With reference to SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2024/58 dated May 24, 2024 and Exchange notice no. 20241018-48 dated October 18, 2024, with respect to implementation of implementation of SEBI circular para (D) Sliding price band on account of flexing and para (E) Trading in options segment during cooling off in underlying / futures contracts, the Exchange hereby notifies the below two updates.
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Updates
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Existing Criteria
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Revised Criteria
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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
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In the event of a market trend in either direction, the dynamic price band shall be relaxed at a time in the direction of the price movement during the day in co-ordination with the other Exchange as follows:
· If the last trade occurs at 9.90 % or more of the base price, the dynamic price band shall be relaxed to 15%. Subsequently, if the last trade occurs at 14.90% or more then the same would be relaxed to 20% and so on by relaxing dynamic price band in the manner defined in Exchange notice 20240816-60 dated August 16,2024.
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Whenever the price band of a scrip /contract is flexed in the direction of price movement (in the manner as specified in Exchange notice 20240816-60 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 prescribed in Exchange notice 20240531-2 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.
Further, 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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2. Trading in options segment during cooling off in underlying / futures contracts as mentioned in Para (E) SEBI/HO/MRD/TPD-1/P/CIR/2024/58 dated May 24, 2024
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Contract specific dynamic price band is computed intraday periodically based on its delta value for options contracts.
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A temporary price floor or ceiling i.e. Hard Price Band on LTP /Theoretical price for stock options in the sentimental direction of price trend in the underlying, as applicable, would be placed once underlying triggers cooling off. (Details in Annexure B)
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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.
Sachin Lad Harish Kadam
Assistant General Manager Manager
November 12, 2024
Annexure A
Details of the updates are as under:
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 In the revised framework, if the dynamic price band of a futures contract is flexed in one direction, the price band on the other side would be flexed concurrently by equivalent amount in the direction of price movement. Accordingly, orders pending with limit prices beyond the new price band would be cancelled by the Exchange.
1.2 Illustration of sliding band
Upward flex scenario (Table 1.2.1)
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Contract
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Base price
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Price band Applicable on 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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Upward flex scenario (Table 1.2.2)
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Contract
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Base price
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Price band Applicable on 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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1.3 Consequently, for upward flex scenario (Table 1.2.1), all pending orders with limit prices between Rs. 90 to Rs. 95 which are outside the new price band, would be cancelled by Exchange system automatically with appropriate intimation (details in point 1.6). However outstanding (not yet triggered) 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 the RL (Regular Lot / Main order book) book (as per extant mechanism). Similar treatment would be given in the scenario of downward flexing (Table 1.2.2).
1.4 Subsequently with respect to scenario mentioned in Table 1.4.1, if the price trends downwards on the same day and hits the new lower band i.e. Rs. 95 in the below illustration, the new price band after flexing will be Rs. 90 to Rs.110, provided the criteria is satisfied (criteria as per Exchange notice 20240531-2 dated May 31, 2024^^).
(Table 1.4.1)
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Contract
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Base Price
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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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1.5 In exceptional scenarios of highly volatile price movement in scrip/ futures contracts (Stock Futures) in opposite direction within the cooling off period (for cooling off period refer Exchange notice 20240816-60 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 20240531-2 dated May 31, 2024,^^at or beyond the midpoint) before such impending flex is applied.
Examples of such scenario are as under:
1.
1.1.
1.2.
1.3.
1.4.
1.5.
1.5.1 For upward flex trigger – With reference to example in above Table 1.2.1, 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 20240816-60 dated August 16, 2024) and the underlying scrips / contracts 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 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 20240531-2 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 20240816-60 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/contract will remain at Rs.90 to Rs.110 even after 14:15 hrs.
1.5.2 For downward flex trigger – With reference to example in above Table 1.2.2, 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 20240816-60 dated August 16, 2024) and the underlying scrips / contracts price moves in the opposite direction (upwards) within this cooling off period and breaches Rs.100 (i.e. mid-point of existing price band – (“(Rs.90+Rs110)/2”) and also meets 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 20240531-2 dated May 31, 2024) at such price (Rs.100 or above). In such scenario, the impending actions of price flex in CM and FAO (Exchange notice 20240816-60 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/contract will remain at Rs.90 to Rs.110 even after 14:15 hrs.
1.5.3 Illustration
1.5.3.1 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 (if the objective conditions as per ^^ are met) then flex won’t be initiated.
1.5.3.2 For Downward Flex trigger - When current Band is Rs.90 – Rs.110 and the impending revised band is Rs.85 – Rs.105, and the LTP is > = Rs.100 (if the objective conditions as per ^^ are met) then flex won’t be initiated.
