Measures for Enhancing Trading Convenience and Strengthening Risk Monitoring in Equity Derivatives
Summary
This circular outlines measures to enhance trading convenience and strengthen risk monitoring in the equity derivatives market. It introduces a new portfolio-level Open Interest measurement using net Delta-adjusted positions across futures and options. The document also revises Market Wide Position Limits, ban period rules, and intraday monitoring requirements for single stocks. This section establishes position limits for index futures and options, including specific monetary caps and percentage-based thresholds for various entity categories. It outlines a glide path for implementation starting July 1, 2025, detailing monitoring procedures, delta calculations, and penalties for breaches during the transition period. Additionally, it introduces eligibility criteria for derivatives on non-benchmark indices and recalibrates individual entity-level position limits for single stocks based on the Modified Weighted Price Limit. Section 6 outlines the phased implementation timeline for various position limit measures effective from July to December 2025. Section 7 directs Stock Exchanges and Clearing Corporations to amend bye-laws and rules to implement the circular. Annexure-1 details sp
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Open Interest (OI) of the participants in derivatives shall be measured at a portfolio level by computing the net Delta adjusted open positions across futures and options for an underlying at a given point in time.
Gross addition of such net Future Equivalent Open Interest (FutEq OI) across all Unique Client Codes (UCCs) would form the FutEq OI for the Stock/Index Derivatives.
The MWPL shall be lower of 15% of free float and 65x Average Daily Delivery Value (ADDV) across CCs with a floor limit of 10% of free float.
This metric shall be recalculated every three months based on the rolling ADDV for the preceding three month period.
Henceforth, Stock Exchanges/CCs shall test whether the market wide FutEq OI for any scrip exceeds 95% of the proposed MWPL for that scrip.
Any trading done by entities in the derivatives contracts of a scrip, subsequent to its entry in the ban period, should result in reduction of FutEq OI on end of day basis.
CCs to prepare a joint SOP, in consultation with SEBI, for monitoring the end of day delta position of entities and penalty structure thereof in this regard within one month from the date of the circular.
Stock Exchanges shall perform intraday monitoring of MWPL utilization at least four random times during the trading session.
Take appropriate actions once OI utilization breaches certain limits such as levying Additional Surveillance Margin, monitoring for entity level concentration, additional surveillance checks etc.
Report instances of significant utilization of MWPL / breach of MWPL to SEBI in the fortnightly Surveillance meeting.
Stock Exchanges shall prepare a joint SOP, in consultation with SEBI, in this regard within one month from date of the circular.
Net end of day FutEq OI limit for options to be ₹1,500 cr. and gross FutEq OI to be ₹10,000 cr.
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Source: SecMarx — Measures for Enhancing Trading Convenience and Strengthening Risk Monitoring in Equity Derivatives. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.