Sources & references
Where our facts, rules and conventions come from.
Primary references
- NSE India — contract specifications, expiry calendar, settlement process and F&O circulars.
- BSE India — Sensex derivatives specifications and expiry schedule.
- SEBI — the regulatory framework and circulars governing expiry-day and settlement rules.
- Zerodha Varsity — India-focused options and futures education.
Foundational theory
Discussion of time decay, gamma and the Greeks near expiry follows the Black-Scholes-Merton framework (Black & Scholes, 1973; Merton, 1973). Exchange rules always take precedence over model theory for settlement and expiry mechanics. See our methodology.
Last updated 11 July 2026.