Option expiry
Option expiry is the date and time after which an option contract can no longer be exercised and ceases to exist. Expiry selection changes every gamma exposure figure, because gamma and its sensitivity to price both depend on the time remaining.
Senzoukria · Glossary · Updated September 2026
Expiration cycles
Index and ETF options are listed on several cycles at once: monthly contracts that settle on the third Friday, weekly contracts, and for the most active underlyings daily expiries. Quarterly expiries coincide with futures settlement dates. On any given day the chain therefore contains contracts with anywhere from zero to several hundred days to expiry (DTE), and the front expiries usually hold the densest activity.
The last trading time and the settlement rule are part of the contract specification. Some index options settle in the morning on the opening print (AM settlement), others at the close. Cash-settled and physically settled contracts also behave differently at the end of their life. Read the specification before comparing two expiries.
What expiry does to gamma
| Time to expiry | Gamma near the strike | Gamma away from the strike | Consequence for a GEX estimate |
|---|---|---|---|
| Long-dated | Low | Spread across many strikes | Exposure is smooth along the price axis |
| Near-dated | High | Small a few strikes away | Exposure is concentrated and moves quickly with spot |
| Expiry day | Highest, then gone at settlement | Close to none | The chain's total changes abruptly when contracts drop out |
Choosing which expiries to include
- A dashboard that sums all expiries and one that shows only the front expiry describe different books; neither is wrong, but they cannot be compared without stating the filter.
- Removing an expiry that has just settled removes its open interest from the sum. Total GEX and the wall ranking can change at that moment without any trade taking place.
- Open interest is published once a day by the clearing house, so intraday changes in an expiring contract's positions are not visible in the open interest field.
- When two expiries carry walls at different strikes, record both rather than averaging them into a level nobody holds.
In Senzoukria
The GEX module's Volatility page draws an IV Term Structure across the expiries returned by the chain; the screen states that it needs at least two expirations with ATM IV data before it draws the curve. The Option Flow feed shows the expiry of every print as a DTE value, so that a same-day contract and a six-month position can be told apart on the tape. The Strikes page sums exposure over the expiries the configured source returns, and the chain's timestamp is shown alongside.
Expiry handling depends on the options source configured by the user; a chain that comes back without volatility or time fields is reported as such ("legs skipped for missing vol or time") rather than treated as zero.
Common mistakes
- Comparing yesterday's total GEX with today's across an expiry without noting that one expiry settled in between.
- Applying a gamma level computed from a monthly chain to an intraday session dominated by the daily expiry.
- Assuming open interest reflects positions opened this morning; the published figure is from the previous close.
- Confusing the last trading time with the settlement time on AM-settled index options.
Related
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Frequently asked questions
- What does DTE mean?
- DTE stands for days to expiry, the number of days left before the contract expires. It is a rough measure of time value: two contracts with the same strike but different DTE have different premiums, different gamma and different sensitivity to a move in the underlying.
- Why does gamma exposure change so much on expiry days?
- Options close to expiry carry the most gamma near the strike and almost none away from it. As spot moves through those strikes during the day, the modeled exposure swings, and when the contracts settle their open interest leaves the chain. A GEX figure computed before settlement and one computed after describe different books.
- Should I include all expiries in a GEX calculation?
- There is no single correct choice; the point is to state it. Summing every expiry describes the whole modeled book, while filtering to the front expiries emphasises the strikes most sensitive to today's price. Keep the filter fixed when comparing levels over time, and note when an expiry drops out.