TaxTMI 
TaxTMI 
2025 (8) TMI 1079
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....ipulation" Strategy - Analysis of trading on January 17, 2024 as a sample............................. 12 "Extended Marking The Close" Strategy ................. 51 CONTINUING VIOLATION & DISREGARD FOR REGULATORY CAUTION ........ 68 ALLEGED VIOLATIONS of SEBI ACT AND PFUTP REGULATIONS ................... 87 COMPUTATION OF ILLEGAL GAINS .................... 94 NEED FOR INTERIM DIRECTIONS ................................. 96 ORDER: .................................... 103 A. BACKGROUND: 1. Based on media reports titled 'Jane Street-Millennium Suit: 'Secret' Strategy Concerns India, Hearing Reveals' and 'Ex-Jane Street trader pillories claims he stole trade secrets', published during April 2024 wherein it was inter-alia mentioned that Jane Street and its associated entities alleged unauthorised use of their proprietary trading strategies in Indian options markets, SEBI initiated preliminary examination into trading activity of Jane Street and associated entities (collectively referred to as "Jane Street Group" or "JS group") to ascertain any market abuse. The chronology of some of the subsequent events is given in the following Table. Table 1 ....
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.... in five offices across the United States, Europe, and Asia and trades in 45 countries.[See complaint filed by Jane Street Group LLC against Millenium Management LLC before the United States District Court Southern District of New York available at https://www.sewkis.com/wpcontent/ uploads/Jane-Street_amended-complaint.pdf] Jane Street Group LLC was established in the year 2000. Services are provided in the U.S. by Jane Street Capital, LLC and Jane Street Execution Services, LLC, each of which is a SEC-registered broker dealer and member of Financial Industry Regulatory Authority, USA ("FINRA"). Regulated activities are undertaken in Europe by Jane Street Financial Limited, an investment firm authorized and regulated by the U.K. Financial Conduct Authority, and Jane Street Netherlands B.V., an investment firm authorized and regulated by the Netherlands Authority for the Financial Markets (Autoriteit Financiële Markten), and in Hong Kong by Jane Street Hong Kong Limited, a regulated entity under the Hong Kong Securities and Futures Commission. Each of these entities is a wholly owned subsidiary of Jane Street Group, LLC. [https://www.janestreet.com/who-we-are/] 3. Upon exami....
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....s of derivative instruments and the prices of their underlying stocks or indices. Annexure 1 of this Order provides a basic primer around indices, and around Futures and Options on single stocks and indices such as BANKNIFTY. The following illustrations explain how some of these interrelationships come about: 7.1. If the price of a stock futures or index futures contract were to be significantly higher than the underlying stock or index price, arbitrageurs can sell the futures at a high price, buy the stock or index components in cash markets at a low price, and lock into an assured profit on expiry of the futures contract. Similarly, if the price of a stock futures or index futures contract were to be significantly lower than the underlying stock or index price, an opposite side arbitrage opportunity would arise. As a result of these arbitrage guardrails, the price of a stock futures or index futures contract generally moves in tandem with the price of the underlying stock or index. 7.2. Stock prices and stock option prices are also bound by arbitrages. 7.2.1. The payoff from buying a call option and selling a put option on a stock or index simultaneousl....
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....s several times the combined cash equivalent volumes traded in the associated futures and cash markets. For example, on 17 Jan 2024, an expiry day in BANKNIFTY index options where prima facie manipulative activity of Jane Street Group was observed, the following is noted: Table 2 Cash market total traded turnover in the 12 BANKNIFTY stock constituents (A) INR 29,225 crores Futures market total traded turnover in the 12 BANKNIFTY stock constituents (B) INR 43,589 crores Futures market traded turnover in BANKNIFTY index (C) INR 32,607 crores BANKNIFTY options cash equivalent (or Futures equivalent or delta equivalent) traded turnover (D) INR 1,03,17,127 crores Relative size of BANKNIFTY options market to cash market of its 12 constituent stocks, based on cash equivalent traded turnover (=D/A) 353 times Relative size of BANKNIFTY options market to the total of cash and futures market of its 12 constituent stocks, and BANKNIFTY index futures, based on cash equivalent traded turnover =D/(A+B+C) 98 times 9. As a corollary to the above, on weekly index option expiry day, many more entities and individuals trade in index options than do entities and indi....
