Revised Exposure Margin for Exchange Traded Equity Derivatives
Summary
SEBI modifies the exposure margin for exchange-traded equity derivatives to be the higher of 5% or 1.5 times the standard deviation of daily logarithmic returns. This circular supersedes previous requirements that mandated a minimum of 10% or 1.5 times standard deviation. The revised rules apply to single stock futures and stock options on NSE and BSE.
Text
the said exposure margin shall be higher of 5% or 1.5 times the standard deviation (of daily logarithmic returns of the stock price)
issued in exercise of the powers conferred under Section 11 (1) of the Securities and Exchange Board of India Act 1992, read with Section 10 of the Securities Contracts (Regulation) Act, 1956
shall come into force from July 15, 2010
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.