With reference to SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2024/58 dated May 24, 2024 and Exchange notice no. 20241018-47 dated October 18, 2024, with respect to implementation of SEBI circular para (D) Sliding price band on account of flexing and in partial modification to Exchange master circular 20240430-55 dated April 30, 2024 - PART II - ITEM 1, 1.1.(Price Band), the Exchange hereby notifies the below update for enhancement of dynamic price bands.
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Updates
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Existing Criteria
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Revised Criteria
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Sliding price band on account of flexing as required in Para (D) of SEBI/HO/MRD/TPD-1/P/CIR/2024/58 dated May 24, 2024
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Price band shall be flexed only in the direction in which the price has moved (in the manner as specified in Exchange notice no.
20240816-59 dated August 16, 2024) and met the criteria (as per Exchange notice no. 20240531-1 dated May 31, 2024^^). Thus, price band expands in the direction of the price movement.
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Whenever the price band of a scrip is flexed in the direction of price movement (in the manner as specified in Exchange notice no.20240816-59 dated August 16, 2024) on meeting the objective criteria of flexing (i.e. 50 trades to be executed with 10 different UCCs and 3 trading members on each side of the trade as defined in Exchange notice no. 20240531-1 dated May 31, 2024^^), the price band on the other side (i.e. lower band in case of upward price movement and higher band in case of downward price movement) would also be flexed concurrently by equivalent amount in the direction of price movement. Thus, ensuring that the price band slides in the direction of price movement instead of expanding.
Pending orders with limit prices which are not within the new price band would be cancelled by the Exchange.
(Details in Annexure A)
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The above shall be effective in Live from November 18, 2024 and shall be available for testing in mock being conducted on November 16, 2024.
For and on behalf of BSE Ltd.
Jeevan Noronha Saji Sunilkumar
Assistant General Manager Assistant General Manager
November 12, 2024
Annexure A
1. Sliding price band on account of flexing as mentioned in Para (D) of SEBI/HO/MRD/TPD-1/P/CIR/2024/58 dated May 24, 2024:
1.1 Illustration of sliding band
Upward flex scenario (Table 1.1.1)
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Stock
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Close price on (T-1 day)
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Price band applicable on (T Day) start of day
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Lower Band
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Upper Band
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If Upper price band Flexed to
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Price Band as per existing framework
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Price Band as per revised framework
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A
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Rs. 100
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10%
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Rs. 90
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Rs. 110
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Rs. 115
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Rs. 90-Rs. 115
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Rs. 95-Rs. 115
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Downward flex scenario (Table 1.1.2)
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Stock
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Close price on (T-1 day)
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Price band applicable on (T Day) start of day
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Lower Band
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Upper Band
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If Lower price band Flexed to
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Price Band as per existing framework
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Price Band as per revised framework
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A
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Rs. 100
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10%
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Rs. 90
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Rs. 110
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Rs. 85
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Rs. 85 -Rs. 110
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Rs. 85-Rs. 105
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1.2 Consequently, for the upward flex scenario (Table1.1.1), all pending orders in RL (Regular lot/Main Order book) with limit prices between Rs. 90 to Rs. 95 which will now be outside the new price band, would be cancelled by Exchange system automatically, with appropriate intimation (details in point 4). However, outstanding stop loss (SL) orders falling outside of such new price band shall not be cancelled. On trigger of the stop loss order, while releasing the order to the RL (Regular Lot / Main order book) book, only such orders with limit price within the prevailing price band shall be accepted by the Exchange system in RL (Regular Lot / Main order book) book (as per extant mechanism). Similar treatment would be given in the scenario of downward flexing (Table 1.1.2).
1.3 Subsequently with respect to scenario mentioned in Table 1.1.1, if the price trends downwards on the same day and hits the new lower band i.e. Rs. 95 in the above illustration, the new price band after flexing will be Rs. 90 to Rs.110, provided the objective criteria of flexing is satisfied.
