Description

BSE updates the framework for intraday position limits monitoring for equity index derivatives, implementing Additional Surveillance Deposit (ASD) for expiry day breaches and ending the glide path framework from December 08, 2025.

Summary

BSE has issued an important update regarding the Standard Operating Procedure for Future Equivalent (FutEq)/(Delta) Intraday Position Limits Monitoring for Equity Index Derivatives. The glide path framework will cease to exist from December 08, 2025, requiring entities to implement their own delta computing/monitoring systems. Additionally, a new Additional Surveillance Deposit (ASD) framework will be implemented for intraday breaches on options expiry days, effective from December 08, 2025. This update follows SEBI circulars and previous BSE notices from June and September 2025.

Key Points

  • Glide path framework will be discontinued from December 08, 2025
  • Entities must implement their own delta computing/monitoring systems for large delta-based positions in index options
  • Additional Surveillance Deposit (ASD) will apply to intraday breaches on options expiry days from December 08, 2025
  • ASD amount will be 1.5 times the computed ASD for intraday breaches
  • ASD will remain blocked for one month, similar to EOD breach treatment
  • Minimum of four snapshots will be taken during the day for intraday position limit monitoring
  • On expiry day, if cure period snapshot breach exceeds original snapshot, ASD calculated on revised cure period snapshot
  • Benefits of cash and cash equivalents provided as per index-wise allocation in RPT reporting
  • ASD not applicable for non-expiry day intraday breaches

Regulatory Changes

End of Glide Path Framework:

  • The glide path framework applicable until December 05, 2025 will cease from December 08, 2025
  • Entities must establish independent delta computing and monitoring systems

New ASD Framework for Expiry Day Breaches:

  • Applies to both EOD and intraday breaches on options contract expiry days
  • ASD calculation: 1.5 times the computed ASD for intraday breaches
  • ASD levied on cash deficit after considering available cash and cash equivalents
  • Highest breach value (EOD or any intraday snapshot) determines ASD calculation
  • If cure period breach exceeds original snapshot on expiry day, ASD based on revised cure period snapshot

Monitoring Requirements:

  • Exchange will take minimum four snapshots during the day (S1, S2, S3, S4) plus EOD snapshot
  • Applicable indices: SENSEX, BANKEX, NIFTY, BANKNIFTY and other equity index derivatives

Compliance Requirements

For Trading Members:

  1. Implement own delta computing/monitoring systems by December 08, 2025
  2. Ensure adequate cash and cash equivalents to avoid ASD levy on expiry days
  3. Monitor position limits across minimum four intraday snapshots plus EOD
  4. Maintain index-wise cash allocation as per RPT reporting requirements
  5. Track both net long and gross long delta positions

For Clearing Members:

  1. Provide index-wise allocation in RPT reporting for cash and cash equivalents benefit calculation
  2. Monitor client positions for expiry day compliance

Cash Requirements:

  • Members must maintain sufficient cash and cash equivalents to cover highest breach value (intraday or EOD)
  • Cash availability considered as per RPT reporting by CM/TM
  • Insufficient cash results in ASD levy at 1.5x the deficit amount

Important Dates

  • December 05, 2025: Last day of glide path framework applicability
  • December 08, 2025:
    • Glide path framework discontinued
    • ASD framework for expiry day intraday breaches becomes effective
    • Entities must have independent delta monitoring systems operational
  • One month blocking period: Duration for which ASD remains blocked after levy

Impact Assessment

Operational Impact:

  • High - Trading members must invest in technology infrastructure to develop or acquire delta computing and monitoring systems before December 08, 2025
  • Members need to enhance real-time monitoring capabilities to track positions across multiple intraday snapshots
  • Increased operational complexity in managing expiry day positions

Financial Impact:

  • High - Additional capital requirements to maintain sufficient cash and cash equivalents on expiry days
  • Potential ASD levy at 1.5x for cash deficits, which remains blocked for one month, affecting capital efficiency
  • Need for precise cash allocation planning across different indices (SENSEX, BANKEX, NIFTY, BANKNIFTY)

Risk Management Impact:

  • Enhanced surveillance framework promotes better risk management on high-volatility expiry days
  • Stricter monitoring may reduce excessive speculative positions
  • Members must develop robust position monitoring and alert systems

Market Impact:

  • May lead to more disciplined position taking on expiry days
  • Could impact liquidity in index options on expiry days as members manage position limits more conservatively
  • Level playing field as all entities required to have independent monitoring systems post glide path discontinuation

Compliance Impact:

  • Members must ensure systems are ready before December 08, 2025 deadline
  • Regular monitoring and reporting requirements increase compliance burden
  • Need for coordination between trading and clearing members on RPT reporting

Impact Justification

Critical update affecting all derivatives traders with significant compliance and operational implications including mandatory ASD framework for expiry day breaches and termination of glide path framework requiring entities to have independent delta monitoring systems.