---
title: "Expiry Day Integrity: SEBI Order, FutEq Limits, Settlement"
description: "The SEBI interim order of 3 Jul 2025, the FutEq and intraday limit circulars and the 2026 settlement rules, read as written and dated, with what is pending."
source_url: "https://www.rupeecase.com/learn/path-19/module-19-15-expiry-day-market-integrity"
---

[Path 19 15 of 16](/learn/path-19/)Expiry day market integrity: a SEBI interim order, FutEq limits and surveillance[Next 19.16](/learn/path-19/module-19-16-capstone-research-note)

On 3 Jul 2025 a whole time member of SEBI signed an interim order in the matter of index manipulation by a proprietary trading group. The order is ex parte, which means made without first hearing the entities, and its findings are prima facie, which means on the material then on record. It directed that Rs 4,843.57 crore be put in an escrow account and gave the entities 21 days to reply. Before and after it, SEBI issued circulars on position limits, intraday monitoring and the way an index option is settled. This lesson reads the order and the circulars as written, in date order, and keeps allegation apart from finding. It then lists what is still pending. It takes no side, it is not legal advice, and it names no outcome that the documents do not name.

3By the end you can

1. State what the 3 Jul 2025 order directs and why its findings are interim and prima facie.
2. Give the index option limits of May and Sep 2025 and the three settlement regimes of 2026.
3. List what is pending and keep allegation apart from finding.

Watch in the terminal: how do I drop a stuck order? A short tutorial on sample data.

## The idea, plainly

### Why does expiry day carry integrity risk?

An index option at expiry pays off against one number, the settlement value of the index. Anyone who holds a large option position on that day has an interest in where that number lands, and the index is built from the prices of its constituent stocks, which trade in a far smaller market than the options on them. The order's own explainer says that on expiry day the volumes and participation in index options are far higher than in the constituent stocks and futures. That gap between a deep derivative and a thinner underlying is the setting for the concern, and it is why the rules below are about the settlement price, the size of positions and who watches both. It is not a statement that any trade is improper.

### What does the interim order say?

The order is dated 3 Jul 2025, signed by Ananth Narayan G. as whole time member, under sections 11(1), 11(4), 11B(1) and 11D of the SEBI Act. It names four entities as a group. Using NSE data for the examination period from 1 Jan 2023 to 31 Mar 2025, it records a total profit of Rs 36,502.12 crore across all segments, made of Rs 43,289.33 crore from index options and combined losses of Rs 7,687.21 crore in stock futures, index futures and cash. BANKNIFTY options alone gave Rs 17,319.26 crore, 40% of the index options profit.

The interim order sits at the end of a year of steps and the start of a process

1. 23 Jul 2024**NSE asked to examine**The first step in the order's chronology

2. 13 Nov 2024**NSE report**NSE submits its examination report

3. 6 Feb 2025**Caution letter**NSE advises the group to refrain from large cash equivalent positions

4. 15 May 2025**Positions continue**The order records large positions in index options after the caution

5. 3 Jul 2025**Interim order**Prima facie findings, impounding and restraint, 21 days to reply

6. 14 Jul 2025**Escrow credited**SEBI press release PR 40/2025: credited without prejudice to the entities' rights

7. 21 Jul 2025**Restrictions cease**SEBI press release PR 45/2025 on para 62.11; cease and desist and monitoring continue

Dates from the order's chronology and SEBI's press releases of 14 Jul 2025 and 21 Jul 2025. Every finding in the order is prima facie. No later order in this matter is on sebi.gov.in as checked on 16 Oct 2026. Source: SEBI interim order of 3 Jul 2025 and press releases of 14 and 21 Jul 2025. As of 21 Jul 2025.
The term this section turns on: Prima facie

From the module glossary; every term is in the Learn glossary too. Source: Module 19.15, Expiry day market integrity: a SEBI interim order, FutEq limits and surveillance.
Read 2 more paragraphs, 249 words
From those figures SEBI shortlisted the most profitable days, kept the expiry days among them and analysed 18 days in detail. It describes two strategies, which it calls intraday index manipulation and extended marking the close. The first it saw on 15 of the 18 days and the second on the other 3. Its sample day is 17 Jan 2024, on which it records a profit of Rs 734.93 crore. On that day the order says the group bought Rs 4,370.03 crore of BANKNIFTY constituents in the cash and futures markets in the morning while building bearish option positions of Rs 32,114.96 crore, 7.3 times the size of the purchase, and then sold the purchases later in the day. These are the order's descriptions of what it observed, and its conclusion that the pattern was manipulative is prima facie.

