Exposure margin: minimum reduced while retaining a multiple of standard deviation as the floor for equity derivatives. SEBI amends exposure margin for exchange traded equity derivatives so that for gross open positions in single stock futures and gross short open positions in stock options the exposure margin shall be the higher of a reduced fixed minimum and 1.5 times the standard deviation of daily logarithmic returns of the stock price applied to the notional value of the position, replacing the previously higher fixed minimum.
Cases where this provision is explicitly mentioned in the judgment/order text; may not be exhaustive. To view the complete list of cases mentioning this section, Click here.
Provisions expressly mentioned in the judgment/order text.
Exposure margin: minimum reduced while retaining a multiple of standard deviation as the floor for equity derivatives.
SEBI amends exposure margin for exchange traded equity derivatives so that for gross open positions in single stock futures and gross short open positions in stock options the exposure margin shall be the higher of a reduced fixed minimum and 1.5 times the standard deviation of daily logarithmic returns of the stock price applied to the notional value of the position, replacing the previously higher fixed minimum.
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