Greeks vs Expiry Curve — How Each Greek Changes as Time Runs Out
Delta, Gamma, Theta, and Vega all shift dramatically in the last week of an option's life. Knowing the curve is essential for selling premium into expiry.
Greeks evolve dramatically in the last week of an option's life. The same option that had quiet Greeks 30 days from expiry has explosive Greeks by the day-of. Understanding this curve is the difference between profitable expiry-day trading and getting blown up by a tiny move.
Each Greek follows its own time-to-expiry curve. This chapter walks through what happens to each one as the calendar pages toward 0 DTE.
Delta — compresses toward 0 or 1
Far from expiry, Delta values are smoothed across strikes — a 0.50 ATM call might smoothly grade to 0.30 and 0.70 at strikes 5% OTM and ITM.
Near expiry, Delta becomes step-functional. ITM strikes converge to ±1.0 (the option behaves identically to the underlying). OTM strikes converge to 0 (no chance of going ITM in the remaining time).
Practical: a 5%-OTM option that had Delta 0.20 a month ago may have Delta 0.05 the day before expiry. Don't expect the same directional bang for the buck from OTM options near expiry as you'd get earlier.
Gamma — explodes at ATM, collapses elsewhere
Gamma is the Greek that changes most dramatically with time-to-expiry. With 30 days left, ATM Gamma is moderate and spread across nearby strikes. With 1 day left, Gamma at ATM can be 10x higher and concentrated almost entirely on the ATM strike itself.
OTM and ITM strikes see Gamma collapse near expiry — they're either certain to expire worthless or certain to be assigned, so their Delta doesn't change much with small underlying moves.
The practical implication: expiry-day options are 'binary' near the ATM strike. A 50-point underlying move past the strike can flip a 0.50 Delta to a 0.95 Delta. Any short ATM position is sitting on a knife edge.
Theta — geometric acceleration
Theta isn't constant either. With 30 days left, daily Theta might be 1-2% of premium. With 7 days, 3-5%. With 2 days, 15-25%. With 1 day, the final 30-60% of remaining time value evaporates.
Note this isn't Theta per day — it's Theta as a percentage of the remaining option value. The absolute Theta number on your screen looks similar day-to-day, but the underlying option price is also smaller, so the percentage decay accelerates.
For option buyers: this is why holding ATM options into expiry day costs so much. For option sellers: this is the source of the edge — Theta you collect in the last 2 days exceeds Theta from the prior 4 weeks combined.
Vega — collapses to zero
Vega is roughly proportional to time-to-expiry. A 30-day option has 4x the Vega of a 7-day option (per strike, per spot). At expiry, Vega goes to zero — IV no longer matters once the option's settling at intrinsic value.
Practical: don't trade IV expansion using expiry-day options — the Vega is too small to capture meaningful gain even if IV doubles. For IV-regime trades, use monthly options where Vega is meaningful.
Common misreads
- Assuming Greeks are properties of the option, not the time-to-expiry. Same strike + same spot but different DTE produces wildly different Greeks.
- Holding short expiry-day options through major news because 'Theta is high.' High Theta also means high Gamma — and news can move the underlying past your strike in seconds.
- Closing positions a day early 'to be safe'. Often the right call. The penultimate-day Theta is usually worth less than the avoided final-day Gamma stress.
Key takeaways
- Delta: smooth far from expiry, step-functional near expiry.
- Gamma: explodes at ATM, collapses elsewhere as expiry approaches.
- Theta: accelerates geometrically — last 2 days dominate.
- Vega: proportional to time-to-expiry — near-zero on expiry day.
- Re-evaluate every position fresh each day in the final expiry week.
Expiry-week Greeks shifts
Why does the same option I bought a week ago feel so different now?
Because all four Greeks have shifted dramatically. Delta has either grown (if you went deeper ITM) or shrunk (further OTM). Gamma is much higher. Theta is faster. Vega is smaller. It's effectively a different instrument, even though the strike, expiry, and underlying haven't changed.
Is there a safe way to hold options through expiry day?
Yes, if they're far enough OTM. A strike 3-5% OTM at start-of-day on expiry day is unlikely to suddenly go ITM unless there's major news. Risk is minimal for both buyers (worthless expiry, just lose premium) and sellers (collect full premium decay).
Should I always close before expiry?
For ITM positions: yes, always — STT on auto-exercise will eat you. For OTM positions you sold: usually let them expire worthless to capture full premium with no exit STT. For OTM long positions: closing usually costs you a few rupees of remaining time value; not closing means it goes to zero. Close if you can salvage anything; let go if not.
How do I price weekly options correctly given the Greeks shifts?
Use a Greek calculator that takes current IV, days-to-expiry, and risk-free rate as inputs (Strota's strategy builder does this). Comparing 'fair value' from the calculator to market price tells you whether the option is rich or cheap — which is more useful than trying to memorise typical premium levels.