SEBI limits exposure margin for equity derivatives to 5 per cent

The Securities Exchange Board of India (SEBI) has revised the exposure margin for exchange traded equity derivatives for stock exchanges to 5 per cent 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 stock, from the earlier 10 per cent.

This is in modification of the SEBI circular dated 15 October 2008, which specified that the exposure margin should be higher of 10 per cent 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, SEBI said in a release.

SEBI said the revision has been done on the basis of feedback received from market participants and to promote the development of, and to regulate the securities market.

The new guidelines will come into force from 15 July 2010, SEBI said.