In pursuance of SEBI guidelines for adjustment of Futures & Options Contracts on announcement of corporate action, the members of the Equity Derivatives Segment are hereby informed the following:
JSW STEEL LTD has informed BSE that the Company has fixed Record Date as January 05, 2017 for the purpose of sub-division of Equity Shares of the Company from Face Value of Rs. 10/- each to Face Value of Rs. 1/- each and for determining members eligible to receive equity shares of Face Value of Rs. 1/- each of the Company.
In view of the above and in compliance with the aforementioned SEBI guidelines, the Exchange shall make the necessary adjustments for all the available Futures & Options contracts on the underlying scrip JSW STEEL LTD (Derivatives Asset Code – JSWL) on end of day on January 03, 2017 the ‘ex-date’ being January 04, 2017. The adjustments to be made on account of the above corporate action in line with SEBI guidelines are given below:
A) Adjustment Factor:
If the ratio of Stock Split is say A:B, the adjustment factor is defined as A/B. The stock split ratio of JSW STEEL LTD is 10:1. Therefore, the adjustment factor for stock split in this case would be 10/1 = 10.
Therefore, based on the above, the final adjustment factor for the scrip JSW STEEL LTD would be 10.
B) Adjustments for Futures & Options Contracts:
1. Strike Price: The adjusted strike price shall be arrived at by dividing the old strike price by the adjustment factor (10).The revised strike prices on account of adjustment shall be as shown below (example):
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Existing Strike Prices (call/put)
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Revised Strike Prices after dividing by adjustment factor (call/put)
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1530
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153
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1560
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156
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1590
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159
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1620
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162
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1650
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165
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2. Market Lot: The adjusted market lot shall be arrived at by multiplying the old market lot by the adjustment factor (10).
The revised market lot would therefore be as under:
Existing Market lot - 300; Adjustment factor – 10
Revised market lot after multiplying existing market lot by adjustment factor – 3000 (300*10)
3. Position: The adjusted position shall be arrived at by multiplying the old position by the adjustment factor. An example is given below:
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Existing position before corporate action
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Adjusted positions after corporate action
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300
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3000
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600
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6000
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900
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9000
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1200
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12000
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4. Futures price: The adjusted futures price shall be arrived by dividing the old futures price by the adjustment factor (10). The adjusted futures price shall be rounded off to the nearest tick size.
For any further clarifications, Trading members are requested to contact their designated Relationship Managers.
For & on behalf of BSE Ltd,
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Ketan Jantre
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Sandeep Pujari
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GM – Trading Operations
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Sr. Manager – Trading Operations
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