Expiry Pressure Index
A 0–100 reading of how hard the options book is pulling NIFTY, BANKNIFTY and SENSEX toward max pain as expiry approaches. Computed every session from our own open-interest archive — you will not find this number anywhere else.
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Higher means option open interest is stacked tightly around max pain and expiry is close. It says the book is crowded — not which way price goes.
An up arrow means max pain is above spot, so the book leans upward. Under 0.1% we show BALANCED, because a gap that small is just noise.
A far-dated contract scores low no matter how big the open interest, because there is no time for it to matter. That is the index working.
How the index is built
EPI is a weighted composite of four components, each scaled to 0–1 before being combined and rescaled to 0–100. Saturation points are calibrated against every option-chain snapshot in our archive rather than chosen by eye — an index that never reaches its own extremes is measuring nothing.
- Pin gap — 30%. Distance from spot to max pain as a share of spot. The further price sits from the pain point, the more ground the book “wants” closed. Saturates at 0.5%, because index spot sits within roughly 0.3% of max pain the large majority of the time.
- Open-interest concentration — 30%. Share of total OI in the five strikes nearest max pain. A book spread evenly across eighty strikes exerts almost no pull; one stacked on a handful is a wall. Measured range across our archive: 3% to 48%, median 22%.
- Time urgency — 25%. Days remaining to expiry. Positioning only resolves into price as theta bites, so the same book means far more on expiry day than a week out.
- Put-call ratio skew — 15%. Absolute deviation of PCR from 1.0. A balanced book has no directional lean; a skewed one does.
Weights are a stated judgement, not a fit. Four months of history is nowhere near enough to fit them without overfitting, and a fitted-looking number would imply a rigour we do not have. They are published here so anyone can disagree with them.
Frequently asked
What is the Expiry Pressure Index?
The Expiry Pressure Index (EPI) is a 0-100 score published by MarketsEasy that measures how strongly the options book is pulling an index toward its max pain level as expiry approaches. It combines four inputs: the gap between spot and max pain, how concentrated open interest is around max pain, how many days remain to expiry, and how skewed the put-call ratio is. A reading above 55 means positioning is unusually concentrated and time is short; a reading below 35 means the book is spread out or expiry is far away.
How is the Expiry Pressure Index calculated?
EPI is a weighted composite of four normalised components: pin gap (30%), the distance from spot to max pain as a share of spot; open-interest concentration (30%), the share of total open interest sitting in the five strikes nearest max pain; time urgency (25%), derived from days remaining to expiry; and put-call ratio skew (15%), the absolute deviation of PCR from 1.0. Each component is scaled to 0-1 against saturation points calibrated on MarketsEasy open-interest snapshots, then combined and rescaled to 0-100.
Does a high Expiry Pressure Index mean the index will move to max pain?
No. EPI is descriptive, not predictive. It measures how concentrated options positioning currently is, not what price will do. Max pain is simply the level at which option writers lose the least; price frequently expires away from it. Treat EPI as a measure of positioning, in the same way you would read a put-call ratio, and never as a trade signal on its own.
Which symbols and expiries does the index cover?
EPI is published for NIFTY, BANKNIFTY and SENSEX, computed on the nearest expiry held in the MarketsEasy open-interest archive. Readings are recorded from live NSE and BSE option-chain snapshots captured during market hours.
How often is the Expiry Pressure Index updated?
The page refreshes every five minutes during market hours from the latest option-chain snapshot. The historical series carries one reading per trading day, taken from the final snapshot of each session.
Can I cite or reuse the Expiry Pressure Index?
Yes. The index is free to read and free to cite with attribution to MarketsEasy and a link to this page. It is original data computed from our own open-interest archive and is not available from any other source.
Free to cite with attribution to MarketsEasy and a link to this page. Covering NIFTY, BANKNIFTY, SENSEX.