Sebi committee seeks to ease gross F&O index exposure limit

Big Relief

- ANANYA GROVER & NESIL STANEY

THE SECURITIES & Exchange Board of India's secondary market advisory committee has approved the proposal to shift to a delta-based calculation of open interest. However, the change will take effect with a higher limit on index options of ₹10,000 crore gross on each side and ₹1,500 crore net, said people in direct knowledge.

In its February consultation paper, the regulator had proposed a net future equivalent limit of ₹500 crore and a gross limit of ₹1,500 crore. It had noted that currently, for index options, the monitoring mechanism adds long and short notional positions to arrive at a net figure. The regulator has also decided to do away with the intraday limits.