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of <h1>SEBI Sets New Risk Measures for Exchange-Traded Index Options: Approval, Contract Size, and Margin Requirements.</h1> The Securities and Exchange Board of India (SEBI) has outlined risk containment measures for Exchange-traded Options on Indices. These measures include requiring prior SEBI approval for index option contracts, initially allowing premium style European options with cash settlement, and setting a minimum contract size of Rs. 2 lakhs. The initial margin requirements are based on a 99% Value at Risk (VaR) over one day, and a portfolio-based margining approach is adopted. The circular also details the calculation of worst scenario loss, calendar spread margins, short option minimum margin, and position limits. Exchanges must submit proposals to SEBI for approval, detailing contract specifications and risk management mechanisms.
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