Collection of Net Option value for In/Out of the money options in Cash

• Notice No: 20190215-46
• Notice Date: 15 Feb 2019
• Category: Settlement/RMS
• Segment: Derivatives

All Members/Custodians/PCM 

Sub: Collection of Net Option value for In/Out of the money options in Cash

As an ongoing measure of risk containment and surveillance as decided in the joint meeting between SEBI, Stock Exchanges and Clearing Corporations, the following measures on In the Money (ITM) and Out of the Money (OTM) options contracts shall be levied:

·        The current value of ITM/OTM options contracts shall be collected by Clearing Corporation in Cash for all net short positions as per parameters specified in table below

·        The amount shall be computed at client level as net short value of option positions in ITM/OTM options contracts and aggregated at clearing member level

·        Clearing Corporation shall inform the clearing member of the Cash required at end of day and the clearing member shall provide the same before close of next trading day.

·        The value shall be based on end of day settlement price of the options contracts

·        The ITM/OTM option contracts for the above purpose shall be identified as contracts with strike prices which are ‘x’% away from the closing value of Index/Stock as specified below

The above measures shall be made applicable in phased manner as per the schedule given below:

% of strike prices  away from the closing value of Index/Stock	Contracts which are applicable	Effective Date
Greater than or equal to 50%	All option contracts on Index/Stocks	01-Mar-19
Greater than or equal to 40%	All option contracts on Index/Stocks	08-Mar-19
Greater than or equal to 30%	All option contracts on Index with expiry date upto 2 years	15-Mar-19
Greater than or equal to 20%	All option contracts on Index with expiry date upto 9 months	29-Mar-19

Clearing member shall be required to maintain the necessary cash as collateral towards the net option value as specified above on a daily basis. Non maintenance of cash toward the net option value shall be considered as margin shortfall and all actions (including penalty) as applicable for margin shortfall shall be applicable.

 Members are requested to take note of the above.

In case of any assistance/clarification, please do not hesitate to contact us. 

For and on behalf of Indian Clearing Corporation Ltd.

Piyush Chourasia

Chief Risk Officer & Head - Strategy

Risk Department
Email	[e-mail]
Contact No:	[phone]/5820/8811