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....um paid) but with the prospects of high gains if the prices were to move sharply and favourably, appears to attract traders who only trade in index options, and not in the underlying cash markets. III. Influencing underlying stock and index to profit from index options 12. Given the above, on weekly index option expiry day, by aggressively influencing the underlying cash and futures market with significant volumes (relative to those markets), a group of entities acting in concert with adequate funds and capital at their disposal, can influence and manipulate the index levels. This in turn can allow them to put on significantly larger and profitable positions in the highly liquid index options market by misleading and enticing large number of smaller individual traders. It could also be used to engineer the closing of the market on expiry day in a manner that benefits enormous index option positions that they may be running to expiry. Such activities would prima facie be in violation of PFUTP regulations. D. METHODOLOGY FOR ANALYSIS 13. For the reasons earlier recorded in this Order, for the purpose of the examination, dealings in securities by the Entities have been vie....
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....TY, and MIDCPNIFTY. It was found that BANKNIFTY options alone contributed INR 17,319.26 Cr, amounting to 40% of the total Index Options profits. Step 3: Day-Wise profit calculation vis-à-vis BANKNIFTY options and further filtering process 14.4. To identify concentrated profitability periods, a daily profit computation for BANKNIFTY options trades was conducted for the examination period. Thereafter, all the trading days were ranked by profits in BANKNIFTY options contracts. From this list, the top 30 most profitable days were shortlisted for analysis. 14.5. From the top 30 profit-ranked days, 19 number of derivative expiry days (weekly or monthly) were specifically listed. [It was observed that Jane Street Group's activity was heavily concentrated around expiry days, both in terms of GTV and options positioning. On such days, the index closing value has direct bearing on options payoff, thereby creating both the motive and the opportunity for influencing settlement outcomes. This filter ensured analytical focus on those days where the potential for derivative manipulation was structurally the highest.] 14.6. Out of the aforementioned 19 number o....
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...., 2024 constituting "Intraday Index Manipulation" is summarised below: Table 6 - Tabular Flowchart - Intraday Strategy Executed by Jane Street Group Step Time Window Action Impact on Market Impact on Index Options 1 Patch I: 09:15 AM - 11:46:59 AM In an otherwise falling market, JS Group net purchases INR 4,370.03 crores of BANKNIFTY constituents in cash and futures markets, which are significant quantities in relation to the trading volumes in these markets. The purchases are aggressive, in a manner that tends to push up prices. This action supports or pushes up the prices of BANKNIFTY constituents and hence the index itself. As BANKNIFTY Index is supported/rises from the lows, Put options on the index become cheaper, while Call options become expensive. Simultaneously, at a time when participants in index options JS Group builds large short Step Time Window Action Impact on Market Impact on Index Options markets are misled by the above support for BANKNIFTY, JS Group builds effectively INR 32,114.96 crores of bearish positions in the much more liquid BANKNIFTY index options by buying cheap Put options and selling expensive Call option....
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.... 987.75 34,673 44,62,505 445.03 2,63,502 1,91,31,083 1,907.26 23.33% AXISBANK 09:15:43 11:20:12 1094.1 1115 1091.9 1100.3 34,343 25,10,272 277.13 1,93,128 1,04,51,176 1,153.12 24.03% SBIN 09:15:45 11:20:11 627.1 636.8 626.5 628.7 27,894 34,45,606 217.67 1,75,825 1,36,62,409 862.53 25.24% KOTAKBANK 09:15:43 11:20:09 1819.15 1834.7 1795 1799.9 35,815 10,48,868 190.26 1,44,328 45,20,879 819.78 23.21% INDUSINDBK 09:15:43 11:19:54 1647.15 1677.1 1645.3 1653.4 21,172 7,20,721 119.66 92,866 28,84,264 478.48 25.01% FEDERALBNK 09:15:47 11:07:41 146.75 149.5 146.25 147 16,363 39,16,350 57.94 1,22,840 1,81,73,024 268.48 21.58% BANKBARODA 09:15:47 11:08:00 227.45 232.35 227.25 230.55 13,767 31,54,397 72.64 71,584 1,28,09,188 294.70 24.65% IDFCFIRSTB 09:15:50 11:07:40 87.05 89.65 86.8 87.2 5,515 67,54,912 59.56 82,395 4,27,89,694 376.65 15.81% AUBANK 09:15:45 11:20:08 763.5....
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....51.8 1,196 15,85,000 120.52 5,647 67,66,000 513.98 23.45% PNB 25-Jan-24 09:15:06 11:41:32 96.85 100.25 96.3 99.3 977 1,12,72,000 111.13 6,560 6,56,16,000 647.31 17.17% 15.6. Jane Street Group aggressively bought shares and futures of all BANKNIFTY constituents (except BANDHANBANK) during this patch. Their net Traded Value (TV) in the cash segment was INR 1,851.57 Cr and in the futures segment was INR 2,518.46 Cr. For context, the next highest participant's net TV in cash and stock futures segment was INR 1,042.93 Cr and INR 159.15 Cr respectively, during the general underlying buy patch (i.e. 09:15:00 to 11:46:59). Further, in all the scrips (except HDFCBANK), JS contributed 15-25% of the entire market's traded value - a remarkably dominant share/ concentration. For perspective, the next highest participant's concentration in any of these scrips was much smaller (e.g. the next highest participant concentration in KOTAKBANK cash segment during the aforementioned general buy patch was only 8.09%, as opposed to 23.21% for JS Group), underscoring the disproportionate footprint of JS Group's activity. ....
