Weekly vs Monthly Expiry: What the Recorded Data Actually Shows
Weekly and monthly options on the same index get treated as the same instrument with a different date. They are not, and a strategy validated on one can fail on the other for reasons that have nothing to do with the underlying idea.
The mechanical difference
Time value decays roughly with the square root of time remaining. That single fact drives most of what follows.
A weekly contract has days of life. A monthly has weeks. Because decay accelerates as expiry approaches, the weekly spends most of its existence in the steep part of the curve, while the monthly spends most of its life in the shallow part and only enters the steep part at the end.
For a buyer, that means a weekly gives you less time to be right. A directionally correct view that takes three sessions to play out can still lose money on a weekly and make money on a monthly.
For a seller, the weekly’s faster decay is the attraction — and the same compression is what makes an adverse move harder to manage, because there is less time for anything to recover.
Where open interest sits
Weeklies concentrate open interest much more tightly around at-the-money strikes. Positions are opened for a specific short-horizon view and closed or abandoned quickly.
Monthlies spread open interest more widely and build it more gradually, because they accumulate hedges and positional trades over weeks rather than days.
This shows up directly on an expiry page: the strike range carrying meaningful OI is visibly narrower on a weekly chain than on a monthly one for the same index.
The practical consequence is liquidity. On a weekly, strikes a few steps out of the money can be thin enough that a backtest assuming fills at last-traded price is producing imaginary returns. On a monthly the drop-off is gentler.
Expiry day behaves differently again
Both distort near settlement, but not in the same way.
On a weekly, the final session is most of the remaining time value disappearing at once, concentrated disproportionately in the last couple of hours. On a monthly, the final session matters less relative to the contract’s whole life, because most of the decay already happened.
Open interest on expiry day is misleading on both: contracts expiring worthless are abandoned rather than closed, so their OI stays elevated until settlement clears it, while near-the-money strikes see genuine fast unwinding. Both effects run simultaneously. Analyse expiry day separately, or exclude it — reading NIFTY open interest covers why.
The 2024 change, and why your backtest needs to know
In late 2024, index derivatives were rationalised so that each exchange offers a single weekly index expiry. NIFTY kept its weekly. BANK NIFTY’s weeklies were discontinued.
The archive shows the transition precisely. BANK NIFTY expiries recorded through 2022 and 2023 run to 52 per year — weekly. In 2025 there are 12 — monthly only. The last weekly expiry recorded is 13 November 2024, followed by 27 November and 24 December, both monthly.
This is a genuine structural break, and it matters more than most people account for:
- A strategy built on BANK NIFTY weeklies has no instrument to trade after November 2024. A backtest that spans the boundary and reports a single aggregate number is averaging over two different markets.
- Open interest redistributed as positions consolidated into monthlies. Any OI-based signal calibrated on pre-2024 data is calibrated on a different distribution.
- Volume that previously spread across weekly and monthly contracts concentrated. Liquidity assumptions from the earlier period do not carry over.
If you are testing across it, split the sample at the change and report both halves. If your results only work on the earlier half, you have found something about the old market structure, not a strategy you can trade now.
How to test this properly
The comparison worth running is not “which is better” but “how differently does my specific strategy behave”.
- Take one strategy and one parameter set. Do not re-optimise per expiry type — that guarantees both look good and tells you nothing.
- Run it separately on weeklies and monthlies over the same calendar period, so market conditions are held roughly constant.
- Compare the distributions, not the totals. Two strategies with the same mean return and very different tails are not the same strategy.
- Split at November 2024 for BANK NIFTY, always.
- Filter on traded volume rather than assuming fills. This bites harder on weeklies.
All of it needs per-contract history for contracts that have already expired — which is the awkward part, since live option chains drop contracts at settlement. The MoneyTicks archive keeps them: NIFTY and BANK NIFTY from August 2021, including every BANK NIFTY weekly that traded before the discontinuation.
The harness, including the survivorship and fill traps that make options backtests lie, is in backtesting an options strategy in Python.
What to take away
Weeklies and monthlies differ in decay profile, open-interest distribution and liquidity — enough that results from one do not transfer to the other. BANK NIFTY’s weekly discontinuation in November 2024 is a hard structural break that any multi-year backtest has to handle explicitly.
And the general point underneath both: market structure changes, and a backtest that silently averages across a change is answering a question nobody asked.
Frequently asked questions
What is the difference between weekly and monthly options expiry?
Weekly contracts have days of life remaining rather than weeks, so their time value decays far faster and concentrates into the final sessions. Monthly contracts accumulate open interest over a longer horizon and behave more smoothly. Both trade on the same underlying, but the risk profile of the same strategy differs substantially between them.
Does BANK NIFTY still have weekly expiries?
No. Weekly BANK NIFTY expiries ended in November 2024 — the last one recorded in the MoneyTicks archive is 13 November 2024, after which only monthly contracts appear. NIFTY retained its weekly expiry.
Why did NSE reduce the number of weekly expiries?
SEBI moved to rationalise index derivatives in late 2024, limiting each exchange to a single weekly index expiry. The stated concern was retail losses concentrated in short-dated options. The effect was that BANK NIFTY, FINNIFTY and MIDCPNIFTY weeklies were discontinued.
Can I backtest a strategy across the weekly expiry change?
Yes, but handle it explicitly rather than averaging over it. It is a structural break — the instrument a weekly strategy traded simply stops existing after November 2024. Aggregate statistics spanning the boundary mix two different market structures.
Which expiry is better for selling options?
There is no universal answer, and anyone who gives one is guessing. Weeklies offer faster decay and correspondingly less time to be wrong; monthlies decay slower with more room to manage. The honest approach is to test both on recorded data across several volatility regimes rather than accept a rule of thumb.