--- title: "How much margin does selling a Nifty option need, and why" description: "Margin for a sold Nifty option comes from the exchange risk model, which tests the position against price and volatility moves and adds an extreme loss margin." source_url: "https://www.rupeecase.com/learn/questions/margin-to-sell-nifty-option" --- A sold straddle loses on a big move either way, so margin has to cover both sides Profit and loss for one lot of a sold at the money straddle, at expiry and with 2 days left, using the 10 Jun 2026 settle prices on the 30 Jun 2026 chain. Margin is set against moves like these, not against the premium. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. There is no single figure for every trade. The margin for a sold Nifty option depends on the contract, the index level, the volatility and the day, and the exchange works it out from its own risk model. This page explains the parts so the number on a broker screen makes sense. It does not give an amount. The core is the risk model, SPAN. It tests the position against a set of price and volatility moves and charges the worst loss it finds. SEBI's master circular of 30 Dec 2024 sets the largest price move tested for index contracts at no less than 9.3% of the index. On top sits the extreme loss margin, ELM, which is 2% of the notional value, the lot size times the previous close. Two rules apply on expiry day, both from SEBI's circular of 1 Oct 2024. From 20 Nov 2024, short options expiring that day carry an extra 2% of ELM as tail risk cover, which takes the ELM on them from 2% to 4% of notional. From 1 Feb 2025, the calendar spread offset is removed for index contracts expiring that day, so a position spread across two expiries gets no offset between them. Margin is a deposit against the worst case the model tested, not a cap on the loss. The chart shows a sold straddle losing on a big move either way, and the loss can grow past the margin. The number for an exact contract and day is the one the broker's margin screen shows. If the margin is not met, the broker can close the position at a loss. **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) How much margin does selling a Nifty option need, and why more on expiry day?Margin for a sold Nifty option comes from the exchange risk model, which tests the position against price and volatility moves and adds an extreme loss margin, so there is no single amount for every day. On expiry day the calendar spread offset is removed and short options carry an extra tail risk margin, which is why the requirement rises. LGo deeper ## Where Learn teaches this. [Go deeperMargins without jargon: SPAN, exposure, expiry day margin and upfront premium8 min, Beginner](/learn/path-12/module-12-5-fo-margins-explained) SSources ## Go to the source. 3 sources, SEBI the most cited The publisher of each source listed below. Source: Module undefined source list. 1. [SEBI circular, measures to strengthen the equity index derivatives framework (1 Oct 2024)](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 2. [SEBI, master circular for stock exchanges and clearing corporations, chapter 5 on exchange traded derivatives (30 Dec 2024)](https://www.sebi.gov.in/sebi_data/commondocs/dec-2024/RE_Chapter%205%20-%20Exchange%20Traded%20Derivatives%20FINAL_1_p.pdf) SEBI 3. [NSE, equity derivatives contract specifications (expiry, lot size, settlement)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE ?Questions people ask ## Related questions. [QuestionHow much capital do I need to trade or sell options?Beginner, trap check](/learn/questions/capital-needed-for-options)[QuestionWhat are SEBI's F&O rules on lot size, weekly expiry and upfront premium?Beginner](/learn/questions/sebi-fo-rules)[QuestionCan option selling give a "daily income"?Intermediate, trap check](/learn/questions/option-selling-daily-income)[QuestionCan an option buyer lose more than the premium, and can I hold options to expiry?Beginner](/learn/questions/can-option-buyer-lose-more) [All 130 questions](/learn/questions/) Explore next ## Go deeper on this question. * [QuestionWhat is physical settlement in stock F&O?A short answer with a dated chart](/learn/questions/physical-settlement-stock-fo) * [QuestionWhy do 9 out of 10 F&O traders lose money?A short answer with a dated chart](/learn/questions/why-fo-traders-lose) * [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder) * [GlossaryInvesting glossary, 230 termsPlain word definitions, and the app’s own](/learn/glossary) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal) [Sign up for RupeeCase](https://invest.rupeecase.com/signup) [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7) [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera 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.