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....95 BANKBARODA 09:15:47 11:08:00 6990 3146 3295 549 215.45 - -31.25 184.20 IDFCFIRSTB 09:15:50 11:07:40 774 327 403 44 17.40 - -2.25 15.15 AUBANK 09:15:45 11:20:08 11161 5521 4430 1210 1,278.15 - -127.15 1,151.00 PNB 09:15:57 11:07:28 613 279 304 30 14.90 - -1.55 13.35 *The figures are an aggregation of the difference between the "Order Limit Price" and the "Last Traded Price" at the time of order entry/ modification. Table 10 - Trade level LTP-based analysis Scrip Buy trade start time Buy trade end time No. of buy trades executed No. of buy trades above LTP No. of buy trades at LTP No. of buy trades below LTP Trade price based LTP impact for trades executed above LTP* (in INR) (A) Trade price based LTP impact for trades executed at LTP (in INR) (B) Trade price based LTP impact for trades executed below LTP* (in INR) (C) Trade price based net LTP impact created by JS* (in INR) (A)+(B)+(C) Trade price based net LTP impact created by rest of the market participants[The LTP impact attributable to the rest of the ma....
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....25-Jan-24 09:57:43 09:58:05 30 20 4 6 4.30 -0.65 3.65 ICICIBANK 25-Jan-24 09:15:05 11:46:50 4574 2977 1086 511 437.35 -50.65 386.70 AXISBANK 25-Jan-24 09:15:08 11:46:55 3222 2368 421 433 432.30 - -51.10 381.20 SBIN 25-Jan-24 09:15:07 11:46:18 2052 1332 445 275 160.85 -22.45 138.40 KOTAKBANK 25-Jan-24 09:15:05 11:46:59 2730 1913 401 416 507.40 -75.90 431.50 INDUSINDBK 25-Jan-24 09:15:08 11:46:55 1916 1445 162 309 461.35 -69.55 391.80 FEDERALBNK 25-Jan-24 09:15:05 11:46:28 599 291 246 62 19.55 -3.60 15.95 BANKBARODA 25-Jan-24 09:15:06 11:46:47 1037 688 272 77 59.45 4.85 54.60 IDFCFIRSTB 25-Jan-24 09:15:05 11:46:50 439 140 275 24 7.45 -1.20 6.25 AUBANK 25-Jan-24 09:15:16 11:46:56 1068 782 121 165 242.20 -28.80 213.40 PNB 25-Jan-24 09:15:06 11:41:32 404 154 ....
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....of the difference between the "Trade Price" and the "Last Traded Price 15.10. The above data reveals that during Patch I, JS group placed a disproportionately high number of buy orders at or above the LTP in BANKNIFTY constituent stocks (in both cash as well as futures segment) thereby either aggressively attempting to push up or support the price rise in the stocks. 15.11. Further, for instance, in the case of ICICIBANK during Patch I, the stock opened at INR 994.20 and closed at INR 987.75, reflecting a net decline of INR 6.45 during the patch. However, a granular trade-level analysis revealed that Jane Street Group's trades alone accounted for a positive LTP impact of INR 1,652.85, implying that its trading activity was actively contributing to trying to push the stock price upward. Given that the stock nevertheless declined during the day, it follows that the LTP impact attributable to the rest of the market was negative INR 1,659.30. 15.12. The actual execution of these buy orders at elevated prices contributed to supporting or pushing up the price of the individual stocks. Given that BANKNIFTY is a market-cap weighted index, this support or price el....
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....IFTY calls and buy BANKNIFTY puts and therefore put on significant larger short side positions in BANKNIFTY. 15.18. For detailed LTP contributions and comparative analysis during this 8-minute interval, refer to the table below. The table clearly shows that during the first 8 minutes, the JS Group was singlehandedly pushing the prices up in all of these major BANKNIFTY component stocks, eclipsing the sell side pressure from the rest of the market. Table 13 HDFC Bank Kotak Bank ICICI Bank Axis Bank SBI Bank INDUSIND Bank Time (HH:MM) LTP Diff - JS LTP Diff- Other than JS LTP Diff - JS LTP Diff- Other than JS LTP Diff - JS LTP Diff- Other than JS LTP Diff - JS LTP Diff- Other than JS LTP Diff - JS LTP Diff- Other than JS LTP Diff - JS LTP Diff- Other than JS 09:15 1.15 16.6 14.8 -13.65 2.25 7.85 10.6 3.9 4.2 0.35 7.8 -5.45 09:16 5.1 -3.7 54.95 -53.2 35.85 -31.95 31.25 -30.6 21.75 -20.05 61.6 -63.9 09:17 19.55 -14.3 49 -48.85 24.75 -25. 35.9 -35.7 27.8 -26.9 40.65 -39.85 09:18 2.3 -1....
