Lookback: How Nifty F&O traders navigated the June 2024 expiry

By the time the morning bell rang on Monday, June 17, 2024, the Nifty 50 had already done most of its work for the month. The index closed that session at 23,411.90, up about 0.32% on the day, but the more interesting print was sitting in the option chain: a wall of put writing at the 23,000 strike, call unwinding from the 23,500 ceiling, and a max-pain reading that had been quietly sliding upward toward 23,300 for four consecutive sessions. Ten trading days ahead of the June 27 monthly expiry, the option market had effectively built a 23,000 to 23,500 corridor and dared the spot to break it.

The setup was not random. It was the structural after-image of June 4, when the Lok Sabha results print had carved a 1,379-point intraday range into the Nifty, with the index trading from 23,338 down to 21,884 and back up to 22,234 by close. That single session reset every option position that had been stacked into election week and forced a complete rebuild of the open-interest landscape. By June 17, what option writers had constructed was a low-volatility, mean-reverting cradle that priced the entire two-week window of post-result drift at less than 250 points of expected move.

Weekly time-frame: the post-election rebound put Nifty back above 23,000 and inside a clean weekly bull structure with 20EMA reclaimed.

What set up the expiry

Three forces compressed into the same window. First, the post-election cooling-off: India VIX had spiked to 26.7 on June 3 (the highest reading since the 2020 COVID crash) and then collapsed to 12.8 by June 14, a 52% IV crush in eight sessions. That kind of vol contraction is rocket fuel for option sellers because the next leg of premium decay is almost free. Second, FII derivative positioning had flipped: from a net short index futures book of nearly 1.74 lakh contracts on May 31, FIIs were long 95,000 index futures by June 14. The institutional money that had been hedged into the result had unwound, and the leftover hedges were getting bought back into the calmer tape. Third, the Bank Nifty was running 0.6% ahead of the Nifty on a five-day basis, which historically tightens the index correlation and makes pinning easier.

Open interest told the same story. At the 23,000 PE strike, OI had built from roughly 80,000 contracts on June 10 to over 1.1 lakh contracts by June 17, a 38% addition in five sessions. The 23,500 CE strike, by contrast, had OI shedding from 95,000 contracts to 71,000 in the same window, a textbook signature of call unwinding by writers turning bullish or by buyers cutting losses as the spot grinded sideways. The 23,200 to 23,400 zone, where the spot was trading, had relatively thin OI on both sides. Every option theorist will tell you what that combination means: max pain wants to drift up into the lighter zone, and the writers will push it there if the spot does not fight them.

Strike pinning behaviour and max pain accuracy

The pinning behaviour through the back half of June was unusually clean. On June 17 itself, max pain calculated off the morning option chain printed at 23,300. By the close on June 21, max pain had migrated to 23,350. By June 25, two days before expiry, the calculation showed 23,400. The spot finished those three sessions at 23,465, 23,501, and 23,721 respectively, a modest overshoot that compressed back into 23,500 by the June 27 settlement (final settlement price 23,569 on the spot, with an option-implied close of approximately 23,520 once you weight the OI distribution at the 50-paise tick).

That kind of max-pain creep is what active F&O traders learn to read as a friendly tape. When max pain is trending one direction at one to two strikes per week and the spot is following with a modest premium of 50 to 100 points, you have an environment where short-strangle positions and iron condors at the 22,800 PE / 23,800 CE wings can run for full credit. The historical analog that worked here is the August 2023 monthly expiry: same post-event vol crush (after RBI's August 10 policy decision), same pattern of max-pain drift higher, same outcome where 0.6 standard-deviation strangles expired worthless. Traders who recognised the parallel could lift size on June 17 with a documented base rate behind the trade.

The pinning behaviour also exposed the difference between weekly and monthly expiry mechanics. The weekly expiry on June 20 (Thursday) settled at 23,567, almost exactly on the 23,500 CE strike. That precision is unusual for a Thursday weekly without explicit defence, but on June 20 there was visible defence: 23,500 CE OI added 18,000 contracts in the last 90 minutes against modest spot weakness. Whether that was institutional max-pain hunting or coincidence, the prints were tradable in real time for anyone watching the OI ladder. The monthly settlement a week later was less tightly pinned because by then the next-month positions had begun to dominate the chain.

Daily frame: post-election recovery left price between 20DMA and 50DMA, with RSI cooling from 71 on May 31 to 58 by June 17, exactly the calmer regime option sellers wanted.

PCR and IV crush dynamics

The Put-Call Ratio (volume) peaked at 1.34 on June 4 (election day, fear extreme) and bottomed at 0.71 on June 13 (post-election complacency extreme). By June 17 it had recovered to 0.94, which historically reads as the "neutral with a slight bullish lean" zone. The OI-based PCR was even more telling. It had compressed from 1.18 on June 5 to 0.86 by June 17, meaning that put OI was being shed faster than call OI. That is the opposite of what happens before a real downside event, where put OI typically swells against stable or rising call OI.

The IV term structure flattened dramatically through this window. The 14-day IV on the at-the-money June straddle was 13.1% on June 17, down from 24.8% on June 3. The 28-day IV was 13.6%, only 50 basis points higher. A flat term structure of that kind tells you the market is pricing a sustained low-vol regime, not just a near-term lull. Option buyers who entered straddles or long calls during this window were effectively paying full vol for a market that the chain itself was telling them would not move.

