A new study shows that 59.4% of NSE single-stock futures volume occurs during the four-day expiry window. This heavy concentration means average daily volume can be misleading, creating a liquidity gap for investors on normal trading days. Traders often see high average volumes, but median activity—a better measure of daily liquidity—is significantly lower, which can increase the risk of poor trade execution outside the expiry week.
Investors tracking the NSE single-stock futures market may need to look beyond headline volume numbers to understand true liquidity. A study by market analytics firm Vtrender reveals that 59.4% of the trading volume for the top 100 single-stock futures in September 2026 occurred during the four-day expiry window. This concentration has increased from 55% in August, suggesting that much of the reported monthly volume is driven by the mandatory rollover of derivative contracts rather than consistent daily interest.
The findings highlight a significant gap between average and median volume metrics. While the combined average daily activity for these top 100 contracts reached 11.40 lakh, the median volume settled at only 6.59 lakh. This discrepancy suggests that many stocks appear highly liquid when looking at monthly averages, but effectively go quiet during the rest of the month. Traders who rely solely on average daily volume figures might overestimate the ease of entering or exiting positions during non-expiry periods, leading to potential execution challenges.
Liquidity patterns vary widely across different stocks. Some companies, such as PB Fintech, show massive rollover multiples of 15.7 times, meaning volume during the expiry window is vastly higher than during regular trading days. In contrast, stocks like Solar Industries and Paytm display much more consistent trading patterns throughout the month, with rollover multiples of 1.9 and 2.0 respectively. Even large-cap leaders such as HDFC Bank, Reliance Industries, and Infosys see their daily median volumes drop notably below their headline averages, indicating that no stock is entirely immune to this expiry-driven skew.
Market volatility dynamics also shifted during this period. Implied volatility in the derivatives market, which spiked above 90 in August due to uncertainties surrounding the new Closing Auction Session (CAS) mechanisms, showed a cooling effect in September. As traders and the market infrastructure adjusted to the potential 3% move cap and the new settlement environment, volatility levels became more moderated. Understanding these shifts and the concentration of volume is essential for traders to assess true liquidity and manage execution risk effectively. The key takeaway for investors is to differentiate between consistent daily participation and the temporary volume surge that arrives only at month-end.