Expiry day is the most misunderstood session in options. Premiums decay by the minute and small spot moves swing option values violently. Understand the forces before you trade it.
Theta: brutal time decay
On expiry day, extrinsic value bleeds to zero fast. OTM options that look 'cheap' usually expire worthless — buying lottery tickets into the close is a losing game over time.
Gamma: sharp swings
Near expiry, ATM option deltas change rapidly with spot (high gamma). A position can flip from profitable to painful in minutes — great for nimble sellers, dangerous for anyone not watching.
The max-pain pull
Price often gravitates toward max pain as writers defend their strikes. Useful context — not a guarantee; a news shock overrides it instantly.
Liquidity thins
Far strikes can go illiquid with wide spreads late in the day. Stick to liquid strikes so you can actually exit.