Revised Exposure Margin for Exchange Traded Equity Derivatives
Summary
SEBI modifies the exposure margin for exchange traded equity derivatives to be the higher of 10% or 1.5 times the standard deviation of daily logarithmic returns. This revised requirement applies to single stock futures and stock options effective from October 21, 2008. The circular serves as a partial modification of the earlier SEBI Circular No. SMDRP/DC/CIR-13/02 dated December 18, 2002.
Text
the said exposure margin shall be higher of 10% or 1.5 times the standard deviation (of daily logarithmic returns of the stock price)
with effect from October 21, 2008
This is in partial modification of SEBI Circular No. SMDRP/DC/CIR-13/02 dated December 18, 2002
Source: SecMarx — Revised Exposure Margin for Exchange Traded Equity Derivatives. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.