I usually sell ATM or near-ATM options on expiry day for intraday trading. Zerodha’s policy of enforcing limit orders creates problems when the market opens with a significant gap up or gap down.
For instance, today, the Midcap Nifty opened at 9900 levels, up from Friday’s 9767 level. The 9900 PE had less than 500 open interest.
Before the market opened, I included selling Midcap 9900 CE and PE options in a basket. It indicated that the 9900 PE had fewer than 500 lots, but I was confident it would surpass that within seconds of the market opening. Hence, I placed both as market orders.
Around 9:16 AM, I executed a 9900 straddle. The CE was sold, but the PE failed, prompting a requirement for a limit order. Consequently, I had to cancel all executed legs, convert to a limit order, and execute, resulting in a minor loss due to price movements.
Moreover, I’m certain that the 9600 PE had more than 500 lots in open interest at that time since it was ATM. Therefore, I request allowing the execution of ATM and near-ATM strikes as market orders, at least on expiry day. Alternatively, improving the speed of open interest checks and enabling market orders within seconds of it crossing 500 lots would be beneficial.