1.5.3.3 Mid-Point = (High Band + Low Band)/2 i.e. (Rs.90+Rs.110)/2 = Rs.100.
1.6 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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Annexure B
Details of the updates are as under:
2. Trading in options segment during cooling off in underlying / futures contracts as mentioned in Para (E) SEBI/HO/MRD/TPD-1/P/CIR/2024/58 dated May 24, 2024:
2.1 This is w.r.t above mentioned SEBI circular, below is the additional mechanism applicable to stock options:
2.2 A temporary price floor or ceiling i.e. Hard Price band on LTP /theoretical price for stock options in the sentimental direction of price trend in the underlying, as applicable, would be placed once underlying scrip / contract triggers cooling off. This is summarised below:
2.2.1 If the Last Traded Price (LTP) of the stock options contract is available and not stale, the temporary floor or ceiling as applicable, would be linked to LTP of stock options contract.
2.2.2 If the LTP of the stock options contract is unavailable or stale, the temporary floor or ceiling as applicable, would be linked to theoretical price of the options contract.
2.2.3 Such temporary floor or ceiling would allow certain percentage movement (X)&& over the last traded price/ theoretical price to allow market participants to, for instance, hedge/close their open positions by executing trades in options during cooling off.
2.2.4 Temporary floor or ceiling Parameters w.r.t point 2.2.3 shall be as under: - (&&)
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LTP / Theoretical Price
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X = 30%
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2.2.5 Pending orders (in the sentimental direction of price trend in the underlying) beyond the temporary floor or ceiling shall be cancelled by the Exchange.
2.2.6 Any incoming limit order placed beyond such temporary floor or ceiling, shall automatically be rejected by the Exchange.
2.2.7 Once price band for underlying scrip / contract is flexed, at the end of cooling off period, temporary floor or ceiling on option contracts on that underlying shall be withdrawn.
2.2.8 Illustration of applicability of temporary ceiling/floor in sentimental direction:
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Underlying Flex
Direction
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Call Options
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Put Options
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High
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Low
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High
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Low
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Upward
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Ceiling
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##
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##
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Floor
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Downward
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##
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Floor
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Ceiling
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##
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## As per existing price band framework
2.2.9 Illustration for Point 2.2.3, 2.2.4, 2.2.5, 2.2.7 and 2.2.8 of is as under:
2.2.9.1 Upward Flexing Cooling Off
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Event
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Time
(Cooling off from
9:20:05 to 9:35:05)
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CE (Premium in Rs.)
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PE (Premium in Rs.)
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LTP / Theo Price
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Upper Price Band
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Lower Price Band
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LTP / Theo Price
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Upper Price Band
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Lower Price Band
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Before cooling off
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9:20:00
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100
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140
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60
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200
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280
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120
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Cool Off trigger in Underlying
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9:20:05
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100
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130$
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60
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200
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280
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140$
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During Cool Off Period
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9:22:05
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110
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130$
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60
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190
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280
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140$
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At cooling Off end #
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9:35:05
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100
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140
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60
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200
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280
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120
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Notes:
1. $ - In Call options contract, temporary high is capped at Rs.130, irrespective of the change in LTP from Rs.100 to Rs.110. Similarly, in Put options contract, temporary low capped at Rs.140 irrespective of the change in LTP from Rs.200 to Rs.190.
2. Applicability of ceiling/floor is only in the sentimental direction.
3. # - Assuming 15 min. cool off period as per Exchange notice no. 20240816-60 dated August 16, 2024.
4. Pending orders in Call options beyond temporary high price of Rs.130 and in Put options beyond temporary low price of Rs.140 shall be cancelled by the Exchange system.
2.2.9.2 Downward Flexing Cooling Off
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Event
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Time
(Cooling off from
9:20:05 to 9:35:05)
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CE (Premium in Rs.)
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PE (Premium in Rs.)
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LTP / Theo Price
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Upper Price Band
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Lower Price Band
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LTP / Theo Price
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Upper Price Band
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Lower Price Band
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Before cooling off
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9:20:00
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100
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140
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60
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200
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280
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120
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Cool Off trigger in Underlying
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9:20:05
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100
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140
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70$
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200
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260$
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120
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During Cool Off Period
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9:22:05
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90
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140
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70$
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210
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260$
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120
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At cooling Off end #
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9:35:05
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100
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140
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60
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200
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280
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120
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Notes:
1. $ - In Call options contract, temporary low is capped at Rs.70, irrespective of the change in LTP from Rs.100 to Rs.90. Similarly, in Put options contract, temporary high is capped at Rs.260 irrespective of the change in LTP from Rs.200 to Rs.210.
2. Applicability of ceiling/floor is only in the sentimental direction.
3. # - Assuming 15 min. cool off period.as per Exchange notice 20240816-60 dated August 16, 2024.
4. Pending orders in Call options beyond temporary low price of Rs.70 and in Put options beyond temporary high price of Rs.260 shall be cancelled by the Exchange system.
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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Please note all other provisions as mentioned in Exchange master circular no. 20240430-56 dated April 30, 2024, shall remain unchanged.
Following is the summary of earlier important 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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20240527-59
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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 Stock Futures - Update
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20240531-2
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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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20240816-60
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16-Aug-24
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