In partial modification of notice no 30 dated 30th November 2011 titled Consolidated Master Circular on LEIPS–II Programme, Trading Members are hereby informed that the Exchange proposes to amend certain terms and conditions of LEIPS-II Programme. These revisions are as under -
1. Revision in No of Time Periods in Daily Volume Incentive Cap to 1 Minute Time Interval
With effect from 16th December 2011, Daily Volume Incentive Cap for Futures and Options (Notional) turnover has been set as Rs.1800 crore and Rs 5100 crore respectively. The cap has been equally distributed in 3 time periods.
Members are hereby informed that the Exchange proposes to increase the number of time periods from 3 to 375 time periods of 1 minute interval each to ensure continuous participation throughout the trading day as below -
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Total No of Time Periods
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Duration of Each Time Period
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Time Period wise Cap for Futures Trading
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Time Period wise Cap for Options Trading (Notional volume)
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Current
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3
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First session of 2 hour 15 minutes
Rest 2 sessions of 2 hours each
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Rs. 600 Crore
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Rs. 1700 Crore
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Proposed
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375
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1 minute
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Rs. 4.8 Crore
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Rs. 13.6 Crore
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Daily Volume Incentive Cap
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Rs. 1,800 Crore
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Rs. 5,100 Crore
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Aforesaid amendment shall be effective from 27th December 2011.
2. Market Maker Quoting Obligations in Futures
Currently, Market Maker (MM) size/spread obligations are relaxed once the Volume Incentive Cap for the Time Period is breached.
Members are hereby informed that the Exchange proposes to revise the above provision wherein MM shall be required to quote as per size/spread obligations in Futures (as per prevailing rules of LEIPS-II programme) throughout the day uniformly even after the Volume Incentive Cap for Futures is breached.
Aforesaid amendment shall be effective from 27th December 2011.
3. Roll Period Obligations for Options (5 days prior to expiry)
Presently, MMs are required to maintain quote obligations in ATM, 1 ITM and 2 OTM strikes of current month options contracts, during the roll over period.
Members are hereby informed that MM quote obligations during the roll period shall now be applicable to ATM and OTM strikes only and not for ITM strikes for the current month contracts.
In ITM strikes of current month contracts, the MM shall however be required to demonstrate presence instead of quote obligations.
Aforesaid amendment shall be effective from 6th January 2012.
Trading members may please note other terms and conditions of LEIPS II scheme shall remain unchanged.
For any further clarifications, members are advised to contacts their designated Relationship Managers.
For and on behalf of
BSE Limited.
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Rajesh Saraf
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Sameer Vaze
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General Manager – Trading Operations
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Deputy Manager – Trading Operations
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