7.4 Index futures in India

7.4.1Contract specifications#

All values below are as of 5–6 Nov 2026; check the NSE contract specification pages before relying on them.

Item	Nifty 50 futures	Nifty Bank futures	Source
Lot size	65	30	NSE F&O bhavcopy, 5 Nov 2026 (NewBrdLotQty)
Previous lot size	75 (Nov 2024 – Dec 2025 contracts)	35	SEBI circular 1 Oct 2024; NSE circular NSE/FAOP/70616, 3 Oct 2025 (75 → 65 and 35 → 30 for contracts after the 30 Dec 2025 expiry; fetched 6 Nov 2026)
Contract cycle	3 serial monthly contracts (near, mid, far)	same	NSE contract specifications; bhavcopy shows Nov, Dec, Jan
Expiry day	Last Tuesday of the month; previous trading day if that is a holiday	same	NSE circular NSE/FAOP/68589 (17 Jun 2025): Tuesday for contracts expiring from 1 Sep 2025; observed expiries 23 Nov 2026 (Mon), 29 Dec 2026 (Tue), 25 Jan 2027 (Mon)
Settlement	Cash, against the final settlement price	same	NSE spec pages
Final settlement price	Index value on expiry day: the CAS-based close until 6 Dec 2026; from 7 Dec 2026 the index value computed from the constituents' VWAPs over the last 30 minutes of continuous trading	same	SEBI circulars of 16 Jan 2026 and 15 Oct 2026 (para 4.9)
Daily settlement price	VWAP of futures trades in the last 30 minutes	same	secondary sources; verify on NSE
Contract value at 5 Nov 2026 settle (Dec)	65 × 24,719.10 = ₹16.07 lakh	30 × 58,244.00 = ₹17.47 lakh	computed
Minimum contract value rule	₹15 lakh at launch, kept in a ₹15–20 lakh band at review	same	SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2024/132, 1 Oct 2024
STT	0.05% of the sell-side value (from 1 Apr 2026; was 0.02%)	same	Finance Act, 2026; NSE circular NSE/FATAX/73524, 31 Mar 2026 (fetched 6 Nov 2026)
Extreme loss margin (ELM)	2% of notional for index derivatives	same	NSE equity derivatives margins page (via search, Nov 2026)

Two scheduled changes are relevant. From 7 Dec 2026, index derivatives trade until 15:45, except that expiring index contracts stop at 15:30 on expiry day, and expiry settlement is based on the index value computed from the constituents' VWAPs over the last 30 minutes of continuous trading rather than on the closing-auction price introduced in August 2026 (SEBI circular HO/47/11/11(3)2025-MRD-POD2/I/23843/2026 of 15 Oct 2026, paras 4.2.4 and 4.9, fetched 6 Nov 2026; M01 · 1.2). The final settlement price has therefore been computed three ways within one year: from constituents' last-half-hour VWAP closes until 2 Aug 2026, from the closing auction from 3 Aug 2026, and from a 30-minute VWAP index value from 7 Dec 2026.

7.4.2Margins: SPAN and ELM#

The initial margin on an F&O position at NSE is the sum of two parts.

• SPAN margin. SPAN (Standard Portfolio Analysis of Risk, developed by CME) revalues the whole portfolio under a grid of scenarios and charges the worst loss. The scenarios combine price moves of fractions of a price scan range (up and down by one third, two thirds and the full range) with volatility up and down, plus extreme moves charged at a fraction of their loss: sixteen scenarios in the classic design. For a futures-only position, volatility does not matter and the charge is essentially the loss from a full price-scan-range move. For a portfolio, gains in one leg offset losses in another, which is why a calendar spread needs far less margin than either leg alone. NSE Clearing publishes the risk parameters daily as SPAN files. The exact NSE parameters are not reproduced here; read them from the files.
• Extreme loss margin (ELM), also called exposure margin. A flat percentage of notional, 2% for index derivatives at the time of writing, to cover moves beyond SPAN's scenarios.

Margins are variable. The clearing corporation raises them when volatility rises, which means a margin call can come from a rule change on a day when the price did not move against you. SEBI's 2024 framework added a further 2% ELM on short index options on expiry day and removed the calendar-spread margin benefit on expiry day (from 1 Feb 2025). Brokers may add their own buffer above exchange margins.

7.4.3Leverage arithmetic and margin calls#

Let $m$ be the margin as a fraction of notional: $M = mFQ$. The return on margin of a long position is

Leverage multiplies returns by $1/m$, in both directions. With $m = 10\%$:

• a 1% move in the Nifty is a 10% gain or loss on margin;
• a move of $-m$ (here −10%) wipes out the margin entirely;
• any larger move leaves the trader owing money to the broker.

On 23 Mar 2020 the Nifty fell 12.98% (NSE index file), and the near-month future settled 1,141.55 points (13.1%) below the previous day's settlement. At 10% margin a long would have lost 131% of margin in one session. Margin is not the maximum loss on a futures position; it is a one-day buffer sized for normal days.

Two statistical consequences link to M02 and M03. First, with daily index volatility around 1%, a 10% move is a "ten-sigma" event under a normal model and should essentially never happen; under the fat-tailed distributions of M02 (a Student-$t$ with 3 degrees of freedom, say) it is roughly a once-in-twenty-years event, and the Nifty had one on 23 Mar 2020 (Problem 7.12). Second, a position sized so that a plausible bad day consumes the margin has a non-trivial probability of ruin over a year (M03). The leverage of futures is a feature for hedgers, who have an offsetting position, and a hazard for speculators, who do not.

7.4.4Futures as financed stock; the cost of rolling#

So long futures plus cash replicate the index with its dividends: the total-return index. The futures premium $F_0 - S_0$ is not a fee charged to longs. It is the interest the long does not pay on the stock she does not buy, minus the dividends she does not receive.

Rolling A position that is to be held beyond one expiry must be rolled: sell the expiring contract and buy the next. The rupee cost of rolling a long position of $Q$ units is

On 5 Nov 2026, rolling one lot from Nov to Dec cost $65 \times (24{,}719.10 - 24{,}588.00) = \text{₹}8{,}521.50$, an implied net carry of 5.39% a year over the 36 days between expiries, or an implied financing rate of 6.81% after adding back the 1.42% dividend yield. If the long's alternative is to hold cash at repo-like rates, the roll is fair value plus a premium of about 1.3 percentage points a year over repo. That premium is the long futures holder's cost of leverage, and it is the return of the cash-and-carry arbitrageur on the other side.

Indian brokers publish a rollover percentage, the share of a contract's open interest that has moved to the next month by expiry, and a cost of carry figure (the annualised basis). Both are descriptive statistics about positioning. Neither has a published, robust predictive record, and both are mechanically affected by expiry-week dynamics (7.5).

7.4.5Costs of a futures round trip#

With a typical discount-broker fee of ₹20 per executed order (set your own) and the statutory and exchange rates of M01 · 1.7 (as of 6 Nov 2026), one lot of Nifty futures bought and sold at about 24,700 (turnover about ₹32.1 lakh) costs brokerage ₹40, STT 0.05% on the sell side (about ₹803), exchange charges 0.00183% of turnover (about ₹59), SEBI fees, stamp duty 0.002% on the buy side (about ₹32) and GST on brokerage and charges. The total is roughly ₹950, or about 15 index points. STT dominates. A strategy that trades Nifty futures daily for a 10-point average edge loses money after costs.