The IV crush had a specific cohort of victims. Anyone who held long-call positions purchased between June 5 and June 10, when premiums were inflated by lingering result-week vol, lost roughly 35% to 50% of their premium even on flat to mildly positive spot moves. The 23,500 CE that traded at ₹312 on June 6 was worth ₹164 by June 17 with the spot only 138 points lower than the strike. That is the kind of math that makes new F&O traders think the broker is cheating them, when in fact they bought the wrong instrument for the regime.

FII vs retail positioning divergence

The cleanest divergence in the June 2024 expiry was in derivative positioning. FII index option net long built from 65,000 contracts on June 4 to 1.42 lakh contracts by June 17, a 118% expansion. Retail (proxy: client category in NSE participant data) shed long-call positions from 2.31 lakh contracts to 1.78 lakh, a 23% reduction, while building long puts from 84,000 to 1.05 lakh contracts. In other words, the smart money was getting long calls into the IV crush, and the retail was getting long puts into the same crush. Both could not be right.

By the June 27 settlement, the FIIs were paid handsomely on their option longs (the 23,400 CE that anchored most of their position settled at intrinsic value of ₹169 against entry around ₹95). The retail puts expired worthless or near-worthless, with the 23,000 PE that had attracted retail buying at ₹120 to ₹140 settling at zero. This is the same divergence pattern the SEBI 2023 retail F&O loss study had documented at the aggregate level, replayed cleanly across one expiry cycle.

The lesson for the working trader is not "fade retail blindly," because retail positioning often gets the direction right at extremes and only loses on premium decay. The lesson is "respect the IV regime." When realised vol is collapsing inside a contracting OI corridor, the option you want to be long is the one with the lowest theta exposure and the highest delta sensitivity, which usually means deep ITM calls or short-tenor futures. The 23,200 ITM call on June 17 traded at ₹245 and settled at ₹369, a 50.6% return on capital with very modest theta drag. The same directional view expressed via 23,600 OTM calls returned 8% net of decay.

Intraday frame: the half-hour bars through the back half of June showed orderly trend with volume tapering into expiry, the visual signature of a passive, sideways tape.

Historical analog: August 2023 and February 2024

Two prior expiries deserve specific mention because they ran the same script. The August 2023 monthly expiry (August 31 settlement) followed the same template: a high-event month (RBI policy on August 10), a sharp IV spike to 14.6%, a five-day crush back to 10.8%, and a max-pain drift of 19,500 to 19,650 over the back-half of the month. Spot settled at 19,623, almost exactly on max pain. Strangle sellers at 19,300 PE / 19,900 CE captured 100% of the credit on positions opened around August 18.

The February 2024 monthly expiry (February 29 settlement) was a less perfect analog but still relevant. That cycle had a similar post-event setup (after the February 8 RBI policy and the Interim Budget on February 1), with India VIX falling from 16.0 to 12.5 across the month and max pain creeping from 21,800 to 22,100. Spot settled at 21,983, a 117-point overshoot that still left iron condors at 21,500/22,500 wings profitable.

The June 2024 expiry was, in this sense, the third instance of a recognisable pattern: a high-event month that produces a vol spike, followed by a multi-week crush that lets writers operate inside a tightening OI corridor, with spot settling within 100 points of the trending max pain. The base rate across these three instances is 100% for short-strangle profitability at one standard deviation wings, which is a small sample but a directionally clean one. Anyone who had documented the August 2023 trade in their journal had a templated playbook for June 2024.

What the expiry told us about the following week

The clearest read out of the June 27 settlement was that the 23,500 to 23,600 zone had become a structural pivot, not a ceiling. The way OI rebuilt on the morning of June 28 was telling: 23,500 CE shed another 22,000 contracts (writers either rolling up or stepping aside), while 23,800 PE picked up 31,000 contracts of fresh writing. The next monthly chain (July 25 expiry) opened with max pain at 23,700, almost 200 points above where June had finished. That was the option market voting for continuation.

The first week of July validated that read. Nifty traded from 24,012 (open July 1) to 24,302 (close July 5), a clean 290-point upmove with virtually no drawdown. Anyone who had recognised the OI rebuild on June 28 and held a small directional long into early July was paid in full. That continuation phase ultimately ran into the July 25 monthly expiry where the spot printed 24,406, and only after that did the tape begin to wobble into the August 5 yen-carry-trade global selloff.

The trader's discipline lesson from this entire arc is to read OI rebuilds with the same seriousness as candlestick patterns. The morning after expiry tells you what the next month wants to do, and June 28 to June 29, 2024 told a clear story.

VERDICT

Stance: NEUTRAL Horizon: 1mo (post-expiry continuation through to July 25)

The June 2024 expiry was a textbook execution of the post-event vol-crush playbook. Max pain anchored the spot inside a tightening OI corridor, IV collapsed by more than half, FII option longs were paid while retail option longs were squeezed, and the next-month chain rebuilt at higher strikes signalling continuation. The honest verdict is neutral on direction with a positive lean for option sellers, because the math of the regime favoured premium collection, not directional speculation.

The counterfactual is worth stating clearly. If the FII index futures position had still been net short into June 17 (instead of having flipped long by June 14), the same option chain setup would have read as a bearish trap. The vol crush would have been the same, but the spot would likely have failed at 23,500 instead of pinning above it. The risk to this whole framework is that you cannot read the IV crush in isolation from positioning. The June 2024 expiry worked because both signals pointed the same way. When they diverge, you respect the futures positioning and let the option premium go uncollected for that cycle.