{"schema":1,"name":"Index options expiring worthless: share of contracts open the session before expiry, by expiry month","resolution":"daily","generated_at":"2026-10-26T15:30:15Z","meta":{"source":"NSE F&O bhavcopy (contract level), 2020 on","method":"docs/methods/leverage.md#expiry-study","results":{"BANKNIFTY_k1":{"n":277,"intercept":-0.000728998524718098,"slope":0.1045642845306629,"se":0.25873124228399874,"t":0.40414247466831604,"p_one_sided":0.34305397623245276,"r2":0.003688792494368487,"dropped":2,"first":"2020-01-02","last":"2026-09-29","toward_n":254,"toward":125,"toward_pct":49.21259842519685,"toward_p_one_sided":0.6231006807669659,"median_dist_mp_pct":0.7479152389485783,"median_dist_spot_pct":0.6481728721499049},"BANKNIFTY_k5":{"n":27,"intercept":-0.0033723869407394705,"slope":-0.4268245974695153,"se":0.4561691837086443,"t":-0.9356717040801437,"p_one_sided":0.8252788781729054,"r2":0.06534485253502009,"dropped":0,"first":"2020-02-06","last":"2026-09-29","toward_n":24,"toward":13,"toward_pct":54.166666666666664,"toward_p_one_sided":0.4194098711013794,"median_dist_mp_pct":1.7424171778820328,"median_dist_spot_pct":1.7026926798494482},"NIFTY_k1":{"n":355,"intercept":-0.00017970557535772587,"slope":0.09760032070181027,"se":0.08857357402539368,"t":1.1019124132196434,"p_one_sided":0.13524987572536437,"r2":0.011244839791671346,"dropped":1,"first":"2020-01-02","last":"2026-10-19","toward_n":318,"toward":140,"toward_pct":44.0251572327044,"toward_p_one_sided":0.9857084749070923,"median_dist_mp_pct":0.6250769287066379,"median_dist_spot_pct":0.515071573757724},"NIFTY_k5":{"n":4,"intercept":0.011074661829247837,"slope":0.6676229529914689,"se":0.22235371188263758,"t":3.0025266829988997,"p_one_sided":0.0013387425006355994,"r2":0.5231123292591032,"dropped":0,"first":"2020-02-06","last":"2026-02-03","toward_n":4,"toward":1,"toward_pct":25.0,"toward_p_one_sided":0.9375,"median_dist_mp_pct":1.0895471122474114,"median_dist_spot_pct":1.0815129315512588},"NIFTY_k1_trim":{"n":353,"intercept":-0.0005076571190023068,"slope":-0.43917687948921375,"se":0.21980068440273906,"t":-1.9980687534371522,"p_one_sided":0.9771453966179813,"r2":0.026347570845942525,"trim_pct":3.0},"C120_pass":false,"C121_pass":false,"worthless_overall_pct":85.5246207461287,"worthless_value_overall_pct":24.62855173357544,"worthless_from":"2020-01-02","worthless_to":"2026-10-19"},"unit":"% of contracts, and % of premium value held (settlement price x open units); contracts and Rs crore summed over the month's expiries","rule":"Open at the close of the last session before expiry; worthless = no intrinsic value at the expiry-day close (calls struck at or above it, puts at or below it). All index options whose settlement price is known."},"dates":["2020-01-01","2020-02-01","2020-03-01","2020-04-01","2020-05-01","2020-06-01","2020-07-01","2020-08-01","2020-09-01","2020-10-01","2020-11-01","2020-12-01","2021-01-01","2021-02-01","2021-03-01","2021-04-01","2021-05-01","2021-06-01","2021-07-01","2021-08-01","2021-09-01","2021-10-01","2021-11-01","2021-12-01","2022-01-01","2022-02-01","2022-03-01","2022-04-01","2022-05-01","2022-06-01","2022-07-01","2022-08-01","2022-09-01","2022-10-01","2022-11-01","2022-12-01","2023-01-01","2023-02-01","2023-03-01","2023-04-01","2023-05-01","2023-06-01","2023-07-01","2023-08-01","2023-09-01","2023-10-01","2023-11-01","2023-12-01","2024-01-01","2024-02-01","2024-03-01","2024-04-01","2024-05-01","2024-06-01","2024-07-01