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....its exposure in Bank Nifty options during the first 8 minutes of the trading day. Accordingly, trades in select Put and Call Option contracts during the patch from 09:15:00 to 09:22:59 - during the time when the group was notably aggressive in its cash/ futures purchases, as noted earlier - were analysed. 15.22. The opening and closing premiums of the selected Put and Call Option contracts during the identified patch, along with their respective closing prices at the end of the trading day and BANKNIFTY Index values, are tabulated below: Table 14 LTP - Premium of PE option at various strikes at close of BANKNIFTY Index Value 46573.93 46814.02 46879.13 47014.53 47060.41 47106.62 47143.73 47169.09 47176.97 46072.42 Trade Date SYMBOL EXPIRY_DATE CONTRACT Open 09:15 09:16 09:17 09:18 09:19 09:20 09:21 09:22 15:29 17/01/2024 BANKNIFTY 17/01/2024 BANKNIFTY_PE_2024-01- 17 46800 229.6 123.55 131.05 131.45 104.25 82.6 65.25 72 70.05 734.75 17/01/2024 BANKNIFTY 17/01/2024 BANKNIFTY....
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.... 161.4 161.95 164.85 147.2 138.8 0.9 17/01/2024 BANKNIFTY 2024-01-17 BANKNIFTY_CE_2024-01- 17 47400 26.75 157.45 126.9 107.45 118.4 119.05 120.75 107.9 99.6 0.3 17/01/2024 BANKNIFTY 2024-01-17 BANKNIFTY_CE_2024-01- 17_47500 21.25 106.5 89.65 77.5 85.1 84.75 86.5 77.7 70.75 0.45 17/01/2024 BANKNIFTY 2024-01-17 BANKNIFTY_CE_2024-01- 17 47600 15 70.4 62.5 54.8 58.8 58.25 59.85 53.75 48.1 0.2 17/01/2024 BANKNIFTY 2024-01-17 BANKNIFTY_CE_2024-01- 17 47700 15 48.35 43.5 38.45 39.8 39.05 40.55 36.5 32.25 0.2 15.23. The trading pattern of JS Group in both BANKNIFTY Call and Put options reflects a clear bearish sentiment in cash-equivalent terms. In the call options segment, JS Group net cash-equivalent short exposure on BANKNIFTY during these eight minutes increased by INR 3,661.16 Cr. 15.24. Similarly, in the BANKNIFTY Put options segment during these eight minutes, the resulting net delta exposure was even more bearish, amounting to negative INR 5,089.84 Cr. 15.25. In effect, in t....
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....1.10 2.65 69,105 46600 593.55 677.5 1.005 591 861 3.420 -9,53,84,440 44000 1.8 1.8 4,500 1.25 3.15 1,39,050 46700 508.65 585 3.330 500 781 4,920 -5,95,22,805 44200 1.60 2.65 47,925 46800 429.65 527.9 15,825 427 690 31,995 -50,48,16,880 44300 1.50 2.85 1,02,420 46900 357.55 477.3 24,735 362 600 38,265 -37,13,47,831 44400 1.65 2.95 82,080 47000 287.5 605.3 69,210 287 560 2.11,710 -3,43,82,45,169 44500 2.1 2.35 8,100 1.70 2.80 1,39,020 47100 229.8 421 40,140 228 417 4,31,280 -9,21,87,45,105 44600 27 2.3 900 1.90 3.00 55,995 47200 146.9 422.95 50,055 177 328 7,90,050 -14,68,92,82,417 44700 . 2.00 2.95 1,18,980 47300 135.05 313 32,940 131 249 4,24,620 -6,36,15,71,301 44800 2.55 2.55 ....
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....0 18.95 60.35 11,265 24.15 60.00 7.800 -11,18,168 49000 2.25 4.8 5,040 - 45500 25.15 90.2 31,260 28.45 76.60 76.890 24,55,07,410 49100 - - 45600 33.25 93.05 38,205 33.15 94.00 62,295 17,46,06,081 49200 - - 45700 43.75 118.5 56,385 43.95 113.30 75,645 22,84,86,317 49300 - - 46800 57.8 155.1 52,515 58.10 135.80 94,665 51,49,86,836 49400 - - 46900 76.25 209.1 41,070 76.65 218.55 71,070 48,01,59,801 49500 - - 47000 100.75 241.75 2,46,195 101.00 199.20 1,62,300 -2,26,56,00,282 49600 - - 47100 131.45 262.2 4,70,610 131.45 262.15 92,595 -9,04,41,62,846 49700 2.55 2.9 4,740 &nbs....
