Description

Clearing and settlement procedures for adjustment of F&O contracts in ITC due to dividend of Rs. 6.50 per share, effective February 04, 2026.

Summary

NSE Clearing Limited has issued procedures for adjustment of Futures and Options contracts in ITC LIMITED (ITC) pursuant to dividend distribution. The adjustment involves reducing futures contract prices by Rs. 6.50 (dividend amount) and adjusting option strike prices accordingly. The last cum-dividend date is February 03, 2026, with adjustments effective from February 04, 2026 (ex-dividend date).

Key Points

  • Dividend amount: Rs. 6.50 per share
  • Last cum-dividend date: February 03, 2026
  • Ex-dividend date: February 04, 2026 (adjustments effective)
  • All futures positions will be marked-to-market on February 03, 2026 at daily settlement price
  • Futures carry forward price = Daily settlement price minus Rs. 6.50
  • Option strike prices will be reduced by Rs. 6.50 and adjusted to nearest tick size
  • All existing positions continue in corresponding new adjusted strike prices
  • Begin of day margins on February 04, 2026 computed based on adjusted carry forward value

Regulatory Changes

No new regulatory framework introduced. This circular implements existing adjustment procedures as per NSE Circular No. 14/2026 dated January 30, 2026.

Compliance Requirements

For Clearing Members:

  • Ensure systems are updated to reflect adjusted futures prices (settlement price minus Rs. 6.50)
  • Update margin calculations based on adjusted carry forward values from February 04, 2026
  • Map existing option positions to new adjusted strike prices
  • Verify position reconciliation post-adjustment

For Trading Members:

  • Inform clients about automatic adjustment of their F&O positions
  • Update client reporting systems to reflect new adjusted prices and strike prices

Futures Adjustment Example:

  • Before: Long position valued at Rs. 322.00
  • After: Long position valued at Rs. 315.50 (Rs. 322.00 - Rs. 6.50)

Options Adjustment Example:

  • Strike 322.50 CE → adjusted to 316.00 CE
  • Strike 325.00 PE → adjusted to 318.50 PE
  • Strike 327.50 PE → adjusted to 321.00 PE

Important Dates

  • February 01, 2026: Circular issued
  • February 03, 2026: Last cum-dividend date; mark-to-market settlement at unadjusted prices
  • February 04, 2026: Ex-dividend date; adjusted prices effective; normal MTM procedures resume with adjusted values

Impact Assessment

Market Impact:

  • High impact on all ITC derivatives traders and market makers
  • Affects all open futures contracts across February, March, and April 2026 expiries
  • All option strike prices adjusted, creating new strike price series

Operational Impact:

  • Automatic adjustment by clearing corporation; no manual intervention required by members
  • Risk management systems must account for adjusted prices in margin calculations
  • Position reconciliation critical to ensure continuity of existing positions in new adjusted strikes
  • Intra-day margins from February 04, 2026 based on actual traded prices post-adjustment

Trading Impact:

  • Futures pricing reflects Rs. 6.50 reduction across all expiries
  • Option Greeks and valuations will adjust based on new strike prices
  • Liquidity may concentrate in newly adjusted strike prices

Impact Justification

Mandatory adjustment of all F&O positions in ITC affecting futures pricing and option strike prices due to dividend payout, requiring immediate action by all market participants holding ITC derivatives.