint of the biggest call and biggest put strikes. You can switch “Pin method” to max_pain to test the other version.