Indian traders are bracing for their first monthly derivatives expiry using auction-based end-of-day stock prices, a crucial test for a mechanism that has faced backlash over sharp swings and allegations of manipulation.
The new system has operated through regular sessions and a weekly expiry since its launch on Aug. 3. Tuesday’s expiry will see a broader swath of derivatives positions, including physically settled single-stock options, tied to the auction-generated closing prices.
“A weekly index expiry is one thing, but a monthly expiry brings stock futures and options into the equation, making the closing price much more consequential,” said Kruti Shah, a quantitative analyst at Equirus Securities.
Intended to bring India in line with major global markets, the system has had a difficult start. Many proprietary trading firms and high-frequency traders have stayed away, contributing to thinner volumes during the auction. Arbitrageurs have also lost some of their most profitable opportunities because the late-session window for trading stocks and derivatives at the same time has narrowed.
