Usually the index does. With about 2 weeks left, 1 day takes only a small part of a monthly option's price. Take an at-the-money call, whose strike is closest to the index. If nothing moves, it loses about 3% in a day. BANKNIFTY needs to rise only about 39 points by the close to pay for that. A typical day here moves several hundred points.
- Index
- BANKNIFTY
- Cycle
- BANKNIFTY monthly
- Starts
- 09:15 IST
- Runs for
- 5 trading days · About 1 hr 37 min at Normal speed
- Difficulty
- Intermediate
- Date
- 12 Oct 2026
- Expiry
- BANKNIFTY 27 Oct 2026
- IV
- 18.87%
What is this market shaped like?
The market starts about 2 weeks before the monthly expiry. It runs 5 trading days. The Trending version moves slowly one way. In the Nervous version, day 3 opens with a shock. IV (implied volatility) is the size of move option prices expect. The example below keeps it at 15%.
Day 1 for an at-the-money call, with BANKNIFTY at 53,700 and IV at 15%
| What | Amount |
|---|---|
| Call premium at the open | about ₹759 |
| Premium at the close if nothing moves | about ₹738 |
| Rise BANKNIFTY needs by the close to get back to ₹759 | about 39 points (0.07%) |
| How much the call moves for each point BANKNIFTY moves | about ₹0.54 |
Compare that with a NIFTY weekly on its Thursday, which loses about 8% in a day. Here time is a slow drain, and the index decides most days.
What will you see?
- Delta is how much an option moves for each point the index moves. Near the money it is about 0.5.
- Theta, the value lost to time, is still small. It grows each week as expiry comes closer.
- In the Nervous version, BANKNIFTY opens 1.5% lower on day 3. IV goes up by 3 points, for example from 19% to 22%. For a while the gap between buy and sell prices grows.
Which version do you want?
Each version is the same kind of market with 1 thing changed. Choose one to start it.
- 5 days · Trending
- 5 days · Nervous
What should you try?
Try this with 1 lot of 1 call. A lot is the smallest size you can trade.
- Buy 1 lot of the at-the-money call on day 1.
- At each close, write down BANKNIFTY's level and the call's price.
- Each evening, compare the index move with the change in the call's price.
What should you check afterwards?
- On how many days did the call's price fall even though BANKNIFTY rose?
- In the Nervous version, what did the gap and the IV jump do to your call?
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