{"schema":1,"name":"Share of index-option premium traded on contracts' expiry day (0DTE), monthly","resolution":"daily","generated_at":"2026-10-06T04:01:16Z","meta":{"source":"NSE F&O bhavcopy (contract level), via Data bank nse_fo_bhavcopy eras; 2020-01-01 onward (legacy layout to 2024-07-05, UDiFF after)","method":"docs/methods/leverage.md#fo-bhavcopy-analytics","notes":["Descriptive, not predictive: the Aftermarket Report's tests found no reliable signal in PCR or positioning.","Open interest in contracts = OI units / the day's lot size; lot sizes were revised (e.g. Nov 2024, Jan 2026), so compare shares, ratios and notional values across those dates rather than contract counts.","Premium turnover is derived per contract as traded value - strike x quantity; its monthly sums equal NSE's published premium.","Before 2024-07-08 the bhavcopy prints no lot size or underlying price: lot size is inferred from open-interest GCDs and futures values (derived daily index-option premium is within 0.1% of NSE's published figure on all but one session), and the underlying close comes from index history and the equity bhavcopy. 2021-03-30 is missing (NSE does not serve that file). FINNIFTY basis is blank before 2026 (no index history)."],"checks":{"first":"2020-01-01","last":"2026-10-05","sessions":1678,"premium_vs_nse":{"months_compared":81,"months_skipped_missing_session":["2021-03-01"],"index_opt_max_rel_gap":1.6197722242888188,"stock_opt_max_rel_gap":0.852075930033452},"nifty_latest":{"pcr_oi":0.937,"basis_ann_pct":4.785,"share_0dte_pct":0.0},"rollovers":91},"unit":"% of the month's index-option premium; prem in Rs crore"},"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"],"series":{"share_0dte_pct":[16.4559,14.4674,14.9718,21.3522,14.642,13.1372,16.6016,14.0219,12.7681,19.2952,16.266,17.3271,15.0336,14.4202,16.5873,22.9912,15.6672,15.0276,20.6196,16.3452,19.1349,17.182,18.3805,17.8994,17.2767,16.5503,20.0919,17.4713,17.2851,23.2692,18.2437,19.2044,23.7262,21.7951,20.3432,23.8678,22.1095,22.9869,25.2333,28.3571,22.2488,30.7778,27.0044,32.2658,28.1242,31.2547,37.0685,27.6574,30.9886,32.8709,35.293,37.1558,34.493,39.8638,38.6691,37.5512,37.5258,36.534,32.8721,17.6112,15.3186,13.9662,18.0557,17.3393,17.7173,21.3693,26.1045,23.5779,26.0548,23.3262,23.102,25.5843,23.5037,22.0839,28.0733,24.5262,24.2954,28.2331,21.5023,24.8627,31.2593],"prem":[99095.6957,94114.8391,198543.8954,120887.587,136755.2746,198473.4692,179650.5794,150535.4537,190149.5276,212552.6696,222819.9699,225015.6243,254454.951,349695.4414,372644.2813,348762.9017,314056.4754,311592.6711,304173.8027,343289.0474,423195.4875,447876.7181,471327.958,590894.661,632725.2631,789466.1015,864945.9649,663563.8842,833031.1051,810836.5254,722703.6422,794453.7336,1109812.5959,832042.6724,743405.5646,989086.2719,1111579.3809,1065338.9319,1279394.3075,847271.8827,1175968.8527,1006920.1483,1281329.1687,1165099.5798,1107391.3049,979946.9048,885541.3283,1236524.1406,1500373.6804,1505497.281,1127677.5248,1084600.2271,1284785.868,1486305.943,1312195.9462,1218678.1273,1136672.5214,1367433.3198,1031501.6368,960115.8058,1038532.9832,809582.6711,844112.0355,951969.4847,1085911.4256,880136.7023,860919.2597,789317.4785,933317.5329,1041798.9844,913277.3872,946923.0293,1153153.9779,1283969.1987,1624667.9398,1124391.4068,1112871.561,1148733.7385,970507.704,739182.8754,942013.3881]}}