BankNifty options

Calendar

Whether particular days of the week, months, or scheduled events (like the Union Budget) behave differently from an ordinary session.

6 ideas registered in this family: 1 candidate, 4 rejected, 1 excluded.

Each bar is that one pattern's own measured change, labelled with what was measured — never a portfolio return — so only compare bars that share the same label; green rose, red fell.

january iv higher Candidate

What was actually tested (written down before the result was seen)January carries elevated implied volatility relative to the rest of the year, ahead of the Budget.

This is not proven to repeat.

Happened 335 times in 16 years — about 21 times a year.

It went the expected way 86 times out of 147.

It looked real on the years used to find it, but did not hold up on later years it had never been tested against. Treat it as not proven.

The range of plausible values includes zero, which means the effect could be real or could be nothing at all.

Only 48.6% of the option contracts involved had a usable, screened price on the days this happened, so this rests on a thin slice of the market.

prior	higher	family	calendar
n (in-sample)	188	n (out-of-sample)	147
effect IS	6.0%	effect OOS	5.1%
baseline IS	2.1%	baseline OOS	3.3%
went predicted direction (IS)	55.3%	went predicted direction (OOS)	58.5%
p (IS)	0.0035	p (OOS)	0.2609
q-value (BH)	q = 0.2609	chain coverage	48.6%
95% CI (OOS, excess over baseline)	[-1.4%, 5.1%]

regime	n	effect	matched
R1	123	5.0%	55.3%
R2	170	6.8%	55.9%
R3	42	2.6%	64.3%

verdict reason: held in sample, not out of sample (p=0.261)

budget day iv crush Rejected

What was actually tested (written down before the result was seen)Implied volatility collapses immediately after the Union Budget, once the event risk it was pricing has passed.

This does not repeat.

Happened 16 times in 16 years — about once a year.

It went the expected way 5 times out of 7.

This happened too rarely to test at all -- there is not enough data to say whether it repeats or not, in either direction. It did not pass: only 7 out-of-sample events, need 30

This has been seen only 2 times in the current era, since weekly expiries were abolished, too few to know whether it still holds now that weekly expiries are gone.

The range of plausible values is wide, so the size of the effect is much less certain than its direction.

Only 7 recent examples, which is a small number to draw a confident conclusion from.

prior	lower	family	calendar
n (in-sample)	9	n (out-of-sample)	7
effect IS	9.9%	effect OOS	-7.9%
baseline IS	3.1%	baseline OOS	3.4%
went predicted direction (IS)	66.7%	went predicted direction (OOS)	71.4%
p (IS)	0.2218	p (OOS)	0.0633
q-value (BH)	q = 0.0791	chain coverage	57.1%
95% CI (OOS, excess over baseline)	[-17.1%, -5.0%]

regime	n	effect	matched
R1	6	-4.3%	83.3%
R2	8	10.0%	50.0%
R3	2	-10.1%	100.0%

verdict reason: only 7 out-of-sample events, need 30

friday iv lower Rejected

What was actually tested (written down before the result was seen)Implied volatility falls on Fridays as the weekend's non-trading days are discounted out of the premium.

This shows up in the data -- but in the opposite direction from what was predicted.

Happened 745 times in 16 years — about 48 times a year.

It went the expected way 68 times out of 318.

This is not a case of no evidence: the data shows a real, statistically decisive effect, consistently across regimes -- but in the opposite direction from what was predicted before the data was checked. A pre-registered prediction that turns out backwards is rejected on its own declared terms, however strong the underlying effect. What was actually found: out-of-sample effect +0.0565 (baseline -0.0088, excess +0.0653) contradicts the declared prior 'lower'

Only 48.8% of the option contracts involved had a usable, screened price on the days this happened, so this rests on a thin slice of the market.

prior	lower	family	calendar
n (in-sample)	427	n (out-of-sample)	318
effect IS	4.2%	effect OOS	5.6%
baseline IS	-0.8%	baseline OOS	-0.9%
went predicted direction (IS)	25.3%	went predicted direction (OOS)	21.4%
p (IS)	<0.001	p (OOS)	<0.001
q-value (BH)	q = <0.001	chain coverage	48.8%
95% CI (OOS, excess over baseline)	[5.5%, 7.7%]

regime	n	effect	matched
R1	251	3.2%	27.9%
R2	410	5.9%	19.3%
R3	84	4.4%	32.1%

verdict reason: out-of-sample effect +0.0565 (baseline -0.0088, excess +0.0653) contradicts the declared prior 'lower'

march quarter end iv higher Rejected

What was actually tested (written down before the result was seen)Financial-year end in March raises implied volatility on a bank index.

