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There is no universal “F&O margin.” Your requirement depends on the contract, expiry date, portfolio, price and volatility scenarios, and current exchange risk files. Before holding anything into expiry, verify the active NSE contract specification, current SPAN and other margin parameters, your broker’s notices, and that you can provide the required cash or securities.
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This guide is limited to Indian equity derivatives cleared through the National Stock Exchange of India (NSE). Rules for currency, commodity, overseas or other exchanges can differ.
What does expiry mean in F&O trading?
Expiry is the final trading and settlement date written into a derivative contract. After that date, the contract no longer trades in its expiring form. The exact date is not identical for every product: NSE’s contract-specification page lists Tuesday of the expiry period for the covered index and individual-security equity derivatives, with the preceding trading day used if Tuesday is a market holiday. Different products can have different weekly or monthly cycles, so do not infer an expiry from a familiar index calendar.
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Use the live contract calendar and the relevant NSE circular for the instrument you actually hold. A broker’s trading screen may show an expiry date, but the exchange specification and current circular are the authoritative references for the contract.
Expiry date versus settlement date
Expiry is when trading in the contract ends and the final obligation is determined. Settlement can occur through a cash payment, or through delivery and receipt of securities and funds where physical-settlement rules apply. The time between expiry and completion of delivery can create additional margin requirements.
What happens to futures and options at expiry?
| Position | What the NSE settlement description says | What you must verify |
|---|---|---|
| Index future | Expiry profit or loss is settled in cash; the position ceases to exist after expiry. | Final settlement value, applicable margins and the active contract specification. |
| Future on an individual security | NSE describes cash settlement of futures expiry profit or loss, while its separate physical-settlement material sets out delivery obligations for equity derivatives. | Whether the specific stock contract is subject to delivery, delivery timelines and the broker’s process. |
| Index option | An in-the-money option at the close is automatically exercised and exercise settlement is cash-settled. | The contract’s moneyness at the official close, final settlement value and current exchange circulars. |
| Option on an individual security | NSE’s settlement page describes automatic exercise of in-the-money options and cash exercise settlement; its physical-settlement FAQ separately addresses delivery obligations and delivery margin for equity derivatives. | The current stock-option specification, delivery obligation, funds or shares required, and settlement timetable. |
Futures: cash profit or loss is not the same as ignoring margin
At expiry, the final profit or loss on a future is settled through the clearing system and the expiring position disappears. That does not remove mark-to-market debits, initial margin, extreme-loss margin (ELM), or any delivery-related requirement that applies to the contract. A futures trader can therefore face a cash call before the final settlement date even when the original trade was profitable on paper.
Options: automatic exercise can surprise a buyer
Under the NSE framework, an in-the-money option at the official close is automatically exercised. An option bought for a small premium is not automatically harmless to hold: an in-the-money result can create a settlement obligation. An out-of-the-money option normally expires without exercise value, but the exact treatment is governed by the active contract terms.
Do not decide solely from the last traded price. The exchange’s official closing or settlement value, not an arbitrary intraday quote, determines whether the option is in the money. Check the contract specification and your broker’s expiry-day notice for cut-off times and exercise handling.
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What is physical settlement?
Physical settlement means that the obligation is completed by delivering or receiving the underlying securities and the corresponding funds, rather than paying only a net cash difference. In an equity derivative on an individual share, a trader with a delivery obligation must have the required shares available; a trader entitled to receive shares must have enough cash and an eligible account arrangement.
Physical settlement is different from an index contract, whose underlying is a calculated index rather than a deliverable basket of shares. It is also different from the cash profit or loss shown during the life of a future. Product rules can change, so use the current NSE contract specification rather than assuming every stock future or option has the same outcome.
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Delivery margin and the settlement window
NSE’s physical-settlement FAQ says delivery margin applies from expiry until settlement or early pay-in. The client’s daily margin statement should include this amount in total upfront margin. The FAQ also says securities receivable through physical settlement cannot be used for a margin-trading facility. In practical terms, shares that you expect to receive cannot be counted as immediately available collateral for another position.
The amount of delivery margin is contract- and position-specific; the cited material does not establish one percentage that applies to every security. Your broker can also require funds or securities earlier than the final exchange deadline under its risk policy.
A simple delivery sequence
- Identify the obligation. Confirm whether your expiring stock future or option leaves you delivering shares, receiving shares, paying funds, or receiving funds.
- Check the exchange timetable. Note expiry, settlement and any early-pay-in windows in the current NSE circular.
- Review the margin statement. Look for delivery margin and any crystallized obligation in addition to ordinary SPAN and ELM.
- Arrange resources. Transfer eligible funds or securities early enough for broker and clearing cut-offs.
- Close or reduce the position if you cannot settle. Do not rely on a last-minute square-off; liquidity, price limits or a broker’s risk action can prevent it.
How is F&O margin calculated?
NSE uses SPAN, a portfolio-based risk system. As the exchange explains, “The objective of SPAN is to identify overall risk in a portfolio of futures and options contracts for each member.” SPAN scans defined combinations of price and volatility changes, calculates the resulting portfolio losses, and uses the largest loss among those scenarios as the scanning risk charge. Risk-parameter files are supplied daily, so the requirement can change even when you do not trade.
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Initial margin and the 99% VaR reference
NSE’s current equity-derivatives margin description refers to initial margin based on 99% value at risk (VaR) over a one-day horizon. It describes a two-day horizon in a futures circumstance where mark-to-market settlement may not be collected before the next day’s trading. These are exchange calculation conventions, not a prediction that a particular trade will lose only one day’s move.
