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CMPT40245

The document announces that clearing corporations will begin collecting cash for net short positions in in-the-money and out-of-the-money options contracts based on percentages away from the closing index or stock value, with different percentages and contract types being phased in starting on March 1st; clearing members will be required to maintain the necessary cash collateral daily or face penalties for margin shortfalls.

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90 views2 pages

CMPT40245

The document announces that clearing corporations will begin collecting cash for net short positions in in-the-money and out-of-the-money options contracts based on percentages away from the closing index or stock value, with different percentages and contract types being phased in starting on March 1st; clearing members will be required to maintain the necessary cash collateral daily or face penalties for margin shortfalls.

Uploaded by

indraaaj
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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DEPARTMENT : FUTURES AND OPTIONS SEGMENT


Download Ref No: NCL/CMPT/40245 Date : February 15, 2019
Circular Ref. No: 19/2019

All Members/Custodians/PCM

Sub: Collection of Net Option Value for In/Out of the money options in Cash
As an ongoing measure of risk containment and surveillance as decided in the joint meeting
between SEBI, Exchanges and Clearing Corporations, the following measures on In the
Money (ITM) and Out of the Money (OTM) options contracts shall be levied:
 The current value of ITM/OTM options contracts shall be collected by Clearing
Corporation in Cash for all net short positions as per parameters specified in table
below
 The amount shall be computed at client level as net short value of option positions in
ITM/OTM options contracts and aggregated at clearing member level
 Clearing Corporation shall inform the clearing member of the Cash required at end of
day and the clearing member shall provide the same before close of next trading day.
 The value shall be based on end of day settlement price of the options contracts
 The ITM/OTM option contracts for the above purpose shall be identified as contracts
with strike prices which are ‘x’% away from the closing value of Index/Stock as
specified below
Above shall be made applicable in phased manner as under:

% of strike prices away Contracts which are Effective Date


from the closing value of applicable
Index/Stock
Greater than or equal to All option contracts on 01-Mar-2019
50% Index/Stocks
Greater than or equal to All option contracts on 08-Mar-2019
40% Index/Stocks
Greater than or equal to All option contracts on 15-Mar-2019
30% Index with expiry date
upto 2 years
Greater than or equal to All option contracts on 29-Mar-2019
20% Index with expiry date
upto 9 months
Continuation Sheet

Clearing member shall be required to maintain the necessary cash as collateral towards the
net option value as specified above on a daily basis. Non maintenance of cash toward the net
option value shall be considered as margin shortfall and all actions (including penalty) as
applicable for margin shortfall shall be applicable.
Members are requested to take note of the above

For and on behalf of


NSE Clearing Limited
(Formerly known as National Securities Clearing Corporation Limited)

Huzefa Mahuvawala
Vice President

Telephone No Fax No Email id


1800 266 0057 022-26598243 risk_ops@nsccl.co.in

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