","2024-08-01","2024-09-01","2024-10-01","2024-11-01","2024-12-01","2025-01-01","2025-02-01","2025-03-01","2025-04-01","2025-05-01","2025-06-01","2025-07-01","2025-08-01","2025-09-01","2025-10-01","2025-11-01","2025-12-01","2026-01-01","2026-02-01","2026-03-01","2026-04-01","2026-05-01","2026-06-01","2026-07-01","2026-08-01","2026-09-01","2026-10-01"],"series":{"worthless_pct":[76.9267,80.2623,75.2827,80.4629,84.1263,82.6227,83.749,83.5961,82.2633,81.0745,81.1108,84.2416,85.7859,84.0686,85.5102,84.9672,84.4054,84.376,82.9884,84.7567,79.8724,80.6515,86.8131,86.1908,85.5333,81.4349,86.7411,83.5103,82.9377,87.0221,82.9977,86.6217,86.4992,86.8619,84.3213,84.3058,86.1703,89.9196,84.708,83.3182,85.2515,84.6495,84.2961,86.6228,83.381,84.6878,86.2474,85.309,85.0025,88.827,87.1542,84.7768,84.2637,85.0118,87.4995,87.9252,85.2988,87.3589,85.8558,87.6171,85.025,88.6688,84.5308,84.3418,84.6882,84.4512,87.3757,88.4216,87.4235,86.7761,87.3525,87.0443,85.6026,83.0839,84.7609,85.6807,86.01,85.4322,86.633,83.2568,84.5093,80.1617],"worthless_value_pct":[25.2464,17.2494,5.7691,22.7022,27.7545,19.5678,23.3752,20.9397,23.5772,28.5106,18.7522,14.9771,22.7412,14.8442,26.1442,24.3427,25.4583,23.9809,26.6719,20.6271,22.6679,29.2183,31.3422,23.804,25.9536,31.0933,29.3455,23.5381,28.4141,29.1359,27.9678,28.2378,29.7635,28.4945,30.8555,31.0443,38.8877,27.7757,25.112,20.4237,28.6307,42.269,26.5771,33.347,26.9991,28.0721,25.4417,16.2438,27.9479,34.6885,26.7143,22.6101,30.2116,22.8713,32.3353,25.6156,25.828,20.9631,23.8524,19.336,21.1731,17.2907,15.77,14.0719,25.8813,24.8107,30.0068,26.224,27.0724,21.636,32.1484,30.3684,24.96,33.1832,18.4589,20.7008,27.6744,18.7242,26.3698,27.5222,20.0518,36.731],"contracts":[5474790.0,4570325.0,3953139.0,3577239.0,3712418.0,5311623.3333,7026891.0,5614826.0,6190340.0,8233490.0,6836637.0,9143164.0,7851361.0,8108862.0,8284973.0,10576414.0,9377751.0,10100816.0,13585246.0,14217247.0,19150995.5,15472035.0,16793676.0,23504841.0,18332735.0,19505512.0,24064004.5,21123922.0,21854903.0,28077784.0,23384348.0,24126848.0,30731654.0,23279436.0,24635627.0,35843364.0,30564823.0,30155966.0,38948088.0,32888399.0,34340196.0,35390518.0,39413584.0,59264122.0,50886184.6667,50593369.0,61634021.0,54513191.3333,61663105.0,57288014.0,47744900.0,54272859.0,74129057.0,66726961.0,80775698.0,87400590.0,83765215.0,102088199.0,77265451.0,66821523.0,37289609.0,19357240.0,20066729.1667,25468816.0,20076280.0,19362517.6667,21973904.0,18238193.0,26304736.1429,21101630.0,20830233.0,25443814.1905,23960566.0,25129295.0,24752448.1795,18394770.0,21377249.0,28064409.1538,22846488.0,21691044.0,31179757.3077,18450468.0],"value_cr":[1155.3203,1106.9331,6658.6922,1605.4506,1208.8167,2163.3303,1985.2164,1554.504,1725.9049,2197.2844,3035.3513,3719.962,2303.4574,4058.0057,2843.9183,3990.633,2708.8528,2613.4608,2668.1154,2947.257,4436.5174,3494.8092,3151.1888,5497.0987,4623.0401,3953.4185,7127.6105,4991.1966,5214.5072,5904.9363,4831.7273,4847.5169,8349.6578,5200.595,4738.5536,6351.5855,4579.9029,5748.9054,8076.2228,6090.353,5034.8998,4412.6594,6217.9687,6007.4168,5716.5657,5846.4929,7200.1867,11407.6227,9042.2006,8408.513,7200.3939,8685.5679,7354.9075,13456.5737,8546.6904,9514.2817,9108.5993,12400.5101,9851.9436,8693.4168,9866.4672,6850.8066,8223.3533,15325.791,7347.6166,6097.9522,5014.188,4737.3036,5839.8685,6741.1225,4798.6977,5524.988,6768.006,6690.3635,19718.005,10719.7971,7111.3242,11301.5989,5817.7515,5088.3805,11245.3795,4275.2528]}}