To All Members
This has reference to the SEBI Circular No. SEBI/HO/MRD/TPD-1/P/CIR/2024/132 dated October 01, 2024, SEBI/HO/MRD/MRD-PoD-2/P/CIR/2024/140 dated October 15, 2024 and SEBI/HO/MRD/TPD-1/P/CIR/2025/41 dated March 28, 2025. As required by SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2025/41 dated March 28, 2025, this circular contains the SOP regarding modalities of monitoring position limits.
1. Background:
1.1. Below is the relevant extract of mechanisms to be implemented, as per SEBI Circular No. SEBI/HO/MRD/TPD-1/P/CIR/2024/132 dated October 01, 2024 with effect from April 01, 2025 by Exchanges.
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5.3 Intraday Monitoring of position limits –
5.3.1 The position limits for index derivatives contracts as specified by SEBI from time to time are being monitored by Stock Exchanges/ Clearing corporations at the end of day. Particularly amidst the large volumes of trading on expiry day, there is a possibility of undetected intraday positions beyond permissible limits during the course of the day. To address the aforesaid risk of position creation beyond permissible limits, it has been decided that existing position limits for equity index derivatives shall henceforth also be monitored intra-day by exchanges.
5.3.2 For this purpose, Stock Exchanges shall consider minimum 4 position snapshots during the day. The number of snapshots may be decided by the respective Stock Exchanges subject to a minimum of 4 snapshots in a day. The snapshots would be randomly taken during pre-defined time windows.
5.3.3 To provide sufficient time for implementation, the measure shall be effective for equity index derivatives contracts from April 01, 2025. Further, the existing framework of penalty structure for breach of end of day position limit shall be extended by exchanges for intraday position limit breaches as well.
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1.2. Below is the relevant extract of mechanisms to be implemented, as per SEBI Circular No. SEBI/HO/MRD/MRD-PoD-2/P/CIR/2024/140 October 15, 2024.
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3. It is also noted that that open interest of both the participants and the market is dynamic and changing throughout the day. With a view of providing better clarity to the market participants in terms of their position limits, the following has been decided:
3.1 In conformity with the extant practice in currency derivatives segment, positions of market participants in the equity derivatives segment (index and stocks) shall also be monitored based on total open interest of the market at the end of previous day’s trade.
3.2 In case of a drop in market OI compared to the previous day’s market OI, market participants may breach the specified position limits even if their positions have remained unchanged throughout the day.
3.3 For such cases of passive breaches, market participants would not be penalized and not be required to unwind their positions.
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1.3. Below is the relevant extract of mechanisms to be implemented, as per SEBI Circular No. SEBI/HO/MRD/TPD-1/P/CIR/2025/41 dated March 28, 2025.
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3. In view of the aforesaid concerns, the following has been decided for intraday monitoring of existing position limits for index derivatives:
3.1 From April 01, 2025, exchanges shall monitor position limits for index derivatives intraday in line with Clause 1.3.4.1 and 1.3.4.2 of SEBI Master Circular dated
December 30, 2024, as mentioned aforesaid.
3.2 However, there shall be no penalty for breach of existing position limits intraday and such intraday breaches shall not be considered as violations, until further directions.
3.3 Exchanges shall prepare a joint SOP intimating market participants regarding modalities of monitoring existing notional position limits intraday and intimate such breaches to clients / trading members for their risk monitoring.
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1.4. As per the aforementioned SEBI circulars, it has been decided that “In addition to the end of day monitoring mechanism as stated above, the position limits, for equity index derivative contracts, would also be monitored by Exchange on an intraday basis from April 01, 2025.
1.5. For this purpose, Exchange shall consider minimum 4 position snapshots during the day. The snapshots would be randomly taken during pre-defined time windows.
1.6. The existing framework of penalty structure for breach of end of day position limit shall continue without any change.
1.7. There shall be no penalty for breach of existing position limits intraday and such intraday breaches shall not be considered as violations, until further directions.
