What are the changes in F&O margins in last 5 days of expiry?

Due to physical settlement obligations in the F&O segment, there are changes in margin requirements during the last five days of the contract expiry (known as the tender period). These changes apply only to stock derivatives. There is no change in margin for index derivatives, as index positions are not physically settled.

Below are the margin requirements for F&O stock positions:

• E-4 Day (Friday EOD): 10% of the applicable margin required
• E-3 Day (Monday EOD): 25% of the applicable margin required
• E-2 Day (Tuesday EOD): 45% of the applicable margin required
• E-1 Day (Wednesday EOD): 70% of the applicable margin required
• E-Day (Thursday – Expiry Day): 100% of the applicable margin required

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