Protective call (against short futures)

Also called: Short futures + long call

Hold short futures and buy a call: the call caps the loss if the market rallies, for the cost of its premium.

Payoff sketch (per unit, index points)

At expiry

Today (7 days left)

Net premium

Debit 108 pts

Max profit

Large as the price falls

Max loss

−277 pts (₹18,010 per lot)

Breakeven

24,923

Legs: Sell futures · Buy CE ATM +200. Illustration, not live prices: an index at 25,000, strikes 100 points apart, Black-Scholes premiums at 13% implied volatility, 7 days to expiry, 6.5% interest, no skew and before charges. Rupees per lot use a NIFTY lot of 65.

How it works

The call pays everything above its strike, so the short futures cannot lose more than the distance to the call strike plus the premium.

At expiry the payoff matches a long put at the call's strike.

When traders use it

Holding a short futures position through an event with a known maximum loss.

Greeks

Delta	Negative: −1 plus the call's delta.
Gamma	Positive.
Theta	Negative.
Vega	Positive.

Profit, loss and margin

Max profit	Large: futures entry − call premium if the underlying fell to zero.
Max loss	(Call strike − futures entry + call premium) × quantity.
Breakeven	Futures entry − call premium.
Margin	The futures margin, often reduced by the hedge.

In India

Futures are marked to market daily and need SPAN plus exposure margin; STT is charged on the sell side (0.05% from 1 April 2026 in Arthfy's cost model). Index futures expire monthly.
A long option that finishes in the money is exercised automatically. STT is then charged on its intrinsic value at the exercise rate (0.15% from 1 April 2026 in Arthfy's cost model), instead of the sale rate on the premium (also 0.15%) that applies when the option is sold before the close. See the lesson on the STT exercise trap.
SPAN margins the whole position, so a defined-risk spread usually blocks far less than its short leg alone. Brokers grant the hedge benefit only when the protective leg is actually in the account, which is why the long leg is usually placed first.

Arthfy numbers

At expiry this has the same payoff as a long put at the call's strike; see the long put page for Arthfy's history of that shape. See Long put.

Try it in the F&O hub

Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.

Open in the builderPayoff, Greeks, scenario grid and charges on today's NIFTY chain

Open the option chainLive premiums, IV and Greeks

Single options

Long put

Hedges with futures

Covered put (against short futures)

For education: how the structure works and what it did historically, not a recommendation to trade it.