Revised Exposure Margin for Exchange Traded Equity Derivatives
CIR/DNPD/3/2010 July 7, 2010
The Managing Directors/Executive Directors
of Derivative Segment of NSE and BSE
and their Clearing House/Corporation
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”.
Derivatives and New Products Department