2. Accordingly, following SOP shall be adopted by the Exchanges for monitoring position limits:
2.1. Participant wise position monitoring:
2.1.1. Below is the relevant extract/references of the current participant wise position monitoring for index derivatives contracts as per ICCL Notice No. 20240430-69 dated April 30, 2024 and ICCL Notice No. 20241015-64 dated October 15, 2024.
2.1.1.1 Trading Member wise Position Limit:
Index Futures:
The trading member position limits in equity index futures contracts shall be higher of Rs.7500 crores or 15% of the total open interest in the market in equity index futures contracts. This limit would be applicable on open positions in all futures contracts on a particular underlying index
Index Options:
The trading member position limits in equity index option contracts shall be higher of Rs.7500 crores or 15% of the total open interest in the market in equity index option contracts. This limit would be applicable on open positions in all option contracts on a particular underlying index
2.1.1.2 Client Level Position Limits:
Disclosure for Client Positions in Index based contracts:
Any person or persons acting in concert who together own 15% or more of the open interest on a particular underlying index, is required to report this fact to the Exchange/ Clearing Corporation. Failure to do so shall be treated as a violation and shall attract appropriate penal and disciplinary action in accordance with the Rules, Byelaws and Regulations of the Clearing Corporation. The self-disclosure shall be provided as specified in enclosed “Format of Disclosure” by Clearing Member for disclosure of Client Position in Index Based Contracts.
2.1.1.3 FPI Category (I) and MF Position limits in index options contracts:
FPI category (I) and MF position limit in all index options contracts on a particular underlying index shall be Rs.500 crores or 15 % of the total open interest of the market in index options, whichever is higher. This limit would be applicable on open positions in all options contracts on a particular underlying index.
2.1.1.4 FPI Category (I) and MF Position limits in index futures contracts:
FPI category (I) and MF position limit in all index futures contracts on a particular underlying index shall be Rs.500 crores or 15 % of the total open interest of the market in index futures, whichever is higher. This limit would be applicable on open positions in all futures contracts on a particular underlying index.
2.1.1.5 Additional exposure in equity index derivatives:
In addition to the above limits, in index futures and options, FPI Category (I)/MFs shall take exposure in equity index derivatives subject to the following limits:
I. Short positions in index derivatives (short futures, short calls and long puts) not exceeding (in notional value) the FPI Category (I)/ MFs holding of stocks.
II. Long positions in index derivatives (long futures, long calls and short puts) not exceeding (in notional value) the FPI Category (I)/MFs holding of cash, government securities, T-Bills, money market mutual funds and gilt funds and similar instruments.
In this regard, if the open position of an FPI Category (I)/ MF exceeds the limits as stated in item no. 2.1.1.3 or 2.1.1.4, such surplus would be deemed to comprise of short and long positions in the same proportion of the total open positions individually. Such short and long positions in excess of the said limits shall be compared with the FPI Category (I) /MFs holding in stocks, cash etc. as stated above.
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2.1.1.6 Computation of Position Limits:
The position limits shall be computed on a gross basis at the level of MF and on a net basis at the level of individual FPI /sub-schemes of MF and proprietary positions. The open position for all derivative contracts would be valued as the open positions multiplied with the closing price of the respective underlying security/index in the normal market of the Capital Market segment of the Exchange.
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2.1.1.7 Limits for FPI Category II (other than individuals, family offices and corporates):
Index Options:
FPI Category II (other than individuals, family offices and corporates) position limit in all index options contracts on a particular underlying index shall be Rs.300 crores or 10 % of the total open interest of the market in index options, whichever is higher. This limit would be applicable on open positions in all options contracts on a particular underlying index.
Index Futures:
FPI Category II (other than individuals, family offices and corporates) position limit in all index futures contracts on a particular underlying index shall be Rs.300 crores or 10 % of the total open interest of the market in index futures, whichever is higher. This limit would be applicable on open positions in all options contracts on a particular underlying index.
