Indian F&O rules that change the maths

Lot sizes, expiry days and the November 2024 rules, and why Arthfy splits its history at 20 November 2024.

SEBI's measures for index derivatives, phased in from 20 November 2024, changed the economics of short-dated trading:

One weekly index expiry per exchange: NIFTY on NSE and SENSEX on BSE. BANKNIFTY, FINNIFTY and MIDCPNIFTY weeklies were discontinued.
A higher minimum contract value (₹15 lakh when lot sizes are set), so lots became larger.
An extra 2% extreme-loss margin on short index options on their expiry day.
Option premium collected upfront from buyers (February 2025).
No calendar-spread margin offset on the expiry day of the expiring leg (February 2025).
Intraday monitoring of position limits (April 2025).

Expiry days moved too: from September 2025 NSE expiries fall on Tuesdays and BSE's SENSEX expiries on Thursdays (before that it was the other way round).

Lot sizes and expiries (October 2026)

Underlying	Exchange	Lot	Expiries
NIFTY	NSE	65	Weekly (Tuesday) and monthly (last Tuesday)
BANKNIFTY	NSE	30	Monthly (last Tuesday)
FINNIFTY	NSE	60	Monthly (last Tuesday)
MIDCPNIFTY	NSE	120	Monthly (last Tuesday)
NIFTYNXT50	NSE	25	Monthly (last Tuesday)
SENSEX	BSE	20	Weekly (Thursday) and monthly (last Thursday)
RELIANCE	NSE	500	Monthly (last Tuesday), physically settled
HDFCBANK	NSE	650	Monthly (last Tuesday), physically settled
ICICIBANK	NSE	700	Monthly (last Tuesday), physically settled
INFY	NSE	400	Monthly (last Tuesday), physically settled
SBIN	NSE	750	Monthly (last Tuesday), physically settled

From the exchange contract master on 1 October 2026. Lot sizes are revised periodically; a holiday moves an expiry to the previous trading day. The option chain always shows the live lot.

Because a structure can behave differently once weekly expiries, lot sizes and margins change, every Arthfy history figure is also shown split into cycles entered before and after 20 November 2024.