Clearing Members are subject to the following exposure / position limits in addition to initial margins requirements

• Exposure Limits
• Trading Memberwise Position Limit
• Client Level Position Limits
• Market Wide Position Limits (for Derivative Contracts on Underlying Stocks)
• Collateral limit for Trading Members

Exposure Limits

The exposure for members should not exceed at any time, including during trading hours, the following limits:

i. For Index options and Index futures contracts:
33.33 times the liquid networth. This translates into a margin of 3% of the notional value of a contract. For option, it is charged only on short positions.

ii. For option contracts and Futures Contract on individual Securities:
The Exposure limits which is higher of 5% or 1.5 standard deviation of the notional value of gross open position in futures on individual securities and gross short open positions in options on individual securities in a particular underlying shall be collected /adjusted from the liquid networth of a member on a real time basis. The standard deviation of daily logarithmic returns of prices in the underlying stock in the cash market in the last six months shall be computed on a rolling and monthly basis at the end of each month. The applicable exposure limits are available to members on NSE's website.

For this purpose notional value means :
- For a futures contract – the contract value at last traded price/ closing price.
- For an options contract – the value of an equivalent number of shares as conveyed by the options contract, in the underlying market, based on the last available closing price.

Exposure limits in case of calendar spread positions in futures contract are treated as open position of one third of the value of the far month futures contract. However, the calendar spread position shall be granted calendar spread treatment till the expiry of the near month contract.



Trading Memberwise Position Limit

Futures and Option contracts on Equity index :

The trading member position limits in equity index option contracts shall be higher of Rs.500 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

The trading member position limits in equity index futures contracts shall be higher of Rs.500 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.


Futures and Option contracts on individual securities :

1. For stocks having applicable market-wise position limit (MWPL) of Rs. 500 crores or more, the combined futures and options position limit shall be 20% of applicable MWPL or Rs. 300 crores, whichever is lower and within which stock futures position cannot exceed 10% of applicable MWPL or Rs. 150 crores, whichever is lower.



2. II. For stocks having applicable market-wise position limit (MWPL) less than Rs. 500 crores, the combined futures and options position limit would be 20% of applicable MWPL and futures position cannot exceed 20% of applicable MWPL or Rs. 50 crore which ever is lower.

The gross open position for each client, across all the derivative contracts on a underlying, should not exceed:

- 1% of the free float market capitalization (in terms of number of shares)
or
- 5% of the open interest in all derivative contracts in the same underlying stock (in terms of number of shares)

whichever is higher

Client level position limits underlying-wise, are available to members on NSE's website.



Market Wide Position Limits for Derivative Contracts on Underlying Stocks

Violation of the Market-wide Position Limit at any time, including during trading hours.

A facility is available on the trading system to display an alert once the open interest in the futures and options contract in a security exceeds 60% of the market wide position limits specified for such security. Such alerts are presently displayed at time intervals of 10 minutes



Collateral limit for Trading Members

Clearing members who are clearing and settling for other trading members can specify the maximum collateral limit towards initial margins, for each trading member and custodial participant clearing and settling through them.

Such limits can be set up by the clearing member, through the facility provided on the trading system at any time up to the close of market hours. Such collateral limits once set are applicable to the trading members/custodial participants for that day, unless otherwise modified by clearing member. The aggregate limit set up across all trading members, clearing and settling through a clearing member, shall at no point of time exceed the Effective Deposit of the clearing member with NSCCL less Minimum Liquid Networth.

Violations