2.1.1.8 Limits for FPI Category II (individuals, family offices and corporates):
Index Options:
FPI Category II (individuals, family offices and corporates) position limit in all index options contracts on a particular underlying index shall be Rs.100 crores or 5 % of the total open interest of the market in index options, whichever is higher. This limit would be applicable on open positions in all options contracts on a particular underlying index.
Index Futures:
FPI Category II (individuals, family offices and corporates) position limit in all index futures contracts on a particular underlying index shall be Rs.100 crores or 5 % of the total open interest of the market in index futures, whichever is higher. This limit would be applicable on open positions in all options contracts on a particular underlying index.
2.1.1.9 Limits for schemes of Mutual Funds:
Index Futures and Options:
Any FPI Category II (individuals, family offices and corporates)/ scheme of MF or persons acting in concert who together own 15% or more of the open interest of all derivative contracts on a particular underlying index are required to report this fact to the Exchange/Clearing Corporation. Failure to do so shall be treated as a violation and shall attract appropriate penal and disciplinary action in accordance with the Rules, Byelaws and Regulations of the Clearing Corporation.
2.1.1.10 Monitoring of Position Limits for FPI/MF Clearing Corporation shall monitor the open positions of the FPI /MF/ Scheme of MF for each underlying security and index, against the position limits specified at the level of FPI / MF/Scheme of MF respectively, at the end of each trading day. In the event of an FPI/MF breaching the position limits on any underlying, FPI/MF shall be required to reduce their open position in such underlying. It shall also be obligatory on FPI/ MFs to report any breach of position limits by them / their sub- schemes, to the Clearing Corporation and ensure that FPI/ MF/sub schemes do not take any fresh positions in any derivative contracts in such underlying.
2.1.1.11 Trading member/FPI/MF wise position limit violation:
In case of any violation in open position limits beyond the specified limits at any level (member level, financial institution level, etc), then penalty shall be levied monthly based on slabs as mentioned below:
Penalty structure for FPI /Mutual Fund/ Trading member level position limit violation in Equity Index Derivatives:
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Instances of Position Limit violations
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Monetary Penalty to be levied
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1st instance
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No penalty
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2nd to 5th instance
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Rs.5,000/- per instance from 2nd to 5th instance
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6th to 10th instance
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Rs.20,000/- (for 2nd to 5th instance) + Rs.10000/- per instance from 6th to 10th instance
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11th instance
onwards
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Rs 70,000 (From 2nd-10th instance) + Rs 1,000 * Cumulative no. of Instances from 11th Instance onwards (i.e. Rs 11,000 for 11th Instance, Rs 12,000 for 12th Instance and so on).
Additionally, the member will be referred to the Member Committee for suitable action.
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2.1.2 Accordingly in view of the above Exchange shall monitor the positions for the following participant as under. The position limits will be applicable for Index futures and Index options separately.
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Participant Type
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Monitoring of applicable Position Limits
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Index Futures
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Index Options
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Trading Member
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§ Higher of Rs. 7500# crores or 15%# of the total open interest in the market in equity index futures contracts
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§ Higher of Rs. 7500# crores or 15%# of the total open interest in the market in equity index options contracts
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FPI-I*
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§ Higher of Rs. 500# crores or 15%# of the total open interest in the market in equity index futures contracts
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§ Higher of Rs. 500# crores or 15%# of the total open interest in the market in equity index options contracts
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FPI-II (Other than Individuals, family offices, and corporates)
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§ Higher of Rs. 300# crores or 10%# of the total open interest in the market in equity index futures contracts
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§ Higher of Rs. 300# crores or 10%# of the total open interest in the market in equity index options contracts
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FPI-II (Individuals, family offices, and corporates)
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§ Higher of Rs. 100# crores or 5%# of the total open interest in the market in equity index futures contracts
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§ Higher of Rs. 100# crores or 5%# of the total open interest in the market in equity index options contracts
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Mutual Funds at PAN level*
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§ Higher of Rs.500# crores or 15%# of the total open interest in the market in equity index futures contracts
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§ Higher of Rs.500# crores or 15%# of the total open interest in the market in equity index options contracts
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* Additional exposure in equity index derivatives is permitted for hedging purpose
2.1.3 As open interest of both the participants and the market is dynamic and changing throughout the day. With a view of providing better clarity to the market participants in terms of their position limits, the following has been decided:
2.1.3.1 In conformity with the extant practice in currency derivatives segment, positions of market participants in the equity derivatives segment (index) shall also be monitored based on total open interest of the market at the end of previous day’s trade.
