Exposure margin adjustment for equity derivatives raises minimum requirement while retaining a volatility linked margin component. The circular revises exposure margin for exchange-traded equity derivatives so that margin for notional gross open positions in single stock futures and gross short open positions in stock options is the higher of an increased fixed minimum or 1.5 times the standard deviation of daily logarithmic returns of the stock price, altering the margin computation for those instruments as a market-safety measure under regulatory powers to protect investors.
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Exposure margin adjustment for equity derivatives raises minimum requirement while retaining a volatility linked margin component.
The circular revises exposure margin for exchange-traded equity derivatives so that margin for notional gross open positions in single stock futures and gross short open positions in stock options is the higher of an increased fixed minimum or 1.5 times the standard deviation of daily logarithmic returns of the stock price, altering the margin computation for those instruments as a market-safety measure under regulatory powers to protect investors.
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