Futures and options expiration-day effects: The Indian evidence
BeginnerIntradayEmpiricalTestable with your data
Underlying share prices dip slightly the day before expiry and rise significantly the day after, with abnormally high expiry-day volume, mainly due to arbitrage unwinds and short-selling restrictions.
At a glance
- Level
- Beginner: No prior microstructure or stochastic calculus needed
- Horizon
- Intraday
- Data needed
- Daily bars Set what data you have
- Themes
- Options & volatility
- Assets
- Equities, Futures, Options
- Market
- India