Other components that can be collected
| Component | Purpose or published parameter | Important qualification |
|---|---|---|
| SPAN scanning risk charge | Largest loss from the defined price and volatility scenarios for the portfolio. | Depends on positions and the daily risk-parameter file; no stable universal amount. |
| Extreme-loss margin (ELM) | NSE’s cited equity page lists 2% of notional for index derivatives and 3.5% for stock derivatives. | Changeable exchange parameters; special cases can apply to certain short options. |
| Delivery margin | Applied from expiry through settlement or early pay-in when physical-settlement rules require it. | Amount and timing depend on the contract and obligation. |
| Margin on crystallized obligation | Additional amount associated with an obligation that has crystallized at expiry. | The cited member FAQ refers to collection by T+1 and a 2025 timing amendment; verify current implementation. |
NSE says SPAN and ELM are collected upfront from F&O clients. Its member FAQ describes delivery margin and margin on consolidated crystallized obligation as collected by T+1 under the cited timing framework. Because these rules and parameters can be amended, treat the 2%, 3.5%, 99% VaR and T+1 references as dated exchange descriptions, not permanent promises or a quote for your account.
Why can margin rise near expiry?
Several independent effects can increase the amount blocked in your account:
- Volatility scenarios change. A larger scan loss raises SPAN even if your position size is unchanged.
- Portfolio offsets disappear. Closing a hedge or allowing a correlated leg to expire can remove a margin benefit.
- Delivery requirements begin. A stock derivative approaching or passing expiry can attract delivery margin.
- Unpaid mark-to-market accumulates. A losing futures position can consume available funds before final settlement.
- Obligations crystallize. The settlement amount may be treated separately from ordinary initial margin.
For that reason, an online “margin calculator” result is only a snapshot. It is not a guaranteed expiry-day requirement unless it reflects the same contract, portfolio, date and current exchange risk file.
Can a broker square off my position?
Broker square-off policies are not uniform, and the official material cited here does not establish one broker’s trigger, notice period or charge. A broker may impose an earlier internal cut-off, close a position when available margin falls below its threshold, or refuse to carry a position that could create delivery obligations.
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Read the broker’s risk-disclosure and expiry notices for the exact product. Confirm whether an automatic square-off is attempted, what happens if the order fails, and whether the client remains responsible for a resulting loss, delivery shortfall or other charge. Never assume that a position will be closed automatically merely because it is close to expiry.
Independent reader supportYour contribution helps us test, update, and keep practical guides available for everyone.Index contracts versus individual-security contracts
| Decision point | Index derivative | Individual-security derivative |
|---|---|---|
| Underlying | A published stock-market index. | A specific listed share. |
| Settlement concern | Index options are described as cash-settled on exercise; index futures have cash expiry profit or loss. | Check for physical-delivery obligations and delivery margin under the active stock contract. |
| Expiry calendar | Product-specific weekly or monthly cycle; Tuesday rule applies to the covered NSE specification unless it is a holiday. | Contract-specific cycle and holiday adjustment; do not assume it matches an index. |
| Margin | SPAN, ELM and other applicable amounts based on portfolio risk. | The same risk framework, potentially plus delivery margin and crystallized obligations. |
| Resources at expiry | Usually cash for settlement debits or credits. | Potentially both cash and eligible shares, depending on the obligation. |
Neither structure is automatically safer. The relevant question is whether you understand the settlement outcome and can fund it under adverse price and volatility moves.
Key risks of holding through expiry
Leverage and gap risk
A derivative controls a larger notional exposure than the cash paid as premium or margin. An overnight or expiry-day gap can therefore create a debit that is much larger than the funds initially set aside.
Liquidity and execution risk
Near expiry, spreads can widen and order-book depth can fall. A limit order may not fill before a broker cut-off, while a market order can execute at an unfavorable price. A theoretical offset is not a guaranteed exit.
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A stock position that becomes deliverable can require shares or cash within a short settlement window. Failure to provide either can lead to penalties, forced action or losses under the applicable clearing and broker procedures.
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Model and parameter risk
SPAN uses scenarios, not a promise about the next price. Exchange risk files, ELM rates and delivery parameters can be revised. A margin buffer based on yesterday’s figure can become inadequate today.
Operational risk
Corporate actions, trading holidays, blocked securities, bank-transfer delays and an incorrect product selection can all change the practical outcome. Verify every leg and settlement instruction rather than relying on memory.
Expiry-day checklist
- Record the exact symbol, contract type, strike, expiry and quantity.
- Confirm the current NSE calendar and whether a holiday moved the expiry to the previous trading day.
- Read the contract’s settlement description and determine whether delivery is possible.
- Download the latest margin statement and identify SPAN, ELM, delivery margin and crystallized-obligation amounts.
- Stress-test available cash and securities against a further adverse move and any broker buffer.
- Check the broker’s square-off, exercise and settlement cut-offs in writing.
- Close, roll or retain the position only after deciding how the resulting obligation will be funded.
- Keep records of confirmations and settlement entries after expiry.
What the official dates and figures do—and do not—tell you
The NSE settlement page cited for the cash-exercise description was updated on 3 January 2023, so operational details should be checked against newer circulars before relying on them. The 99% VaR reference and the 2% index-ELM and 3.5% stock-ELM figures come from the current equity-derivatives margin material accessed in 2026, but they remain changeable parameters. They are not typical retail-loss statistics, and no source establishes a guaranteed maximum loss or a standard customer margin.
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Tax treatment, brokerage and exact broker charges are separate questions. Historical references in older physical-settlement material should not be treated as current tax advice; consult current exchange, regulator and tax-authority information for those issues.
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