The directions, in paragraph 62, are of four kinds. The first is the impounding of Rs 4,843.57 crore, said to be the gains from the alleged violations on 21 days, into an escrow account with a lien in favour of SEBI. The second is a bar from the securities market and a freeze on accounts. The third is a direction to cease and desist from the patterns named. The fourth is a direction to the exchanges to monitor the group's dealings. Paragraph 62.11 says that most of the restrictions cease once the escrow money is deposited. Paragraph 63 gives 21 days to reply and to ask for a hearing.

### What happened afterwards, on the record?

SEBI's press release of 14 Jul 2025 says the entities informed it that the amount had been credited to the escrow account, and that they did so without prejudice to their rights and remedies in law. Its release of 21 Jul 2025 records that under paragraph 62.11 the bar and the other restrictions ceased to apply on the deposit, and that the directions to cease and desist and to the exchanges to monitor continue until the investigation and any proceedings are complete. Those two releases are what is on the record. A final order, if there is one, will say more.

### What did SEBI change about positions?

Four circulars, in order. SEBI's circular of 1 Oct 2024 set an extra extreme loss margin of 2% on short options expiring that day from 20 Nov 2024 and removed the calendar spread benefit on expiry day from 1 Feb 2025. The circular of 28 Mar 2025 began intraday monitoring of the existing limits from 1 Apr 2025 and said breaches carry no penalty until further directions. The circular of 29 May 2025 moved to futures equivalent open interest, which counts each option at its delta, and set limits for index options per PAN: a net end of day limit of Rs 1,500 crore and a gross limit of Rs 10,000 crore on each side, phased in from 1 Jul 2025 with the normal regime from 6 Dec 2025. The circular of 1 Sep 2025 added an intraday limit for index options: net Rs 5,000 crore and gross Rs 10,000 crore on each side, from 1 Oct 2025.

The net intraday limit is 3.33 times the net end of day limit

Limits of Rs 1,500, 5,000 and 10,000 crore in futures equivalent terms, divided by one lot of 65 units at the 23,118.60 close, as a way to see their size. Futures equivalent counts options at their delta, so the lot count is an index of size and not a count of option contracts. Source: NSE end of day data, computed by RupeeCase. As of 15 Sep 2026.
Read 2 more paragraphs, 173 words
The intraday limits are checked, in the circular's words, by a minimum of 4 random snapshots in the day, one of them between 2:45 and 3:30 pm. The exchanges use the underlying price at the time of each snapshot. An entity may take additional exposure against holdings of securities or cash. A breach leads the exchange to ask for the rationale and to look at trading in the constituents, and, on an expiry day, to a penalty or additional surveillance deposit from 6 Dec 2025. The framework covers index options only. The circular says in paragraph 4.8 that it is meant to leave market making free on all days while checking outsized expiry day positions.

The limits were set after a consultation. SEBI's paper of 24 Feb 2025 had proposed lower numbers: Rs 500 crore net and Rs 1,500 crore gross at end of day, and Rs 1,000 crore net and Rs 2,500 crore gross intraday. What the circulars adopted is higher. The table in the circular of 1 Sep 2025 records both.

### How is an expiring index option settled, and when does that change?

The settlement price is where manipulation would pay, so it has been rewritten. Three regimes are in play and each lesson must say which it means.

1. **Before 3 Aug 2026.** The closing value of the index, with each stock's close the VWAP of the last 30 minutes of continuous trading. Source: SEBI circular of 16 Jan 2026, on the closing price and settlement.

2. **3 Aug 2026 to 6 Dec 2026.** The closing value of the index, with the stock closes set by the closing auction. Source: the same circular, on the closing price, settlement and timeline.

3. **From 7 Dec 2026.** An index value computed from the VWAP of the constituents over the last 30 minutes of continuous trading, and the expiring index contract stops trading at 3:30 pm. Source: SEBI circular of 15 Oct 2026, on timings and settlement.

