Expiration header not being set?

Server NGINX
1

The location snippet below works except the expiration header is not
being
set. The request is made using this kind of URL:

/assets/abcdef/js/my.js

If the JS file is not found in memcached, it gets redirected to
static.php
which loads the static file into memory. Do we need to include the
headers
in the file itself as its being loaded from memcached?

location ~ /assets/([a-zA-Z0-9]+)(/.+) {
expires max;
set $memcached_key “$1_$2”;
memcached_pass localhost:11211;
error_page 404 =200
/libraries/asset_filter/client/static.php?hash=$1&uri=$2;
}

Thanks