for f in *.png
do
  cat << EOF
     <img src="$f" /><br/>
  EOF
done > index.html

for f in *.png
do
  cat << EOF
     <img src="$f" /><br/>
EOF
done > index.html

The here document delimiter will not be recognized if it is indented.

You can fix it in one of two ways:

1. Simply remove the indentation, even though this may break formatting.
2. Use <<- instead of <<, and indent the script with tabs only (spaces will not be recognized).

Removing the indentation is preferred, since the script won't suddenly break if the script is reformatted, copy-pasted, or saved with a different editor.

If the line was supposed to be a literal part of the here document, consider choosing a less ambiguous token.