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Nifty Options Expiry Settlement Uses a 30-Minute Average

Article Quant Q&A · Author: VISHMA PRATIM DAS
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Summary

The note explains why the Nifty 50 level observed at 3:30 pm may differ from the price used to settle index options on expiry. The answer states that the settlement price is based on a weighted average of prices during the final 30 minutes of the expiry day. As a result, the quoted level at 3:30 and the later observed level at 3:31 do not individually determine the exercise settlement price; the weighted average is the relevant figure.

This is a concise explanation of the settlement convention, not a worked calculation. It gives no weighting details or data from the interval, so the actual settlement value cannot be inferred from the two spot observations in the question. The statement is specific to Nifty index options and expiry-day settlement; readers should verify the applicable exchange rules for other contracts or dates.

Key ideas

  • Nifty index options use an expiry settlement price based on a weighted average over the final 30 minutes.
  • The index level at 3:30 pm alone does not determine the settlement value.
  • A subsequent observed level at 3:31 pm is also not by itself the settlement price.
  • The note does not provide the interval's prices or the averaging details needed to calculate a settlement value.

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OptionsFutures
Full text
# Why did Nifty50 close at 15557 when it was at 15582 at 3:30 pm IST?


# Why did Nifty50 close at 15557 when it was at 15582 at 3:30 pm IST?












I am a student and trader. I was recently interested in f&o trading recently, so I decided to enter with a hedge strategy. I saw the market go in my favour as the clock reached 3:30 and Nifty was at 15582. But when it was 3:31, Nifty50 was at 15557. Can someone please tell me what price will be excercised when the contract is ended?

## Answer by Dhruv Mahajan (score 1)

https://quant.stackexchange.com/a/61822

Settlement price for Nifty Index options is weighted average of last 30min price on expiry day. So it’ll be neither of these.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.