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....sp; - - 53000 1.45 25 21,345 - - 49100 - - - 53500 1.25 2.1 17,355 - - 49200 - - - 54000 1.25 1.8 11,520 - - 49300 - - - 54500 1 1.7 10,455 - - 49400 - - - 55000 0.9 1.4 43,440 - - 49500 - - - 55500 09 1.3 35,100 - - 49600 - - - - - - 49700 - - - - - - 49800 - - - - - 49900 - - - ....
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....ow Close No. of sell trades - JS Sell trade quantity - JS Sell side TV in INR Crs. - JS (A) No. of sell trades - Market- wide Sell trade quantity - Market- wide Sell side TV in INR Crs. - Market - wide (B) JS's traded value relative to market- wide traded value (in %) (A/B] HDFCBANK 11:49:59 15:28:41 1561.7 1568 1528.4 1541.4 42,769 21,17,418 330.29 10,64,168 3,79,33,287 5,875.44 5.62% ICICIBANK 11:50:12 15:22:49 981.8 988.55 978.6 980 37,817 44,63,170 438.84 2,45,447 1,76,98,802 1,740.55 25.21% AXISBANK 11:50:01 15:12:04 1093 1097 1080.9 1082.7 48,465 25,11,466 273.58 2,77,040 1,04,76,341 1,141.31 23.97% SBIN 11:49:59 15:29:22 626.4 629.6 623.4 626.35 35,956 34,48,238 215.88 2,21,753 1,38,70,654 868.51 24.86% KOTAKBANK 11:50:09 15:28:49 1788.05 1789.2 1776.1 1777.6 29,263 11,34,123 202.07 1,94,508 54,62,480 973.25 20.76% INDUSINDBK 11:50:13 15:29:08 1642.05 1651.5 1631.9 1642.8 16,021 6,97,721 114.48 1,25,051 32....
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....6.2 1,319 74,00,000 107.83 5,905 3,50,40,000 510.79 21.11% BANKBARODA 25-Jan-24 11:56:28 15:29:52 230.65 230.65 225.1 226.15 1,656 62,27,325 141.81 11,059 3,84,14,025 873.36 16.24% IDFCFIRSTB 25-Jan-24 11:56:50 15:29:54 86.8 86.9 85 85.4 1,581 1,39,27,500 119.76 8,880 7,65,15,000 657.82 18.21% AUBANK 25-Jan-24 11:57:18 15:29:45 748.4 760.7 744.2 750.3 1,380 14,55,000 109.37 5,292 57,83,000 434.75 25.16% PNB 25-Jan-24 11:56:41 15:29:01 98.55 98.6 96.85 97.55 1,016 1,07,68,000 105.12 5,792 5,72,00,000 558.52 18.82% 15.33. In the BANKNIFTY Index futures market: Table 18 Scrip Expiry Sell start time Sell end time Open High Low Close No. of sell trades -JS Sell trade quantity -JS Sell side TV in INR Crs.- JS (A) No. of sell trades - Market wide Sell trade quantity - Market wide Sell side TV in INR Crs. - Market wide (B) JS's traded value relative to market wide traded value (in %) (A/B) BANKNIFTY 25-Jan-24 14:46:14 15:08:....
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....ANK 11:49:59 15:28:40 11389 835 1859 8780 190.95 -2,043.50 -1,852.55 ICICIBANK 11:50:12 15:22:49 14262 772 5279 8211 73.80 - -1,399.80 -1,326.00 AXISBANK 11:50:01 15:12:04 23221 1566 8315 13340 164.50 - -3,005.30 -2,840.80 SBIN 11:49:59 15:29:22 14470 1238 5542 7690 102.60 - -743.90 -641.30 KOTAKBANK 11:50:09 15:28:49 13744 1609 4321 7964 361.60 - -2,581.55 -2,219.95 INDUSINDBK 11:50:13 15:29:08 10006 1650 3409 5066 338.20 - -1,280.90 -942.70 FEDERALBNK 11:50:34 13:54:05 1181 37 304 840 1.85 - -46.75 -44.90 BANKBARODA 11:50:06 14:38:07 2554 232 851 1471 14.35 -107.80 -93.45 IDFCFIRSTB 11:50:25 14:19:11 382 17 130 235 0.85 - -12.70 -11.85 AUBANK 11:50:15 15:28:45 10920 1233 4915 4924 163.45 - -1,045.00 -881.55 PNB 11:50:14 13:14:50 465 20 189 256 1.00 - -13.85 -12.85 *The figures are an aggregation of the differe....
