- The short (what changes Sep 1)
- Flow migration: NSE vs BSE
- Market-maker risk: Greeks & funding
- Broker ops checklist
- FAQ
The short
- When: From Sep 1, NSE weekly index expiry = Tuesday; BSE weekly index expiry = Thursday.
- Why it matters: Hedging calendars, funding rolls, and expiry-day liquidity split across the week.
- Immediate to-dos: Update contract masters, algos, and client comms; re-test risk engines and margin ladders.
Flow migration — where the tape could shift
NSE Tuesdays
- Higher passive & retail flow concentration early week.
- Expect tighter spreads in liquid strikes; faster decay windows.
BSE Thursdays
- Scope for MM-led price discovery; potential for wider opening spreads.
- Relative-value trades vs NSE weeklies and monthlies.
Watch cross-venue dislocations around macro prints and RBI/US data—Tuesday vs Thursday setups will behave differently.
Risk — Greeks & funding
| Risk bucket | What changes | Strategy |
|---|---|---|
| Gamma/Theta | Two peak-gamma days per week | Flatten late-day; re-bucket inventory to DTE ladders |
| Vega | Shorter shock absorption between expiries | Bump vol-of-vol; widen wings into events |
| Funding | Carry now spans Tue→Thu | Refit repo/SLB; align haircuts; watch T+0 pledge cut-offs |
| Basis/Spreads | Cross-venue/calendar spreads get busier | Automate parity checks; alert for stale quotes |
Broker ops checklist — ship before Monday
Systems
- Contract master & symbol mapping (Tue/Thu).
- Algo calendars (roll, stop, OCO) and expiry-day throttles.
- Risk engine: span/var params; peak margin snapshots aligned to new expiries.
Client comms
- Explainer banners/emails on new weekly expiries.
- Update option chains, payoff tools, and API docs.
- Desk script for Tuesday gap & Thursday squeeze scenarios.
Ops & funding
- SLB/repo lines extended; haircuts tested around Tue/Thu.
- Collateral pledge/withdrawal cut-offs updated across partners.
Controls
- Intraday exposure caps & kill-switches tuned for two peak days.
- Surveillance for cross-venue spoof/marking at the close.
FAQ
- Do monthly expiries change? No—the shuffle is for weekly index expiries.
- What about stock options? Unaffected unless separately notified; re-check contract specs.
- Any margin changes? Same framework, but peak snapshots move with the new expiry days.