The settlement price changes twice in 2026, on 3 Aug and on 7 Dec

From SEBI circulars of 16 Jan 2026 and 15 Oct 2026. A method diagram with no market figures. An index option's expiry date decides which regime applies to it. Source: SEBI circulars of 16 Jan 2026 and 15 Oct 2026. As of 15 Oct 2026.
Read one more paragraph, 96 words
The circular of 15 Oct 2026 also moves the closing auction to 3:30 to 3:40 pm, with a random close between 3:38 and 3:40 pm, and requires the exchanges to publish an indicative index value in real time through the last 30 minutes. In the words of the circular the auction was introduced for transparent and efficient price discovery of the close, and the settlement change followed a review of it. Whether the new rule changes behaviour on expiry day is a question for data after 7 Dec 2026, and this lesson does not predict it.

## Worked example: reading one number

Take the net intraday limit of Rs 5,000 crore. Divide by what one lot of the Nifty future is worth at the 23,118.60 close of 15 Sep 2026, 65 units times that level, and you get about 33,273 lots of futures equivalent. That is the largest net exposure the circular lets one entity carry at a snapshot. It is a statement about size and not about intent: a large position held for a hedge is a different thing from one built and unwound in a pattern. The circular's own answer to that difference is process. Exchanges ask for the rationale, look at the entity's trading in the constituents and discuss the case with SEBI. A limit is a tripwire, and what follows it is a question.

Read one more paragraph, 69 words
The same arithmetic shows how the order's figures should be read. The sample day has a bearish option position of Rs 32,114.96 crore against a purchase of Rs 4,370.03 crore, in the order's account. The ratio, 7.3, is the point of the allegation, not the size of either number. Reading it needs the delta of every option, which is why the futures equivalent measure of May 2025 exists.

### What is pending?

* **The investigation and any final order.** The interim order says it holds pending a detailed investigation. As checked on 16 Oct 2026 for this lesson, sebi.gov.in showed no confirmatory or final order in the matter.

* **Any appeal.** Press reports describe an appeal before the Securities Appellate Tribunal. I have not seen the tribunal's own record, so this lesson states no outcome and no date.

* **Limits for trading members.** SEBI issued a consultation paper on 4 Dec 2025 on position limits for trading members in equity derivatives. No final circular was found.

* **The 15 Oct 2026 circular.** Its changes take effect from 7 Dec 2026, and paragraph 4.8 on iceberg orders from 8 Feb 2027.

* **A later SEBI order.** An ex parte interim order dated 19 Aug 2026 on trading in the closing auction of the 13 Aug 2026 SENSEX expiry is listed on sebi.gov.in. I have not read the order, and nothing in this lesson describes its contents.

Watch in the terminal: what happens when I press Invest? A short tutorial on sample data.

### Try it yourself

Open the interim order and the circular of 1 Sep 2025. In the order, read the background for the chronology, then the table of profits and the examination period, then the directions and the paragraph that gives time to reply. In the circular, read the paragraphs on the framework. For each document write its date, who issued it, whether it is a finding or a rule, and one sentence of what it does. Then lay the dates on one line and mark the points where a rule changed after an event.

## The common mistake

The belief: SEBI has found the group guilty of manipulating the index. The order of 3 Jul 2025 is an interim, ex parte order whose findings are prima facie. It directed the escrow of a sum as alleged gains, gave the entities time to reply, and its restrictions mostly ceased on the deposit, which the entities made without prejudice to their rights. No final order is on the SEBI site as checked. The opposite belief, that the matter is closed because the money was paid, is wrong in the same way. Read the document and its date, say whether it is an allegation, a direction or a finding, and say what is pending. Rules that came after it, such as the intraday limits and the new settlement, stand on their own and do not depend on how the matter ends.

## Key takeaways

* The 3 Jul 2025 order is interim, ex parte and prima facie.
* Most restrictions ceased on the escrow deposit under paragraph 62.11.
* Intraday index option limits sit above the end of day limits, from 1 Oct 2025.
* Limits are measured in futures equivalent terms, counting options by delta.
* Settlement changes on 3 Aug 2026 and again on 7 Dec 2026.
* No final order was on the SEBI site on 16 Oct 2026.