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.... stock futures market: Table 21 - Order level LTP-based analysis[For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.] Scrip Expiry Sell order start time Sell order end time No. of sell orders entered No. of sell orders above LTP No. of sell orders at LTP No. of sell orders below LTP Order price based LTP impact for orders placed above LTP* (in INR) (A) Order price based LTP impact for orders placed at LTP (in INR) (B) Order price based LTP impact for orders placed below LTP* (in INR) (C) Order price based net LTP impact* (in INR) (A)+(B)+(C) HDFCBANK 25-Jan-24 12:19:16 15:29:58 5581 678 1108 3795 82.60 - -747.10 -664.50 ICICIBANK 25-Jan-24 11:49:22 15:29:51 5640 556 1354 3730 49.55 - -482.00 -432.45 AXISBANK 25-Jan-24 11:50:26 15:29:53 2952 351 458 2143 42.20 -401.70 -359.50 SBIN 25-Jan-24 11:55:54 15:29:54 2525 300 539 1686 22.80 - -195.45 -172.65 KOTAKBANK 25-Jan-24 ....
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.....75 -515.95 -442.20 426.85 INDUSINDBK 25-Jan-24 11:51:58 15:29:50 2354 222 596 1536 37.95 - -447.20 -409.25 405.7 FEDERALBNK 25-Jan-24 11:56:52 15:28:27 1319 34 1004 281 1.85 - -18.35 -16.50 16.7 BANKBARODA 25-Jan-24 11:56:28 15:29:52 1656 67 1048 541 4.15 - -42.05 -37.90 33.4 IDFCFIRSTB 25-Jan-24 11:56:50 15:29:54 1581 21 1410 150 1.05 - -7.90 -6.85 5.45 AUBANK 25-Jan-24 11:57:18 15:29:45 1380 159 379 842 26.20 - -217.35 -191.15 193.05 PNB 25-Jan-24 11:56:41 15:29:01 1016 20 801 195 1.00 - -11.25 -10.25 9.25 BANDHANBNK 25-Jan-24 13:55:57 15:28:55 244 29 111 104 5.95 -21.40 -15.45 15.45 *The figures are an aggregation of the difference between the "Trade Price" and the "Last Traded Price" 15.40. In the BANKNIFTY Index futures market: Table 23 - Order level LTP-based analysis[For this table, only orders that resulted in trades during the patch have been considered. Further, ....
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....ANKNIFTY index. The price impact in terms on the index after adjusting for weights of the constituents was - 55,713.56 (i.e., on the downside) by JS Group entities, whereas that by all the other participants put together is +55,400.71 on the upside. This is indicative of strong downward price push created by JS entities. 15.42. As the BANKNIFTY index began to decline during the latter part of the trading session on January 17, 2024, there was a corresponding surge in the value of Put options and a depreciation in the value of Call options - a movement that perfectly aligned with the Jane Street Group's options positioning. Recall that the Group had built a substantial negative cashequivalent or delta exposure during the first half of the session, in Phase I. 15.43. Between 14:15:00 and 15:30:00, the MTM profit on expiry-day options positions saw a sharp and sustained rise. The MTM profit curve, when plotted minute-by-minute, shows an steep upward incline, particularly as the index accelerated its fall. Jane Street Group capitalised on this setup by selling the Puts purchased earlier and Buying back the Calls sold earlier, effectively locking in substantial gains a....
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....rticular day, especially when accompanied by directional price movement and high-impact execution, may suggest targeted, non-routine strategy deployment, often expiry-driven. 15.45. Accordingly, the GTV figures for Jane Street Group were compared across T-1 (previous trading day), T (event/expiry day), and T+1 (next trading day) for January 17, 2024. Table 25 Day Dates GTV in INR Crores Cash (A) Stock Futures (B) BANKNIFTY Index Futures (C) Total GTV (A)+(B)+(C) (12 Constituents) (12 Constituents) T-1 16-Jan-2024 214.41 1,935.77 - 2,150.18 T 17-Jan-2024 3,710.42 6,102.58 844.33 10,657.33 T+1 18-Jan-2024 626.24 1,956.86 - 2,583.10 15.46. On January 17, 2024, the total GTV of Jane Street Group was approximately 5 times higher than on the previous day and 4 times higher than the subsequent day. 15.47. The surge in volumes was particularly sharp during two distinct intraday patches - the underlying buy patch and the underlying sell patch. 15.48. The sharp reversal of GTV trend post-expiry (on January 18) confirms that the heightened activity on the expiry day was even....
