Nifty Expiry Day Gamma Risk

Expiry day is where retail accounts die. ATM Gamma is at maximum; a 30-point Nifty move flips an ATM call's Delta from 0.5 to 0.9, turning a small profit into a loss faster than the screen refreshes. Theta is also maxed -- premium bleeds by the hour. AI models use gamma as a hard filter: when DTE=0 and ATM gamma high, block naked buys regardless of P(direction). Defined-risk spreads (debit/credit) survive Gamma because loss is capped. The lesson is not 'avoid expiry' but 'respect the math.' Most 'options training' never teaches this because it is uncomfortable. We publish the feature so you can see why size must shrink near expiry.