The Last-Minute Game on SENSEX Weekly Expiry!

Today's

SENSEX 6 AUG 78600 CE witnessed one of the most dramatic expiry moves. Option Premium Movement • High: ₹696 • Low: ₹233.30 • Swing: More than 66% within minutes. Many traders were left wondering: How can an option lose hundreds of points in just a few minutes? What Changed? The primary reason was the new Closing Auction Session (CAS) settlement mechanism introduced for SENSEX derivatives. Unlike the previous system, the final settlement is now based on the Closing Auction Session, where the settlement price is determined during the auction process rather than solely from the last traded price in the regular trading session. As the market approached settlement: Theta, IV, GAMMA AND CAS This combination resulted in extreme premium fluctuations, even when the underlying index did not move proportionately. What Should Traders Avoid? Avoid initiating fresh option positions during the final minutes of expiry. Do not assume the last traded premium reflects the final settlement value. Avoid carrying uncovered short option positions into the Closing Auction Session without fully understanding the associated risks. Do not rely solely on technical analysis during the last few minutes; settlement mechanics and option Greeks often dominate price behaviour. Avoid overleveraging on expiry day, as option premiums can change dramatically within seconds. Special Note for Option Writers The new settlement mechanism introduces additional settlement uncertainty during the final minutes of expiry. Professional option writers should: • Define risk before entering trades. • Monitor settlement-related announcements. • Avoid excessive short gamma exposure near expiry. • Consider reducing or hedging positions before the Closing Auction Session if the risk exceeds their tolerance. Expiry is no longer just about direction—it is also about understanding settlement mechanics. Markets evolve, and successful traders evolve with them.