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....itions in the BANKNIFTY index options segment. They made a profit of INR 734.93 on the day, across BANKNIFTY Index options. 15.50. In summary, the specific pattern of trading undertaken by the JS Group on January 17, 2024, exhibits the following characteristics that single it out to be of manipulative intent: 15.50.1. In Patch I, JS Group is seen buying BANKNIFTY component stocks and futures aggressively, and in large sizes, to move up BANKNIFTY index. In Patch II through the rest of the day, it is seen reversing and aggressively selling all of its large purchased positions (and more), thereby pushing down BANKNIFTY Index. Unsurprisingly, given the sheer volumes involved as a percentage of total market trading volumes, it booked a significant trading loss of INR 61.6 crores in the cash and futures segment in the process. There is no economic rationale possible to justify such trading activity on a standalone basis; in fact, given the sheer sizes, manner of trading and transaction costs involved, such activities would invariably tend to end with net trading losses. 15.50.2. Note that the intraday reversal of positions in the cash market was conducted by JS....
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.... size and sheer volume to move the underlying BANKNIFTY index level, so as to benefit from its much larger actions or positions in the BANKNIFTY index options segment 15.51.2. By moving the BANKNIFTY index with large and aggressive buying followed then by large and aggressive selling, JS group was creating a false or misleading appearance of market activity. In the bargain, it was enticing unsuspecting entities trading in BANKNIFTY index options to trade at interim levels that were artificial and temporary. 15.51.3. JS Group was undertaking these large (by percentage GTV) and aggressive (by LTP) trades in the underlying BANKNIFTY component stocks and futures, not for investment or for any other standalone economic rationale. In fact, given the sheer size and aggressive nature of the intervention in cash and futures markets and the immediate reversal the same day, the standalone trades in the cash and futures were more likely to end up showing a large net loss. By preponderance of probability, these trades were undertaken only to distort BANKNIFTY index option prices in the interim and entice market participants in BANKNIFTY index options to trade at such distorted....
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....ph Left Delta Exposure Net Delta exposure value for Index Options Position in BANKNIFTY (Details in Annex- 4) Red colored line graph Right 15.55. Besides January 17, 2024, this "intraday index manipulation" pattern of trading in BANKNIFTY shares/ futures/ options was observed on 14 other days. The details of the other 14 days, in terms of an overall graphical representation of the JS Group activity, and tables detailing the quantum of their intervention in cash and futures markets during different patches (including as a percentage of Gross Traded Volume), the level of aggression of their intervention (as evidenced by order and trade LTP), and their trading activity and cash-equivalent positions in the index options segment are presented in Annexure 2. 15.56. The day-wise profits for the 15 days wherein the aforesaid "Intraday Index manipulation" strategy was employed by JS Group has been recorded in Table 44 of this Order. The total profit made by the JS Group in BANKNIFTY index options across the 15 days was INR 3,914 crores. Across these 15 days, in intraday trading in BANKNIFTY constituent stocks and futures, the JS Group incurred a loss of INR ....
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....avourable for even larger derivative positions that are being settled on that day. 16.4. Subsequent analysis revealed that JS Group engaged in sharply timed buy-side or sell-side activity in futures and stock segments during the closing window, when they held pre-existing large positions in weekly expiring index options. 16.5. In the context of July 10, 2024, data indicates that the BANKNIFTY index experienced a sharp decline in the final 45-60 minutes of the trading session, suggestive of aggressive sell orders in index constituents and their futures executed during that period. This downward price pressure appears to have been artificially induced by JS Group, with the objective of pushing down the expiry settlement price of the BANKNIFTY index. 16.6. Given that BANKNIFTY options expire based on the index's closing value, any last-minute price distortion including a push-down in Index value can yield significant economic advantage to entities holding enormous short Call or long Put positions. Thus, the pattern seen on July 10, 2024 may represent a case of downward "extended marking the close". 16.7. Prima facie, Jane Street Group strategica....
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....3 51,546 1,29,87,680 154.85 24.75% 16.10. JS Group activities in the stock futures market of the BANKNIFTY constituent stocks Table 28 Scrip Expiry Sell start time Sell end time Open High Low Close No. of sell trades - Jane Street Group Sell trade quantity - Jane Street Group Sell side TV in INR Crs. - Jane Street Group (A) No. of sell trades Market- wide Sell trade quantity - Market- wide Sell side TV in INR Crs. - Market wide (B) Jane Street Group's traded value relative to market- wide traded value (in %) (A/B) HDFCBANK 25-Jul-24 14:30:14 15:27:12 1630.85 1634.8 1630.8 1633.9 2,752 24,54,100 400.75 9,101 65,62,600 1,071.71 37.39% ICICIBANK 25-Jul-24 14:30:05 15:27:14 1245.55 1247.4 1242.6 1245.3 2,639 29,56,800 368.13 8,339 77,60,200 966.29 38.10% AXISBANK 25-Jul-24 14:30:07 15:26:48 1292.3 1294.6 1288.3 1290 2.099 16,97,500 219.27 5,755 43,90,000 567.16 38.66% SBIN 25-Jul-24 14:30:00 15:27:14 849.3 852.95 849 852.2 2,759 29,21,250 248.58 ....