(Table 1.3.1)
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Stock
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Close price on (T-1 day)
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Current Lower Band
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Current Upper Band
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If lower price band Flexed to
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Revised price band after flexing
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A
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Rs. 100
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Rs. 95
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Rs. 115
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Rs. 90
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Rs. 90-Rs 110
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2. In exceptional scenarios of highly volatile price movement in a scrip/ current month stock futures contract in the opposite direction within the cooling off period (for cooling off period refer Exchange notice no.20240816-59 dated August 16, 2024), the impending flex would be cancelled if the such price movement breaches the midpoint of the price band (and also satisfies the objective criteria of flexing as per Exchange notice no. 20240531-1 dated May 31, 2024, at or beyond the midpoint) during the cooling off period, before such impending flex is affected. Examples of such scenario are as under:
2.1. For upward flex trigger – With reference to the example in Table 1.1.1, if price moves upwards at say 14:00 hrs and the new impending price band is Rs.95 to Rs.115 (existing band Rs.90 to Rs.110) with cooling off period - 14:00 hrs to 14:15 hrs. (Exchange notice no.20240816-59 dated August 16, 2024). And the underlying scrip price moves in the opposite direction (downwards) within this cooling off period and breaches Rs.100 (i.e. midpoint of existing price band – (“(Rs.90+Rs110)/2”) and also meets objective criteria of flexing (i.e. 50 trades to be executed with 10 different UCCs and 3 trading members on each side of the trade as defined in Exchange notice no. 20240531-1 dated May 31, 2024) at such price (Rs.100 or below). In such scenario, the impending actions of price flex in CM and FAO (Exchange notice no.20240816-59 dated August 16, 2024), sliding of price band and resultant order cancellation at 14:15 hrs shall be aborted. As a result of the above, the price band of the scrip will remain at Rs.90 to Rs.110 even after 14:15 hrs.
2.2. For downward flex trigger – With reference to the example in Table 1.1.2, if price moves downwards at say 14:00 hrs. and the new impending price band is Rs.85 to Rs.105 (existing band Rs.90 to Rs.110) with cooling off period - 14:00 hrs to 14:15 hrs. (Exchange notice no.20240816-59 dated August 16, 2024). And the underlying scrip price moves in the opposite direction (upwards) within this cooling off period and breaches Rs.100 ( i.e. midpoint of existing price band – (“(Rs.90+Rs110)/2”) and also meets objective criteria of flexing (i.e. 50 trades to be executed with 10 different UCCs and 3 trading members on each side of the trade - as defined in Exchange notice no. 20240531-1 dated May 31, 2024) at such price (Rs.100 or above). In such a scenario, the impending actions of price flex in CM and FAO (Exchange notice no.20240816-59 dated August 16, 2024) i.e. sliding of price band and resultant order cancellation at 14:15 hrs. shall be aborted. As a result of the above, the price band of the scrip will remain at Rs. 90 to Rs.110 even after 14:15 hrs.
2.3. Illustration
2.3.1. For Upward Flex trigger - When current Band is Rs.90-Rs.110 and the impending revised band is Rs.95-Rs.115, and the LTP is < = Rs.100 (conditions as per ^^ are met) then flex won’t be initiated.
2.3.2. For Downward Flex trigger - When current Band is Rs.90-Rs.110 and the revised band is Rs.85-Rs.105, and the LTP is > = Rs.100 (conditions as per ^^ are met) then flex won’t be initiated.
2.3.3. Mid-Point = (High Band + Low Band)/2 i.e. (Rs.90+Rs.110)/2 = Rs.100.
3. Please note all other details as mentioned in the aforesaid circulars shall remain unchanged.
4. Message dissemination details are provided as below:
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Particulars
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Error Message
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Error message upon cancellation of outstanding orders for being outside the revised price band/range
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“Order Returned- Out of Price Band”
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Following is the summary of important earlier releases pertaining to the Sebi Circular SEBI/HO/MRD/TPD-1/P/CIR/2024/58 dated May 24, 2024.
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Sr. No
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Particulars
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Subject
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Download Reference Notice no.
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Date
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1
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SEBI Circular Forwarded by Exchange
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Enhancement of Dynamic Price Bands for scrips in the Derivatives segment
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20240527-60
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27-May-24
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2
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(A) Enhancing conditions precedent before flexing price band
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Enhancement of Dynamic Price Bands for scrips in the Derivatives segment - Update
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20240531-1
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31-May-24
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3
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(B) Aligning price bands between underlying and its futures contracts.
(C) Strengthening Volatility / Risk Management and minimizing information asymmetry for extreme price movement
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Enhancement of Dynamic Price Bands for Stock Futures - Update
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20240816-59
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16-Aug-24
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