Two terms to hold on to from 19.15

From the module glossary. Source: Module 19.15, Expiry day market integrity: a SEBI interim order, FutEq limits and surveillance.

Where this section sits in module 19.15

Sections 1 to 4 of 4; the highlighted one is next. Source: Module 19.15, Expiry day market integrity: a SEBI interim order, FutEq limits and surveillance.
**Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html)

What does Expiry day market integrity: a SEBI interim order, FutEq limits and surveillance cover?An interim order is an allegation with a right of reply. Read it beside the position limits and settlement rules that followed, in date order. It works through The idea, plainly, Worked example: reading one number, The common mistake, Key takeaways. It is module 19.15 of Path 19, Algo, HFT and Backtesting, about 12 minutes of reading, free.

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QQuick check

## 10 questions, 7 to pass.
Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 19 certificate.

7 of 10 correct passes module 19.15

Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass).

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CCheck yourself

## Path 19 so far.
Your quick check results on this device, stop by stop.

Stop 15 of 16 on Path 19

Algo, HFT and Backtesting: every live stop, this module ringed. Source: RupeeCase Learn, Path 19.

1. [19.1What a backtest is, and five biases that ruin itNot yet](/learn/path-19/module-19-1-backtest-biases)
2. [19.2Strategy metrics: CAGR, Sharpe, Sortino, drawdown and expectancyNot yet](/learn/path-19/module-19-2-strategy-metrics)
3. [19.3HFT, MFT and LFT comparedNot yet](/learn/path-19/module-19-3-hft-mft-lft)
4. [19.4Colocation, latency and fairness: NSE's historyNot yet](/learn/path-19/module-19-4-colocation-and-latency)
5. [19.5Building a compliant retail algoNot yet](/learn/path-19/module-19-5-building-a-compliant-algo)
6. [19.6Backtesting options on Indian dataNot yet](/learn/path-19/module-19-6-backtesting-options)
7. [19.7Walk forward and out of sample testingNot yet](/learn/path-19/module-19-7-walk-forward-testing)
8. [19.8Monte Carlo and bootstrap of trade resultsNot yet](/learn/path-19/module-19-8-monte-carlo-and-bootstrap)
9. [19.9Microstructure models: spreads, informed trading and price impactNot yet](/learn/path-19/module-19-9-microstructure-models)
10. [19.10Market making: inventory and quotingNot yet](/learn/path-19/module-19-10-market-making)
11. [19.11Optimal execution and market impactNot yet](/learn/path-19/module-19-11-optimal-execution)
12. [19.12HFT economics and the latency raceNot yet](/learn/path-19/module-19-12-hft-economics)
13. [19.13Backtest overfitting: deflated Sharpe, PBO and multiple testingNot yet](/learn/path-19/module-19-13-backtest-overfitting)
14. [19.14Financial machine learning done carefullyNot yet](/learn/path-19/module-19-14-financial-machine-learning)
15. [19.15Expiry day market integrity: a SEBI interim order, FutEq limits and surveillanceNot yet](/learn/path-19/module-19-15-expiry-day-market-integrity#quiz)
16. [19.16Capstone: a research note on an Indian derivatives questionNot yet](/learn/path-19/module-19-16-capstone-research-note)
17. [TPath test, 30 questionsNot yet](/learn/path-19/module-19-16-capstone-research-note#pathTestSection)

Path 19 in reading time: 172 minutes over 16 modules

Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 19.

    Explore next

## Put the module to work.

* [Free module 14.6Expiry and settlement: cash, physical, exercise and STT8 min read](/learn/path-14/module-14-6-expiry-and-settlement)
* [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder)
* [Free module 17.12Expiry day: gamma, theta, settlement and the rules10 min read](/learn/path-17/module-17-12-expiry-day)
* [Free module 19.5Building a compliant retail algo10 min read](/learn/path-19/module-19-5-building-a-compliant-algo)
* [Free module 19.10Market making: inventory and quoting11 min read](/learn/path-19/module-19-10-market-making)
* [Free module 19.12HFT economics and the latency race11 min read](/learn/path-19/module-19-12-hft-economics)

