On expiry day, ATM gamma is maximal; a tiny move flips Delta fast, blowing naked buyers and forcing hedgers. Theta is also maximal, so time decay is brutal. This is the highest-risk window in options.
The filter requires DTE > 1 for new entries and blocks naked buys when Gamma and Theta are both high. Defined-risk spreads with the short leg nearby survive better than naked exposure.
Q: Why is expiry day dangerous?
A: Maximal gamma flips Delta fast; maximal theta decays brutally.
Q: What does the filter do?
A: Requires DTE>1, blocks naked buys when Gamma+Theta high.
Q: Safer structure?
A: Defined-risk spreads survive better than naked exposure.
📞 Free Nifty Options AI help & resources — WhatsApp: 9169650895
By Shakti Tiwari · Options AI research pillar. NISM XII certified. Educational only, not investment advice; verify before acting.