How to calculate physical delivery margin?

When you trade Futures & Options (F&O) contracts and hold them until expiry, sometimes you don’t just settle in cash—you actually get (or give) the shares. This is called physical delivery.

The physical delivery margin is the extra money you need to keep in your trading account to cover this process. It is mainly needed if you have bought (long position) In-The-Money (ITM) stock options—both Calls and Puts—that are likely to end with physical delivery.

The margin is made up of:

• VAR Margin (Value at Risk): Covers possible losses in normal market moves.
• ELM (Extreme Loss Margin): Protects against very large price swings.
• Ad hoc Margin: An extra amount the exchange may ask for if the market is volatile.

Margin requirement increases as the expiry gets closer in the following way:

• T-4 days: 10% of total delivery margin
• T-3 days: 25%
• T-2 days: 45%
• T-1 day: 70%
• T day (expiry): 100%

Example:

If you have Reliance 2500 Call option (lot size = 500)  expiring on August 29. Using the NSE margin calculator, you find your total delivery margin is ₹1,92,961.67.

• On T-4 (August 25), you’ll need 10% of the total delivery margin = ₹19,296.17 in your account.
• By expiry day, you’ll need the full ₹1,92,961.67 in your account.

You can always check the exact physical delivery margin on the NSE margin calculator or in the contract details.