Expiry-week drift
This calendar strategy tests a long-discussed idea in Indian markets: that NIFTY tends to drift higher in the days leading up to the monthly F&O expiry, as positions are rolled and settled. Once a month it buys one lot of NIFTY futures at the close four sessions before expiry and sells at the close of expiry day. There is no stop, target or indicator; the calendar alone decides.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
With only 12 trades, no market condition has enough trades to judge, so the evidence is descriptive. Six expiry weeks in which NIFTY fell more than 1% while the position was held lost ₹1,12,957 between them, which is essentially the whole year's loss. Five weeks where NIFTY stayed within 1% lost ₹14,280, and the one week with a rise of more than 1% made ₹14,053. Losses showed up in every India VIX band. Because the rule holds a long future with no stop, its result is simply NIFTY's move over those sessions, and this year those moves were mostly down. Figures are before costs.
About this strategy
- Find each monthly NIFTY futures expiry from the exchange calendar (currently the last Tuesday of the month).
- Count four trading sessions back from expiry, skipping holidays.
- At that session's last print, buy one lot of the near-month NIFTY future.
- Hold with no stop and no target.
- Sell at the last print of the expiry session. Repeat every month.
Why traders use it
Expiry week brings heavy activity: rollovers, closing of hedges and settlement-related flows. Some older studies of NIFTY found higher average returns in the days before expiry, and traders have long talked about an expiry-week tilt. A simple, mechanical hold lets anyone check whether such a calendar effect still shows up in recent data, without indicators or judgement getting in the way. The direction can be flipped to test the opposite tilt.
The year in plain words
With default settings on NIFTY from 1 Oct 2025 to 30 Sep 2026, the strategy made 12 monthly trades: 4 won, 7 lost and one finished flat. It lost ₹1,13,184 before costs and ₹1,16,074 after ₹20 per order and bid-ask slippage; with so few trades, costs barely mattered. Losing trades were large, averaging ₹21,491, and September alone lost ₹48,087. February and April each lost over ₹25,000. In this period the expiry-week drift did not appear; NIFTY more often fell in the four sessions before expiry.
What the settings do
Risks
- There is no stop loss, so one bad expiry week can cost tens of thousands of rupees per lot.
- Twelve trades a year is a tiny sample; calendar effects measured on so few events can be noise.
- The studies behind the idea used older data, before weekly options changed expiry-week flows.
- A full futures lot held for four sessions carries overnight gap risk throughout.
Who it suits
Traders and researchers interested in calendar effects who want a clear, testable rule, and who understand that holding NIFTY futures without a stop for several days needs capital for large swings.
Questions traders ask
Does NIFTY rise in expiry week?
Some older studies found higher average returns in the days before monthly expiry. In this backtest from 1 Oct 2025 to 30 Sep 2026, holding NIFTY futures for the last four sessions lost money in 7 of 12 months, so the effect did not show up in this period.
Is the expiry week drift strategy profitable?
Not in this test. It lost ₹1,13,184 before costs and ₹1,16,074 after ₹20 per order and bid-ask slippage, over 12 trades. Past results do not guarantee future ones in either direction.
When is NIFTY monthly expiry now?
NIFTY monthly futures and options expire on the last Tuesday of the month, moving earlier when that day is a holiday. The strategy reads expiry dates from the exchange calendar, so it adjusts automatically.
Can I test the short side instead?
Yes. Setting the direction to short sells the future four sessions before expiry instead of buying it, which tests whether NIFTY tends to fall into expiry.