Additional deposit payable in respect of Position limits in Equity Index Derivatives (Futures and Options)

With reference to NSE circular dated March 22, 2020 having circular reference no. NSE / SURV / 43915 (read with NSE / SURV / 44190 dated Apr 20, 2020 , NSE/SURV/44456 dated May 22, 2020, NSE/ SURV/ 44697 dated June 18, 2020 and NSE/SURV/45092 dated July 22, 2020,NSE/SURV/45485 dated August 26, 2020, NSE/SURV/45765 dated September 21, 2020,NSE/SURV/46124 dated October 22, 2020 and NSE/SURV/46458 dated November 25, 2020) pertaining to Revised position limits in Equity Index Derivatives (Futures and Options).

Position Limits mentioned hereunder shall be applicable to clients for short position:
a. Equity Index Futures Contracts: Rs. 500 Crores. (Netted all expiries)
b. Equity Index Options Contracts: Rs. 500 Crores. (Netted across Call Puts, based on sentimental positions across expiries)

If any client exceed the respective limits prescribed above,an additional deposit shall be payable by client. and the same shall be retained by stock exchange for a period of 1 month.

Penalty criteria for certain trades in periodic call auction 

In the event where maximum of buy price entered by a client (on PAN basis) is equal to or higher than the minimum sell price entered by that client and if the same results into trades, a penalty shall be imposed on such trades.

The penalty shall be calculated and charged by the exchange and collected from trading members on a daily basis. Trading members may recover such penalty from clients. The penalty so collected shall be deposited to Investor Protection Fund. Penalty for each such instance per session will be higher of the following:

a) 0.50% of the trade value for sale and 0.50% of trade value for the buy, resulting in 1% penalty for the client on PAN basis.

OR

b) 2500 /- for the buy trade and 2500 /- for the sell trade, resulting in penalty of 5000/- for the client on PAN Basis.

For further details refer SEBI Circular. . http://www.sebi.gov.in/cms/sebi_data/attachdocs/1360851620748.pdf

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As per SEBI Circular dated August 10, 2011, Stock Exchanges shall levy penalty on trading members for short collection/ non-collection of margins from clients in Equity Derivatives and Currency Derivatives.

This is to bring to your kind Notice that as per SEBI Circular CIR/DNPD/7/2011 dated August 10, 2011, Stock Exchanges shall levy penalty on trading members for short collection/ non-collection of margins from clients in Equity Derivatives and Currency Derivatives. As per Exchange circular NSCCL/CMPT/37751 & NSCCL/CDS/37750 dated MAY 14,2018, Margin reported should include initial margin, exposure margin,net buy premium, Delivery margin( in case of physical settlement) and mark to market losses collected w.e.f 02-July-2018.
 
For details of the penalty please refer the following link https://www.sebi.gov.in/cms/sebi_data/attachdocs/1312975056472.pdf

In the view of the SEBI Circular outlined above you are requested to note that although limits will be available, and can be utilized for derivatives, the below mentioned scenarios may entail penalty in case required funds are not available in your linked bank account: -

a. Any position taken against Intra-day booked profits in Derivatives / Equities segment.

b. In case Futures positions or Short Options positions (where margins are applicable) are created against the squaring off brought forward long options positions.

C.In case Derivatives positions are created against the margin amount released from Square-off of E-margin positions.

Delivery margins for Physical Settlement in Equity Derivatives

• Delivery margin will be levied on In-the-money long option position
• In-the-money long option positions shall be valued at strike price
• Delivery margins at the client level shall be computed as per the margin rate applicable in Capital Market segment (i.e VAR, Extreme Loss Margins) of the respective security.
• Delivery margins on potential in-the-money long option positions shall be levied at client level and collected from clearing member in a staggered manner as under

             10% of Delivery margins computed on Expiry - 4 EOD
             25% of Delivery margins computed on Expiry - 3 EOD
             45% of Delivery margins computed on Expiry - 2 EOD
             70% of Delivery margins computed on Expiry - 1 EOD

• The delivery margins on potential in-the-money long option positions shall be recomputed only at EOD basis considering the revised position, underlying prices and margin rates
• Clients are required to provide the delivery margins on potential in-the-money long option positions and shall be included in the client margin reporting. 

The penalty amount levied by Exchange on such short margin collection will be passed on to client.

• In case client wants to take physical delivery of futures or in the money options , Client is required to bring in funds(contract value) in advance or hold shares to the extent of obligaton arrived.