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Just how many options actually expire worthless?
Posted: Nov 15, 2021 23:45
Photo by Gary Chan on Unsplash
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The last three monthly options yielded the statistics given further down.


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Analysis of option expiry month ending 28 October 2021

61238 contracts were listed on 01 October 2021. 20122 of these had an expiry date of 28 October 2021 of which 6211 were traded. 19472 appear in the returns sheet.

(a) 69014 contracts were listed in the 28 October 2021 bhav copy. (b) 22750 of those contracts expired that day. (c) 11374 of the expired contracts closed with a profit (calls closing above the strike price, and puts below). (d) 11376 closed worthless (calls closing below the strike price, and puts above). (e) 8711 of the expiring options traded (at least one contract) that day. (f) 3111 of these traded contracts closed with a profit, and 5600 expired worthless.

20122 options expiring on Oct 28 existed on Oct 01, of which 6133 were traded. 1009 (16.5%) of these finished with a gain, 933 (15.2%) made a loss but did not finish worthless, and 4191 (68.3%) expired worthless.



Analysis of option expiry month ending 30 September 2021

52356 contracts were listed on 27 August 2021. 17016 of these had an expiry date of 30 September 2021 of which 5108 were traded.

(a) 59236 contracts were listed in the 30 September 2021 bhav copy. (b) 19218 of those contracts expired that day. (c) 9607 of the expired contracts closed with a profit (calls closing above the strike price, and puts below). (d) 9611 closed worthless (calls closing below the strike price, and puts above). (e) 7751 of the expiring options traded (at least one contract) that day. (f) 2862 of these traded contracts closed with a profit, and 4889 expired worthless.

17016 options expiring on Sep 30 existed on Aug 27, of which 5072 were traded. 1314 (25.9%) of these finished with a gain, 531 (10.5%) made a loss but did not finish worthless, and 3227 (63.6%) expired worthless.



Analysis of option expiry month ending 26 August 2021

50122 contracts were listed on 30 July 2021. 16744 of these had an expiry date of 26 August 2021 of which 5008 were traded.

(a) 53654 contracts were listed in the 26 August 2021 bhav copy. (b) 17852 of those contracts expired that day. (c) 8925 of the expired contracts closed with a profit (calls closing above the strike price, and puts below). (d) 8927 closed worthless (calls closing below the strike price, and puts above). (e) 6453 of the expiring options traded (at least one contract) that day. (f) 2409 of these traded contracts closed with a profit, and 4044 expired worthless.

16744 options expiring on Aug 26 existed on Jul 30, of which 5008 were traded. 1277 (25.5%) of these finished with a gain, 534 (10.7%) made a loss but did not finish worthless, and 3197 (63.8%) expired worthless

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