Mega Offer Avail 65% Off in CA IPCC and 50% Off in all CA CS CMA subjects.Coupon- IPCEXAM65 & EXAM50. Call: 088803-20003

CA Final Online Classes
CA Classes

Share on Facebook

Share on Twitter

Share on LinkedIn

Share on Email

Share More

Revised Exposure Margin for Exchange Traded Equity Derivatives


 Notice Date : 07 July 2010

 Revised Exposure Margin for Exchange Traded Equity Derivatives

 

CIRCULAR

 

CIR/DNPD/3/2010 July 7, 2010

 

To,

 

The Managing Directors/Executive Directors

of Derivative Segment of NSE and BSE

and their Clearing House/Corporation

 

Dear Sir/Madam,

 

Sub: Revised Exposure Margin for Exchange Traded Equity Derivatives

 

This is in modification of SEBI Circular No. SEBI/DNPD/CIR-41/2008 dated October 15, 2008 which specified that the exposure margin shall be higher of 10% or 1.5 times the standard deviation (of daily logarithmic returns of the stock price) of the notional value of the gross open position in single stock futures and gross short open position in stock options in a particular underlying.

 

2. Based on the feedback received from market participants, it has now been decided that the said exposure margin shall be higher of 5% or 1.5 times the standard deviation (of daily logarithmic returns of the stock price).

 

3. This Circular is being 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 to protect the interests of investors in securities and to promote the development of, and to regulate the securities market.

 

4. This circular shall come into force from July 15, 2010.

 

5. This circular issues with the approval of the competent authority.

 

6. This Circular is available on SEBI website at www.sebi.gov.in., under the category “Derivatives- Circulars”.

 

Yours faithfully,

Sujit Prasad

General Manager

Derivatives and New Products Department

022-26449460

sujitp@sebi.gov.in

 

Guest
on 08 July 2010
Notification No : CIR/DNPD/3/2010
Published in Shares & Stock
Source : ,










Trending Tags