Closing the current-month future and opening the same position in the next month, usually in the last few sessions before expiry. The rollover percentage published for each stock, the share of open interest carried into the next month, is read as a measure of whether participants are keeping their positions or letting them lapse.

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Futures & Margin

Futures Contract

Q: Why does the Nifty future trade above the spot index?

Because holding the future instead of the stocks lets you keep your cash earning interest until expiry, while giving up the dividends the stocks would pay. The fair gap, called the basis, is roughly spot × (interest rate − dividend yield) × time to expiry. When the basis is wider than that, the market is paying up for long exposure; a negative basis (future below spot) signals heavy selling or a large dividend ahead.

Q: What is mark to market in futures?

Daily cash settlement of the change in the contract's price. If you are long one Nifty lot and the future closes 100 points higher, ₹6,500 (100 × 65) is credited to your account that evening; if it closes lower, the loss is debited and must be funded. Profit and loss on futures is realised every day, not at expiry.

Q: When do NSE futures expire and how are they settled?

On the last Tuesday of the contract month, or the previous trading day if that is a holiday. Index futures are cash-settled against the index's final settlement price. Stock futures are physically settled: a long position takes delivery of the shares and a short position delivers them, so most stock-futures positions are closed or rolled before expiry.

The simplest derivative: a price agreed today for a date in the future, settled every evening in between. It is the instrument options are priced against and hedged with.

In short: a futures contract is an exchange-traded agreement to buy or sell a fixed quantity of an underlying, an index or a stock, at a price agreed now, on a fixed expiry date. Both sides post margin, gains and losses are settled in cash every day, and the contract expires on the last Tuesday of its month on NSE. Index futures settle in cash; stock futures settle by delivery. Unlike an option, a future carries an obligation on both sides and has no premium.

The intuition

Buying a Nifty future is a way of owning the index without buying fifty stocks: you agree a price today, post a deposit, and from then on you gain or lose exactly as the index moves, lot for lot. The seller takes the mirror position. Nobody pays anyone a premium; the only money that moves is the daily settlement of the price change, plus the margin held as security.

Because the buyer keeps their cash until expiry, the future is priced a little above the index, by roughly the interest that cash earns less the dividends the stocks would have paid. That gap is the basis, and it shrinks to zero as expiry approaches, when the future and the index must meet.

Formula

Fair futures price F = S × e^{(r − q) T}, approximately S × [1 + (r − q) × T]

Basis = F − S (in points); annualised basis = (F − S) ÷ S ÷ T

Daily mark to market = (today's settlement price − yesterday's) × lot size × lots

where S is spot, r the interest rate, q the dividend yield and T time to expiry in years.

Worked example (illustrative numbers)

Suppose NIFTY spot is at 24,000 with 20 days to the last-Tuesday expiry, the interest rate is 6.5% and the index's dividend yield is 1.2%. The fair future is about 24,000 × [1 + (0.065 − 0.012) × 20 ÷ 365] ≈ 24,070, a basis of 70 points. If the future actually trades at 24,120, the extra 50 points of basis says buyers are paying up for long exposure.

A trader buys one lot (65 units) at 24,120, posting margin of, say, ₹1,50,000 (the live figure comes from the broker's calculator). Over the next three sessions the future settles at 24,200, 24,050 and 24,300:

Day 1: +80 points × 65 = +₹5,200 credited.
Day 2: −150 × 65 = −₹9,750 debited; the account must cover it.
Day 3: +250 × 65 = +₹16,250 credited.

Net after three days: +180 points, +₹11,700, already in the account. At expiry the future settles against the index's final settlement price; if the trader is still long, the last day's mark-to-market completes the trade and the position vanishes. No shares, no exercise.

The future rides above the index by the basis and meets it at expiry. The basis itself is a signal traders watch.

Why it matters to an options trader

Options are priced off the future. On NSE, index options are modelled against the futures price rather than spot, which absorbs interest and dividends. Put-call parity in its futures form, C − P = (F − K)e^−rT, is the check every chain should pass.
Futures are the hedge. Delta-hedging a written option means buying or selling futures; the whole machinery of gamma is about adjusting a futures hedge.
The basis is positioning information. A basis far above fair value shows eager long demand; a negative basis shows heavy shorting or an imminent dividend. TradePulse's futures page shows the basis for every F&O stock from the latest close.
Rollover data reads intent. High rollover with rising open interest into the new month says positions are being kept; low rollover says the trade is being abandoned.

Common mistakes

Treating margin as the cost. Margin is a deposit; the cost is the daily mark to market, which can exceed the margin over a few bad days.
Holding stock futures into expiry unintentionally. They settle by delivery: a long position must pay for the shares in full.
Comparing the future with spot and calling it "overvalued". The future should trade above spot by the cost of carry; only the excess over fair value is a signal.
Ignoring the dividend effect. A large expected dividend pulls the future below its usual basis, or below spot, without anything bearish happening.
Confusing futures with options. A future's loss is unlimited in both directions and realised daily; there is no premium to cap it.

Indian-market specifics

NSE index and stock futures expire monthly on the last Tuesday (previous trading day if a holiday), under the September 2025 move of NSE expiries to Tuesday; three monthly contracts trade at any time. Nifty's weekly cycle applies to options only.
Lot sizes after the January 2026 revision: Nifty 65, Bank Nifty 30, FinNifty 60, Midcap Select 120, Sensex 20 on BSE; stock futures use each stock's own lot.
Index futures are cash-settled; stock futures have been physically settled since 2019, with delivery margins phased in over the final sessions.
Margin is SPAN plus exposure, with SEBI's peak-margin rules requiring the full amount upfront and at intraday peaks. Securities Transaction Tax on futures is 0.05% of the sell-side value from 1 April 2026.

FAQ

Why does the Nifty future trade above the spot index?

Cost of carry: interest earned on the cash kept, less dividends forgone. The excess over that fair gap is the signal.

What is mark to market in futures?

Daily cash settlement of the price change, credited or debited every evening.

When do NSE futures expire and how are they settled?

Last Tuesday of the month; index futures in cash, stock futures by delivery.

What is rollover?

Moving a position from the expiring month to the next; the rollover percentage shows how much open interest carried over.

Basis and open interest for every F&O stock

The futures page shows the near-month price, basis to spot, open interest and lot size for every NSE F&O stock from the latest close. The index option-chain pages show the futures price the options are priced against.

Stock futures & basis Nifty option chain

Related terms

Futures Basis and cost of carry
Margin and mark to market
Expiry and rollover
Put-Call Parity, how futures and options prices lock together