The Greeks · Lesson 06 of 7 · Case
Gamma on expiry day
On the final day an option’s delta must travel to 1 or to 0 across a shrinking range of prices, which is what makes expiry-day gamma large. The NIFTY 23,300 put on 22 September 2026 traded at ₹52.30 at 14:01 with the index at 23,288.35, and settled at ₹0.05 when it closed at 23,329.
NIFTY weekly expiry, 22 September 2026 · MarketCue one-minute option-chain capture
Ninety minutes
At 14:01 on 22 September 2026 NIFTY printed 23,288.35, its low for the session. The 23,300 put was 11.65 points in the money and traded at ₹52.30 — nearly seven times the ₹7.65 it had opened at.
Within ten minutes the index had recovered more than 70 points. It closed at 23,329, and the contract settled at ₹0.05. A position that was both correct and in the money in the early afternoon returned −99% to anyone who held it from the open.
Why the final day behaves differently
Gamma measures how fast delta changes, and on expiry day delta has almost no room to travel in. A contract that will settle either at intrinsic value or at nothing must move its delta between 1 and 0 over the few points around its strike, and it has hours rather than weeks to do it.
The practical consequence is that the same 40-point move means something entirely different at 14:00 on expiry day than it does with a week to run. With a week remaining the 23,300 put would still have carried time value at 23,329 and would have been worth something. On the last afternoon there was nothing left to carry.
This is the same mechanism as the theta lesson viewed from the other side. Theta describes the time value draining; gamma describes how violently the remaining price responds while it does.
Common questions
Why are options so volatile on expiry day?
Because delta must resolve to 1 or 0 within hours, so it changes very quickly for small moves in the underlying. That rate of change is gamma, and it peaks at the money on the final day.
Can an option be in the money during the day and still expire worthless?
Yes. Only the closing level decides settlement. The NIFTY 23,300 put was 11.65 points in the money at 14:01 on 22 September 2026 and settled at ₹0.05 after the index closed 29 points above the strike.
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How these figures are produced
Every price on these pages was traded on the exchange and is read from our own option-chain capture, which records the NIFTY and SENSEX chains once a minute through the session. Each page names the session its figures come from.
Figures that a model produced rather than the market — the Greeks, implied volatility — are labelled as model outputs wherever they appear, and never presented beside traded prices without saying which is which. The pricing is checked against published reference values on every change.
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