General Manager

Derivatives and New Products Department

SEBI/DNPD/Cir-4 1/2008

October 15, 2008


The Managing Director / Executive Director of Derivative Segment of NSE and BSE and their Clearing Houses / Corporations.

Dear Sir,

Sub: Revised Exposure Margin for Exchange Traded Etiuity Derivatives

This is in partial modification of SEBI Circular No. SMDRP/DC/CIR-13/02 dated December 18, 2002 which, inter-alia, specified that the exposure margin shall be higher of 5% 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.

With a view to ensure market safety and safeguard the interest of investors, it has now been decided that the said exposure margin shall be higher of 10% or 1.5 times the standard deviation (of daily logarithmic returns of the stock price), with effect from October 21, 2008.

This circular is being issued in exercise of powers conferred by sub-section (1) of section 11 of the Securities and Exchange Board of India Act, 1992, to protect the interests of investors in securities and to promote the development of, and to regulate the securities market.

This circular is available on SEBI website at, under the category “Derivatives – Circulars”.

Yours faithfully,


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