Posted in My Daily Journal · 29 September 2026
A screenshot-famous trade — buying large premium at the open on expiry day and never using a stop — run through 378 expiry days of real option prices, alongside its mirror image.
A trader posts screenshots of buying ₹90,000 of NIFTY weekly premium at 9:15 on expiry day, no stop-loss, booking greens. Does it work?
Not net. On 378 expiry days from 2015 to 2026, buying the gap-direction option at 9:20 and holding to the close lost ₹2.14L per lot — 31% green days, −₹567 per day, maximum drawdown ₹2.27L. The best days were worth about +₹21k per lot, which at his size is +₹1.7L — so the screenshots are real while the account bleeds. A 30% stop cut the bleed to −₹45k; a 100% profit target made it worse (−₹2.57L).
Was there anything on the buying side of expiry mornings?
One surprising cell: fade the gap with a 30% stop earned +₹1.17L over the twelve years at +₹310 per day with a ₹38k drawdown — but it won only 19% of the time (a few big winners), it was one winner out of seven variants tested (multiple-testing risk), and the edge sat in 2021–23 with 2025 negative. It was also half of what simply selling premium on the same mornings made. Status: hypothesis, not an edge. Both sides of the table agree: on expiry mornings, sell premium rather than buy it.
The idea was to allow ₹1 lakh a month of losses for the chance of the big screenshot days. What does the data say about that framing?
That the loss budget dies by attrition, not by one bad month. The worst single month at one lot was about −₹16.5k — a steady drip — but scaled to the screenshot size it is a −₹13k monthly bleed with single worst days near −₹1 lakh (19 March 2020 would have been −₹12.9k per lot). A budget framed around "one bad month" never sees the slow leak that empties it.