Description

Update on intraday position limits monitoring framework for equity index derivatives, ending glide path framework and introducing ASD on expiry day intraday breaches effective December 08, 2025.

Summary

NSE has issued an update to 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 after December 05, 2025, requiring entities to have their own delta computing/monitoring systems. Starting December 08, 2025, intraday breaches of position limits on options expiry days will attract Additional Surveillance Deposit (ASD) in addition to end-of-day breach penalties.

Key Points

  • Glide path framework for position limits monitoring ends on December 05, 2025 (ceases w.e.f December 08, 2025)
  • Entities must implement their own delta computing/monitoring systems for large delta-based positions in index options
  • Additional Surveillance Deposit (ASD) framework becomes applicable from December 08, 2025 for expiry day intraday breaches
  • ASD will be levied at 1.5 times the computed ASD amount for intraday breaches on expiry days
  • ASD will remain blocked for one month, similar to EOD breach treatment
  • If breach value during cure period exceeds original snapshot, ASD calculated based on revised cure period snapshot
  • Benefit of cash and cash equivalents (for net long or gross long side breach) provided as per index-wise allocation in RPT reporting
  • Minimum four snapshots during the day required for intraday monitoring of position limits
  • ASD applies to: NIFTY, BANKNIFTY, SENSEX, and BANKEX indices

Regulatory Changes

Framework Changes:

  • Discontinuation of glide path framework after December 05, 2025
  • Mandatory implementation of proprietary delta computing/monitoring systems by market participants
  • Introduction of ASD penalties for intraday position limit breaches on expiry days

ASD Calculation Changes:

  • For expiry day intraday breaches: ASD = 1.5 × computed ASD amount
  • ASD calculated on highest of EOD or intraday excess position value
  • If cure period breach exceeds original snapshot, ASD based on revised cure period snapshot
  • Cash and cash equivalents benefit allocated index-wise per RPT reporting

Monitoring Requirements:

  • Minimum four intraday snapshots (S1, S2, S3, S4) required for position limit monitoring
  • Separate tracking of Net long/Gross long Delta for each index

Compliance Requirements

Immediate Actions (by December 05, 2025):

  • Implement proprietary delta computing and monitoring systems
  • Ensure systems can track intraday position limits across multiple snapshots
  • Set up index-wise cash and cash equivalents allocation mechanisms

Ongoing Requirements (from December 08, 2025):

  • Monitor intraday position limits through minimum four daily snapshots
  • Maintain adequate cash and cash equivalents to avoid ASD on expiry day breaches
  • Submit RPT reporting with index-wise allocation of cash and cash equivalents
  • Track both Net long and Gross long Delta positions for each index (NIFTY, BANKNIFTY, SENSEX, BANKEX)
  • Ensure compliance with position limits during cure periods on expiry days

Capital Requirements:

  • Calculate maximum excess position value across all intraday snapshots and EOD
  • Maintain sufficient cash/cash equivalents to cover highest potential exposure
  • Example: For total excess of Rs 1700 cr across indices, maintain equivalent cash to avoid ASD

Important Dates

  • December 05, 2025: Last day of glide path framework applicability
  • December 08, 2025:
    • Glide path framework ceases to exist
    • ASD framework becomes applicable for expiry day intraday breaches
    • Mandatory use of proprietary delta monitoring systems begins

Impact Assessment

Operational Impact:

  • Trading members must invest in developing or procuring delta computing/monitoring systems before December 08, 2025
  • Increased operational complexity with minimum four intraday snapshots requiring real-time monitoring
  • Enhanced surveillance and compliance overhead for index derivatives trading

Financial Impact:

  • Higher capital requirements due to ASD on expiry day intraday breaches (1.5× standard ASD)
  • ASD amounts blocked for one month, impacting liquidity and capital efficiency
  • Potential significant costs for those unable to maintain adequate cash/cash equivalents
  • Example: Excess position of Rs 600 cr in NIFTY with Rs 50 cr cash deficit would attract ASD

Market Impact:

  • May reduce aggressive intraday positioning on expiry days due to ASD risk
  • Could impact market liquidity in index options during expiry day trading
  • Likely to favor well-capitalized participants with sophisticated monitoring systems
  • Smaller participants may reduce index derivatives exposure or avoid expiry day trading

Risk Management Impact:

  • Stricter discipline required for expiry day position management
  • Need for real-time delta monitoring and position adjustment capabilities
  • Enhanced focus on cash management and index-wise allocation strategies
  • Cure period positions now carry higher penalty risk if breach value increases

Impact Justification

Critical operational change affecting all index derivatives traders. Glide path framework ends Dec 05, 2025, requiring entities to implement own delta monitoring systems. New ASD penalties on expiry day intraday breaches starting Dec 08, 2025 significantly impact capital requirements and risk management.