This does not repeat.

Happened 309 times in 16 years — about 20 times a year.

It went the expected way 73 times out of 131.

There is no evidence this repeats. It did not pass: not significant in sample (p=0.840)

The range of plausible values is wide, so the size of the effect is much less certain than its direction.

Only 48.2% of the option contracts involved had a usable, screened price on the days this happened, so this rests on a thin slice of the market.

prior	higher	family	calendar
n (in-sample)	178	n (out-of-sample)	131
effect IS	2.1%	effect OOS	14.2%
baseline IS	2.4%	baseline OOS	2.3%
went predicted direction (IS)	52.8%	went predicted direction (OOS)	55.7%
p (IS)	0.8396	p (OOS)	<0.001
q-value (BH)	q = <0.001	chain coverage	48.2%
95% CI (OOS, excess over baseline)	[5.3%, 19.7%]

regime	n	effect	matched
R1	118	1.4%	50.8%
R2	156	10.6%	53.8%
R3	35	11.9%	65.7%

verdict reason: not significant in sample (p=0.840)

monday iv higher Rejected

What was actually tested (written down before the result was seen)Implied volatility rises on Mondays, as the weekend gap risk is priced back in.

This shows up in the data -- but in the opposite direction from what was predicted.

Happened 755 times in 16 years — about 48 times a year.

It went the expected way 106 times out of 325.

This is not a case of no evidence: the data shows a real, statistically decisive effect, consistently across regimes -- but in the opposite direction from what was predicted before the data was checked. A pre-registered prediction that turns out backwards is rejected on its own declared terms, however strong the underlying effect. What was actually found: out-of-sample effect -0.0169 (baseline +0.0081, excess -0.0250) contradicts the declared prior 'higher'

Only 48.2% of the option contracts involved had a usable, screened price on the days this happened, so this rests on a thin slice of the market.

prior	higher	family	calendar
n (in-sample)	430	n (out-of-sample)	325
effect IS	-1.4%	effect OOS	-1.7%
baseline IS	0.1%	baseline OOS	0.8%
went predicted direction (IS)	34.0%	went predicted direction (OOS)	32.6%
p (IS)	<0.001	p (OOS)	<0.001
q-value (BH)	q = <0.001	chain coverage	48.2%
95% CI (OOS, excess over baseline)	[-3.1%, -1.8%]

regime	n	effect	matched
R1	259	-1.4%	35.5%
R2	408	-1.7%	31.9%
R3	88	-1.4%	34.1%

verdict reason: out-of-sample effect -0.0169 (baseline +0.0081, excess -0.0250) contradicts the declared prior 'higher'

wednesday iv lower Excluded

What was actually tested (written down before the result was seen)Midweek sessions show no weekend effect and implied volatility drifts down with ordinary time decay.

This was not tested.

Not tested. This is not a rejection — the statistics needed to test it honestly are not available, so it was never run against the data. Reason on record: measures implied volatility, which is not directly observed but computed from an option's price using an assumed clock; this analysis counts calendar days while the market trades on business days; a zero-structure simulation containing no market behaviour at all -- constant true volatility, exact Black-76 prices on a random walk, no weekday effect planted -- reproduces this pattern's published effect almost exactly (simulated -1.25% vs published -1.97%) using only that calendar-day clock; and the effect weakens to insignificance (-1.97% to -0.45%, p 0.0001 to 0.067) under a trading-day clock, on the real data. Not tested -- not rejected on evidence.

No hit rate, frequency or range is given for this row because none was ever computed — treat every number here as absent, never as zero.

prior (as registered)	lower	family	calendar

No effect size, hit rate, p-value or confidence interval is shown here because none was ever computed — this hypothesis was not run, not run-and-rejected. Every number that would normally sit in this box is absent, never zero.