SEBI’s circular dated August 30, 2024, has significantly revised the eligibility criteria governing the entry and exit of stocks in the derivatives (Futures & Options or F&O) segment across Indian exchanges. A stock becomes eligible for exit if it fails any one of the specified Cash Market Metrics for three consecutive months on a rolling basis, using data from the previous six months. The key thresholds for these metrics include a minimum Median Quarter Sigma Order Size (MQSOS) of SEO Title: SEBI Revises F&O Eligibility: New Entry and Exit Norms75 lakh, a minimum Market Wide Position Limit (MWPL) value of Rs.1,500 crore, and a minimum Average Daily Delivery Value (ADDV) in the cash market of Rs.35 crore. Furthermore, the stock must satisfy the Product Success Framework (PSF) metrics continuously for three rolling months to continue in the F&O segment. PSF requirements include derivatives trading on at least 75% of trading days, an average daily F&O turnover of at least Rs.75 crore, and an average daily notional open interest of at least Rs.500 crore. A stock is removed only if it fails these criteria across all exchanges. Once removed, a stock is barred from re-inclusion for one year and must then meet all original eligibility criteria for six consecutive months for reconsideration.
Exit / Removal Criteria under the Circular
1. Eligibility Criteria (Cash Market Metrics)
If a stock fails any one of these for 3 consecutive months, on a rolling basis, based on the data for previous 6 months, then it is eligible for exit.
| Metric | Required Threshold |
| Median Quarter Sigma Order Size (MQSOS)
A stock’s quarter-sigma order size shall mean the order size (in value terms) required to cause a change in the stock price equal to one-quarter of a standard deviation. |
minimum ₹ 75 lakh |
| Market Wide Position Limit (MWPL)
The MWPL (number of shares) shall be valued at the closing prices of stocks in the underlying cash market on the expiry date of contract. The MWPL of open position (in terms of the number of underlying stock) on F&O contracts shall be 20% of the number of shares held by non-promoters i.e. free-float holding. |
minimum ₹ 1,500 crore |
| Average Daily Delivery Value (ADDV) in cash market
The ADDV shall be computed taking Deliverable quantity as per client level as computed by NSE Clearing Limited on a daily basis and close price of the trade date. |
minimum ₹ 35 crore |
| Average Daily Market cap & traded value (ADTV) on rolling basis | among top 500 |
2. Product Success Framework (PSF) – Derivative Market Metrics
The stock must additionally satisfy all the PSF metrics for continuous period of 3 months, on a rolling basis, based on the data for previous 6 months, to continue in F&O segment:
| PSF Metric | Required Threshold / Condition |
| Number of trading members participating | Atleast 15% of active F&O members or 200 members (whichever lower) must trade that stock on average monthly |
| Trading frequency in derivative segment | Stock derivatives should trade on at least 75% of trading days during review period |
| Average daily turnover (F&O = premium + futures) | Atleast ₹ 75 crore |
| Average daily notional open interest (Futures + Options) | Atleast ₹ 500 crore |
3. Other Provisions :
- The stock is removed from F&O across all exchanges only if it fails criteria on all exchanges. If it’s eligible on any exchange, it may continue.
- Once removed, a stock cannot be re‑included into F&O for 1 year from the date of exit.
- In such instances, the stock is required to fulfil the above-mentioned eligibility criteria for 6 consecutive monthsto be re-introduced for derivatives trading, subject to SEBI approval.
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