2.1.3.2 In case of a drop in market OI compared to the previous day’s market OI, market participants may breach the specified position limits even if their positions have remained unchanged/reduced throughout the day.
2.1.3.3 For such cases of passive breaches, market participants would not be penalised and not be required to unwind their positions.
2.1.4 * Reporting of holdings for FPI (category I)/MF for additional limits in equity index derivatives shall be permitted as per point 2.1.1.5 for categories FPI Cat 1 (SEBI Circular no: IMD/FPI&C/CIR/P/2019/124 dated November 05, 2019) and Mutual Fund (SEBI circular DNPD/Cir-29/2005 dated September 14, 2005).
2.1.4.1 For providing the additional limits in equity index derivatives, Exchange shall consider the reporting by the clearing member on T day as per the circular no. 20240430-69 dated April 30, 2024.
2.1.5 # The position limit of Rs 7500 cr or 15% of OI@ limit shall be calculated in quantity (quantities shall be rounded downwards in case terms of decimals), based on the previous day underlying. This quantity shall be compared with the TM/FPI/MFs intraday and EOD position in quantity terms for checking breach of the position limits.
2.1.6 @ Total open interest of the market at the end of previous day’s trade as per point 3.1 of the SEBI circular SEBI/HO/MRD/MRD-PoD-2/P/CIR/2024/140 October 15, 2024.
2.1.7 In case of Custodial Participant (CP) trades, the positions at the time of the random snapshot shall be considered. i.e. Positions shall be considered at TM level until confirmation by the respective CP. Such positions shall be monitored at CP level, post confirmation of such trades.
2.1.8 The existing action shall continue to be levied on EOD positions as per the SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2025/41 dated March 28, 2025 which states that “there shall be no penalty for breach of existing position limits intraday and such intraday breaches shall not be considered as violations, until further directions”.
Accordingly existing penalty structure of the Indian Clearing Corporation Limited (ICCL) as per the circular No. 20240814-8 dated August 14, 2024, shall continue for the breaches of the TM/FPI/MF level only on EOD basis.
2.1.9 In case of any breaches on an intraday basis, all such breaches will be intimated to the respective market participants.
2.1.10 Position Monitoring - TM/FPI/MF level monitoring as per existing methodology followed by CCs. The methodology of computation of the above position limits is illustrated in Annexure 1.
2.1.11 It shall also be obligatory on FPI/ MFs to report any breach of position limits by them / their sub- schemes, to the Exchange and ensure that FPI/ MF/sub schemes do not take any fresh positions in any derivative contracts in such underlying.
The reporting shall be done on the email ID – pac_position@bseindia.com.
2.1.12 Any person or persons acting in concert who together own 15% or more of the open interest on a particular underlying index, is required to report this fact to the Exchange/Clearing Corporation. Failure to do so shall be treated as a violation and shall attract appropriate penal and disciplinary action in accordance with the Rules, Byelaws and Regulations of the Exchange. The self-disclosure shall be provided as specified in enclosed “Format of Disclosure” by Clearing Member for disclosure of Client Position in Index Based Contracts.
The reporting shall be done on the email ID – pac_position@bseindia.com.
