This has reference to Exchange Notice no. 20240430-50 dated April 30, 2024, announcing the launch of Single Stock Derivatives in Equity Derivatives Segment with change in expiry day and Exchange notice number 20240420-1 dated April 20, 2024 on “Pre-Trade Risk Control – Limit Price Protection in Equity Derivatives Segment – Update”.
In this regard, Trading Members are hereby notified that during the initial phase, Price Reasonability Check (PRC) would be applicable in lieu of Limit Price Protection (LPP) mechanism for Single Stock Derivatives contracts in Equity Derivatives Segment with effect from July 1, 2024, until further notice.
Accordingly, the Price Reasonability Range (PRR) for Stock Futures and Stock Options contracts shall be applicable as under:
A. PRR slabs for Stock Futures: -
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SLAB (in Rs)
|
|
Order Price Range From
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Order Price Range To
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PRR Range in Percentage (of reference price)
|
|
<= Rs.100
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4%
|
|
>Rs.100
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<= Rs.500
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3%
|
|
Rs.500
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<=Rs.5000
|
2%
|
|
>Rs.5000
|
1%
|
B. PRR slabs for Stock Options: -
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Order /close Price Range from (Start Range)
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Order / close Price Range To
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Current PRR Range in Rs. / %age
|
Proposed PRR Range in Rs. / %age
|
|
0.05
|
10.00
|
Rs. 1
|
Rs. 3
|
|
10.05
|
20.00
|
Rs. 2
|
Rs. 6
|
|
20.05
|
50.00
|
Rs. 5
|
Rs. 10
|
|
50.05
|
100.00
|
Rs. 10
|
Rs. 20
|
|
100.05
|
200.00
|
Rs. 20
|
Rs. 30
|
|
200.05
|
300.00
|
Rs. 40
|
Rs. 50
|
|
300.05
|
400.00
|
Rs. 40
|
Rs. 65
|
|
400.05
|
500.00
|
Rs. 40
|
Rs. 75
|
|
500.05
|
1000.00
|
10%
|
Rs. 100
|
|
1000.05
|
2000.00
|
10%
|
Rs. 200
|
|
2000.05 and above
|
10%
|
15%
|
Market Participants may kindly note that, there will be no changes in Index Derivatives contracts and the Limit Price Protection (LPP) mechanism will continue to be applicable in all Index Derivatives contracts.
As enumerated in various Exchange notices and advisories issued from time to time, it is reiterated and urged that Trading Members should review all pre-trade risk controls and limits and ensure to exercise due care and diligence while placing orders in the trading system.
In case of any queries or clarifications on the above-mentioned modifications, trading members may kindly contact their respective Relationship Manager.
For & On Behalf of BSE Ltd,
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Sachin Lad
|
Harish Kadam
|
|
Assistant General Manager
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Manager
|
|
Surveillance
Date: June 28, 2024
|
Surveillance
|
|