The Effects of Option Expiration on Nse Volume and Prices

Abstract

This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock Exchange (NSE). Overall we tested for abnormal trading volume, abnormal price movement, individual stock reversal and stock pinning on expiration days. To the best of our knowledge, this is a first such study done on the Indian market.

Keywords: Option expiration, Indian market, NSE, abnormal trading volume, abnormal price movement, individual stock reversal, stock pinning, stock price clustering

JEL Classification: G12, G13, G14, G24