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    New Updates In Futures & Options

    What is Change in the Open Interest (OI) Calculation methodology - Delta-Based (Future-Equivalent) OI?

    Earlier Practice:

    Open Interest (OI) was measured based on the total number of outstanding lots / contracts held, without accounting for the actual risk or exposure.

    New Rule:

    OI shall now be measured at the portfolio level by computing net delta adjusted open positions across futures and options, called Future Equivalent Open Interest (FutEq OI), which reflects actual price sensitivity to the underlying stock/index.

     

    Delta denotes sensitivity of price movement of derivative position with respect to that of the underlying:

    Futures: Delta = +1 or -1 (long/short)

    Call Option: Delta ranges between 0 to +1 (positive direction)

    Put Option: Delta ranges between 0 to -1 (negative direction)

     

    This delta-based approach captures true directional exposure and will now be used for the following:

    a. Position Limit Monitoring for Index Futures and Index Options

    b. Computation of Market Wide Position Limit (MWPL)

    c. Position Creation for Single Stocks during Ban Period

    What can I do if I already have a position in a banned stock? What is MWPL? When does any stock enter Ban Period in F&O segment? Can I trade in a stock that is under MWPL ban period? What is Position Limit Monitoring for Index Futures and Index Options?
    Where can I check my turnover statement for futures and options?
    What is the Option 20 scheme? What is the GST amount for option trade? Where do I check the date from which I have been mapped under Options 20? Does ICICI Direct offer Futures & Options (F&O) contracts with up to 1-year expiry? What is VAR + ELM? Why is it required for stock options? What are the brokerage charges in Futures & Options if I am mapped to Option 7 scheme? Can I place an order before market hours on ICICI Direct? What is the MTM (Mark-to-Market) process in F&O? Why am I unable to place an F&O order? Recent Price Revision in F&O When is Extreme Loss Margin(ELM) applicable?
    What are the new lot sizes for index derivatives? When will the new lot sizes for weekly and monthly contracts be effective? What happens to existing contracts during the transition? Can different lot sizes co-exist in the same month? How do the new lot sizes impact margin requirements? What other changes has SEBI introduced in the F&O segment? What is the rationale behind the changes in Futures and Options new rules mentioned in circular dated November 2024? What are the implementation dates for the new changes? What is revised expiry schedule for NSE contracts? What is revised expiry schedule for BSE contracts? When will the new lot sizes for derivative contracts be effective? What is the change in lot size for long dated and do I need to square off my long-dated positions?
    Removal of Calendar Spread Margin Benefits on Expiry Days What is the removal of calendar spread? What is a calendar spread? How does the removal of margin benefit work on the day of expiry? Which contracts are affected due to removal of calendar spread? What will happen to my calendar spread on expiry day? Will this rule apply to Options Calendar Spread as well? How can traders manage this change? Where can I see my total margins for my positions one day before the expiry? If I am unable to bring the margin how my position will be impacted?
    What is the timeline to act on a shortfall? What should I do in case of a margin shortfall? When does margin shortfall occur? How will I know if I have a margin shortfall?
    What is a Quantity Freeze Limit in futures and options?
    For which instruments is pre-open session applicable in Equity Derivatives market? What are the pre-open session timings? What shall be the trading parameters for Equity Derivatives market for pre-open session? Will the Self Trade Prevention Check (STPC) mechanism be applicable during the pre-open session in the Equity Derivatives segment? The pre-open session comprises of how many sessions? What are the features? On what basis is the equilibrium / opening price determined for pre-open session? What happens to unmatched orders which are entered in the pre-open session? Will the orders received in pre-open session be validated at the applicable margins?
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