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SSources

## Go to the source.
12 sources, SEBI the most cited

The publisher of each source listed below. Source: Module 19.15 source list.
1. [SEBI, interim order of 3 July 2025 in the matter of index manipulation by Jane Street Group (WTM/AN/MRD/MRD-SEC-3/31516/2025-26)](https://www.sebi.gov.in/enforcement/orders/jul-2025/interim-order-in-the-matter-of-index-manipulation-by-jane-street-group_95040.html) SEBI
2. [SEBI, press release PR 40/2025 of 14 July 2025, update on interim order compliance](https://www.sebi.gov.in/media-and-notifications/press-releases/jul-2025/update-on-interim-order-compliance-by-jane-street_95237.html) SEBI
3. [SEBI, press release PR 45/2025 of 21 July 2025, update on the interim order](https://www.sebi.gov.in/media-and-notifications/press-releases/jul-2025/update-on-the-jane-street-interim-order_95491.html) SEBI
4. [SEBI, circular of 1 October 2024, measures to strengthen the equity index derivatives framework](https://www.sebi.gov.in/legal/circulars/oct-2024/measures-to-strengthen-equity-index-derivatives-framework-for-increased-investor-protection-and-market-stability_87208.html) SEBI
5. [SEBI, circular of 28 March 2025, intraday monitoring of position limits for index derivatives](https://www.sebi.gov.in/legal/circulars/mar-2025/intraday-monitoring-of-position-limits-for-index-derivatives_93123.html) SEBI
6. [SEBI, circular of 29 May 2025, measures for enhancing trading convenience and strengthening risk monitoring in equity derivatives (FutEq open interest and position limits)](https://www.sebi.gov.in/legal/circulars/may-2025/measures-for-enhancing-trading-convenience-and-strengthening-risk-monitoring-in-equity-derivatives_94293.html) SEBI
7. [SEBI, circular of 1 September 2025, framework for intraday position limits monitoring for equity index derivatives](https://www.sebi.gov.in/legal/circulars/sep-2025/framework-for-intraday-position-limits-monitoring-for-equity-index-derivatives_96376.html) SEBI
8. [SEBI, circular of 16 January 2026, introduction of a closing auction session in the equity cash segment](https://www.sebi.gov.in/legal/circulars/jan-2026/introduction-of-closing-auction-session-cas-in-the-equity-cash-segment-and-certain-modifications-in-the-pre-open-auction-session_99122.html) SEBI
9. [SEBI, circular of 15 October 2026, closing auction session, market timings and settlement for derivatives](https://www.sebi.gov.in/legal/circulars/oct-2026/review-of-certain-aspects-of-the-closing-auction-session-market-timings-and-settlement-methodology-for-derivatives-contracts_105293.html) SEBI
10. [SEBI, consultation paper of 4 December 2025 on position limits for trading members in equity derivatives](https://www.sebi.gov.in/reports-and-statistics/reports/dec-2025/consultation-paper-on-review-of-existing-position-limits-for-trading-members-in-equity-derivatives-segment_98180.html) SEBI
11. [NSE, equity derivatives contract specifications](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
12. [NSE, exchange communication circulars](https://www.nseindia.com/resources/exchange-communication-circulars) NSE

GTerms

## 4 terms from this module.
Prima facieOn first view, on the material then on record. A prima facie finding in an interim order is not a final finding.
Ex parte orderAn order made without first hearing the party it affects, which is then given time to reply.
FutEq open interestOpen interest counted in futures equivalent terms: each option at its delta times its notional, netted across futures and options.
Marking the closeTrading near the close so as to influence the closing price. In the order it is an allegation, not a finding.
[All 230 terms in the glossary](/learn/glossary)

[Question people askWhat did SEBI's July 2025 expiry day interim order allege?A short answer with a dated chart](/learn/questions/sebi-expiry-day-interim-order)[Related module17.12 Expiry day: gamma, theta, settlement and the rules10 min, Intermediate](/learn/path-17/module-17-12-expiry-day)[Related module19.5 Building a compliant retail algo10 min, Advanced](/learn/path-19/module-19-5-building-a-compliant-algo)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives)

Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.