2.2 Position monitoring with respect to Position limits w.r.t Press Release No. PR No. 18/2020 by SEBI on March 20, 2020 and 59/2020 by SEBI on November 25, 2020:
2.2.1 The current mechanism of position monitoring on EOD (End of day) basis as per circulars 20200320-71 dated March 20, 2020, and 20201125-51 dated November 25, 2020, shall also monitored on an Intraday basis.
2.2.2 In case of Custodial Participant (CP) trades, the positions at the time of the random snapshot shall be considered. i.e. Positions shall be considered at TM level until confirmation by the respective CP. Such positions shall be monitored at CP level, post confirmation of such trades.
2.2.3 In case of any breaches observed on an intraday basis, all such breaches will be intimated to the respective market participants.
2.2.4 There shall be no other change in the existing mechanism, apart from the intraday monitoring.
2.2.5 The existing action shall continue to be levied on EOD positions as per the SEBI circular SEBI/HO/MRD/TPD-1/P/CIR/2025/41 dated March 28, 2025 which states that “there shall be no penalty for breach of existing position limits intraday and such intraday breaches shall not be considered as violations, until further directions”.
2.2.6 For breach of position limit, on EOD positions (w.r.t Rs 500 cr. position limit introduced in March 2020), Additional Surveillance Deposit (ASD) will be levied on T+2 basis (collected on T+3 basis) after giving benefit of the stock purchases of T day i.e. day of violation and demat holdings (received from depositories) of T+1 day EOD. The levy may be later than T+2 day in case of delay in receipt of holdings from the depositories.
2.2.7 The current methodology of EOD calculation of sentimental position w.r.t the Rs 500 cr position limit introduced in March 2020 would remain the same. i.e. (Long Call + Short Put – Long Put - Short Call).
2.2.7.1 For computation of ASD amount, all fresh positions that have been taken by the PAN on the day of breach are considered which are in the direction of the breach. Per unit margin applicable for all such positions is multiplied to the fresh positions identified (for long positions, per unit premium is considered). Such margin is then proportionally adjusted to the extent of excess positions. ASD is then computed as aggregate of such adjusted margin.
2.2.7.2 Further in a scenario where the position value continues to be in excess of Rs 500 cr, ASD shall be arrived at based on last positions added in the direction of the breach, irrespective of the fact that whether fresh positions have added or not by the respective PAN.
2.2.8 With respect to calculation of the Rs 500 cr intraday monitoring position value limit
2.2.8.1 For Index futures contract, the net position in futures contracts across expiries will be multiplied with the previous day underlying price for computing the position value.
2.2.8.2 For Index Options the net sentimental position i.e. (Long Call + Short Put – Long Put - Short Call) will be multiplied with the previous day underlying price for computing the position value.
2.2.8.3 Same aforesaid process as in the above two sub-points shall be followed for computing the position value on EOD basis as well. Positions on EOD basis shall also be multiplied with the previous day underlying price for computing the position value.
2.2.8.4 Previous day underlying index price shall be considered for computing both intraday and EOD position, since market participants can easily track their positions based on the fixed previous days underlying (as per the current practice for EOD monitoring).
2.2.9 For computation of ASD:
2.2.9.1 In case of Short Position Breach, so as to give the benefit of the stock purchases of T day i.e. day of violation, holding of stocks as on T+1 day EOD (from Depositories) with latest valuation shall be considered.
2.2.9.1.1 The benefit of demat holdings in cases of breaches by a client in multiple index options/futures will be allocated to either Index options or Futures position wherever lower aggregate ASD is applicable to the PAN.
2.2.9.1.2 As per current practice, Exchange only monitors Long Position Breach for FPIs and MFs and for the same Cash & Cash Equivalents as reported in RPT file on T day i.e. day of violation, shall be considered.
For any further clarifications, members are advised to contact on 022-2272 3030 and email id bse.surv@bseindia.com
For & on behalf of BSE Ltd.
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Sachin Unkule
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Harish Kadam
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Senior General Manager
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Manager
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Surveillance
Date: April 03, 2025
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Surveillance
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