Clear, concise definitions of the 25 most-used terms in Indian options and derivatives trading — from PCR and max pain to gamma blast and IV crush. Every term links to the live tool on MarketsEasy where you can see it in action.
Also known as: At The Money, Out of The Money, In The Money, moneyness
Three states describing where an option strike sits relative to the spot price. ATM (At The Money) means the strike is closest to spot. ITM (In The Money) means the option has intrinsic value — a call below spot or a put above spot. OTM (Out of The Money) means it has zero intrinsic value yet.
Also known as: Nifty Bank, Bank Nifty index
A free-float weighted index of the 12 most liquid banking stocks listed on the NSE. Used as a benchmark for the Indian banking sector and as the underlying for highly-active weekly options.
See also: Nifty 50, Expiry Day, Weekly Options
The first Greek. Measures how much an option price changes per ₹1 move in the underlying. Calls have delta 0 to +1, puts have delta 0 to −1. A 0.50 delta call gains ~₹0.50 if Nifty rises by ₹1.
See also: Gamma, Theta, Vega, Option Greeks
Also known as: F&O expiry, options expiry
The final trading day on which an option or futures contract is valid. Indian index options expire weekly (Nifty Tuesday, BankNifty Wednesday, FinNifty Tuesday) and monthly on the last Thursday. Time decay (theta) accelerates sharply on expiry day, making it the highest-risk and highest-reward session for options sellers.
Also known as: Foreign Institutional Investors, Domestic Institutional Investors
Daily net buy/sell figures published by NSE showing how much foreign and domestic institutions traded in cash and F&O segments. FII flows historically drive Nifty direction; sustained FII selling combined with DII buying signals a contested market.
See also: Nifty 50
The second Greek. Measures how quickly delta changes per ₹1 move in the underlying. High gamma means delta is unstable — an OTM option can rapidly become ATM. Highest near ATM and near expiry.
See also: Delta, Gamma Blast, Option Greeks
A sudden, accelerated move in an option price on or near expiry day, caused by gamma spiking as time-to-expiry approaches zero. Sellers of short-dated ATM options face explosive losses when the underlying moves through their strike during a gamma blast.
See also: Gamma, Expiry Day, Theta
Also known as: IV
The market's forecast of future price movement, expressed as annualized percentage standard deviation, back-solved from the option price. High IV = expensive options; low IV = cheap options. India VIX measures Nifty's 30-day IV.
Also known as: VIX, volatility index
NSE's real-time index of expected 30-day Nifty volatility, derived from Nifty option prices. Rising VIX signals fear; falling VIX signals complacency. Above 20 is considered elevated; below 12 is unusually calm.
The amount by which an option is in the money. For a call: max(spot − strike, 0). For a put: max(strike − spot, 0). The remainder of the option premium is time value, which decays toward zero by expiry.
See also: ATM, OTM, ITM, Theta
A sharp drop in implied volatility after a known event (earnings, RBI policy, expiry), which collapses option premiums even if the underlying barely moves. Option buyers lose money to IV crush even when directionally correct.
See also: Implied Volatility (IV), Vega
The minimum number of shares (or index units) per F&O contract, set by NSE. You cannot trade fractional lots. Nifty lot = 25, BankNifty = 15, FinNifty = 25 (as of 2024–25; SEBI updates these periodically).
The strike price at which the total value of outstanding options (calls + puts) is at a minimum on expiry — the level where option buyers as a whole lose the most money. Used by some traders as a magnet zone the index drifts toward at expiry.
Also known as: Nifty, NSE Nifty
NSE's flagship benchmark — a free-float weighted index of the 50 largest, most liquid stocks across 13 sectors. The most-traded options underlying in India and a primary gauge of broad-market direction.
See also: BankNifty, FII / DII Data
A four-way classification of price + OI changes used to infer trader intent. Long buildup (price ↑, OI ↑) = new longs. Short buildup (price ↓, OI ↑) = new shorts. Long unwinding (price ↓, OI ↓) = longs exiting. Short covering (price ↑, OI ↓) = shorts exiting.
Also known as: OI
The total number of option or futures contracts currently held open (not yet closed or exercised). Rising OI with rising price signals fresh longs; rising OI with falling price signals fresh shorts. Distinct from volume, which counts trades.
See also: PCR (Put-Call Ratio), Max Pain, OI Buildup
A live table listing all call and put strikes for a given underlying and expiry, alongside their last price, change, volume, open interest, implied volatility, and Greeks. The primary screen options traders watch during market hours.
A set of partial-derivative risk measures describing how an option's price reacts to changes in the underlying (Delta), time (Theta), volatility (Vega), interest rates (Rho), and delta's own sensitivity (Gamma). Essential for sizing positions and hedging.
Also known as: Put Call Ratio
A contrarian sentiment indicator comparing total open interest in puts vs calls. PCR below 0.7 signals heavy call writing (bullish bias); above 1.3 signals heavy put writing (bearish bias). Above 1.5 or below 0.5 are considered extreme readings.
See also: Open Interest (OI), Max Pain
Closing a near-month F&O position and simultaneously opening the same position in the next expiry month. High rollover percentage signals confidence in the existing trend; low rollover signals trader exhaustion.
See also: Expiry Day, Open Interest (OI)
The fixed price at which an option holder can buy (call) or sell (put) the underlying. NSE lists strikes at fixed intervals — Nifty in 50-point steps, BankNifty in 100-point steps. The chosen strike defines the option's moneyness and Greeks.
See also: ATM, OTM, ITM, Option Chain
Also known as: time decay
The Greek measuring how much an option loses in price per day, purely from the passage of time. Always negative for long options. Accelerates sharply in the final 5–7 days before expiry — a key reason option buyers struggle near expiry.
See also: Expiry Day, Gamma Blast, Option Greeks
Also known as: extrinsic value
The portion of an option's premium beyond its intrinsic value, reflecting volatility and time remaining. An OTM option is 100% time value. By expiry, all time value decays to zero.
See also: Intrinsic Value, Theta
The Greek measuring how much an option price changes per 1% change in implied volatility. Long options have positive vega; short options have negative vega. ATM and longer-dated options have the highest vega exposure.
See also: Implied Volatility (IV), IV Crush, Option Greeks
Options that expire every week rather than monthly. In India, Nifty (Tuesday), BankNifty (Wednesday), FinNifty (Tuesday) and Sensex (Friday) have weekly contracts. Faster theta decay makes them popular with sellers but unforgiving to buyers.
See also: Expiry Day, Theta, BankNifty
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