9.10 India specifics (as of 6 Nov 2026)
Foundation about 10 min
9.10.1Rules in force#
| Item | Rule | Effective | Source |
|---|---|---|---|
| Nifty lot size | 65 (Bank Nifty 30) | contracts expiring after 30 Dec 2025; confirmed in the 5 Nov 2026 bhavcopy | NSE F&O bhavcopy; NSE circular reported as FAOP70616 (3 Oct 2025) |
| Weekly expiry | Nifty only on NSE, on Tuesday; moves to the previous trading day if Tuesday is a holiday. Sensex weekly on BSE on Thursday | 1 Sep 2025 | SEBI circular SEBI/HO/MRD/MRD-TPD-1/P/CIR/2025/76 (26 May 2025); NSE circulars NSE/FAOP/68589 and 68747 (Jun 2025) |
| One weekly benchmark per exchange | Bank Nifty, Fin Nifty and others lost weeklies | 20 Nov 2024 | SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2024/132, 1 Oct 2024 |
| Minimum contract value | ₹15 lakh at launch (band ₹15–20 lakh) | 20 Nov 2024 | same circular |
| Extra ELM on expiry day | additional 2% extreme loss margin on short index options on their expiry day | 20 Nov 2024 | same circular |
| Upfront premium | option premium collected upfront from buyers | 1 Feb 2025 | same circular |
| Calendar-spread benefit | removed on expiry day for positions involving the expiring contract | 1 Feb 2025 | same circular, para 5.2 |
| Intraday position monitoring | at least 4 snapshots a day; index options net ₹5,000 cr / gross ₹10,000 cr futures-equivalent per entity | SEBI circular 1 Sep 2025; start reported as 1 Oct 2025 | secondary press; verify against the circular |
| STT on options | 0.15% of premium on sale (was 0.1%); 0.15% of intrinsic value on exercise (was 0.125%) | 1 Apr 2026 | Finance Act, 2026; NSE circular NSE/FATAX/73524 |
| Exchange transaction charge (NSE options) | 0.03553% of premium | from 1 Mar 2026 | NSE circular NSE/FA/73061 |
| Expiry settlement | final settlement of expiring index derivatives at the VWAP of the last 30 minutes of continuous trading (one report says 15 minutes); expiring index contracts stop trading at 15:30 while other index derivatives trade to 15:45 | 7 Dec 2026 (SEBI circular 15 Oct 2026) | Outlook Money summary of the circular; verify the window on NSE |
9.10.2Effects on the strategies#
What these rules do to the strategies of 9.7
- Extra ELM. A short Nifty option position carries an extra 2% of notional margin on expiry day: on one lot at 25,000 that is per short leg. A short strangle's capital requirement rises exactly when its gamma is largest. Your Kelly calculation (9.9) must use the expiry-day margin.
- Calendar-spread benefit removed on expiry day. The short near leg of a calendar is margined as a naked short on Tuesday.
- Upfront premium. Buyers can no longer use the premium they are about to receive from another leg to fund a purchase; it reduces intraday leverage for buyers.
- STT on premium. For the 24,500/25,500 short strangle (credit ₹3,967 per lot), selling costs STT , exchange charges ₹1.41, brokerage ₹40 at a flat ₹20 per order, GST ₹7.45, total about ₹55 per lot, 1.4% of the credit, before any closing trades or exercise STT. Costs are a larger share for cheaper, further-OTM options.
- VWAP settlement. Averaging the settlement price over a window raises the cost of moving the settlement print, because the manipulator must hold the index away from its fair level for the whole window. It also changes the expiry payoff into a payoff on an average, which slightly reduces the effective gamma at the very end.