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....index futures. Prima facie, as will be shown below, this cumulative INR 2,800 crore of large and aggressive intervention in BANKNIFTY related stocks and futures were with an intent to engineer a soft close in BANKNIFTY index on this expiry day, so as to benefit the much larger INR 44,153.87 crores of effective bearish cash-equivalent positions that JS Group was holding in the BANKNIFTY index options market at close. 16.13. During the first five hours of the trading day (09:15 to 14:30), the Group's activity remained relatively muted in constituent stocks, with modest participation rates and no disproportionate footprint in any specific stock. However, starting around 14:30 and intensifying sharply post 15:00, the Group's activity spiked dramatically. This was visible especially in the stock futures segment - where the Group's traded volume in all constituent stocks in the last 60 minutes accounted for more than 35% of the market-wide total traded value. Note that the Volume Weighted Average Price in the last 30 minutes of trading (between 15:00 and 15:30) is used to compute settlement prices. 16.14. The concentration in TV during the final 60 minutes, espe....
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.... 14:30:14 15:25:58 3132 410 1692 1030 51.20 - -140.70 -89.50 AXISBANK 14:31:00 14:52:23 284 24 192 68 3.85 - -9.05 -5.20 SBIN 14:30:18 15:24:14 1532 226 879 427 29.40 - -30.20 -0.80 KOTAKBANK 14:30:12 15:26:59 1448 137 913 398 22.15 - -75.40 -53.25 INDUSINDBK 14:30:54 14:56:39 225 20 139 66 4.30 - -8.00 -3.70 AUBANK 14:42:25 15:19:44 3376 715 1803 858 52.35 - -80.70 -28.35 PNB 14:30:21 15:27:14 4215 423 1411 2381 10.33 - -72.34 -62.01 *The figures are an aggregation of the difference between the "Order Limit Price" and the "Last Traded Price" at the time of order entry/ modification. Table 31 - Trade level LTP-based analysis Scrip Sell trade start time Sell trade end time No. of sell trades executed No. of sell trades above LTP No. of sell trades at LTP No. of sell trades below LTP Trade price based LTP impact for trades executed above LTP* (in INR) (A) Trade price based LTP impact for trades executed at LTP* (in INR) (B) Tr....
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....79 15.10 - -213.05 -197.95 SBIN 25-Jul-24 14:30:00 15:27:14 1680 136 414 1130 9.90 - -151.80 -141.90 KOTAKBANK 25-Jul-24 14:30:03 15:27:15 1140 154 173 813 22.50 - -196.30 -173.80 INDUSINDBK 25-Jul-24 14:30:00 15:27:15 1006 88 150 768 10.85 - -164.15 -153.30 FEDERALBNK 25-Jul-24 14:30:29 15:27:03 703 79 120 504 2.12 - -21.72 -19.60 BANKBARODA 25-Jul-24 14:30:29 15:27:11 638 40 256 342 2.05 - -27.30 -25.25 IDFCFIRSTB 25-Jul-24 14:31:17 15:27:14 522 39 186 297 0.54 - -6.38 -5.84 AUBANK 25-Jul-24 14:30:15 15:27:15 701 70 158 473 6.15 - -63.65 -57.50 PNB 25-Jul-24 14:30:39 15:27:09 541 57 104 380 1.39 - -11.69 -10.30 *The figures are an aggregation of the difference between the "Order Limit Price" and the "Last Traded Price" at the time of order entry/ modification. Table 33 - Trade level LTP-based analysis Scrip Expiry Sell trade start time Sell trade end time No. of se....
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....rd price push created by JS entities. 16.20. In the BANKNIFTY Index futures market: Table 34- Order level LTP-based analysis[For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.] Scrip Expiry Sell order start time Sell order end time No. of sell orders entered No. of sell orders above LTP No. of sell orders at LTP No. of sell orders below LTP Order price based LTP impact for orders placed above LTP* (in INR) (A) Order price based LTP impact for orders placed at LTP* (in INR) (B) Order price based LTP impact for orders placed below LTP* (in INR) (C) Order price based net LTP impact* (in INR) (A)+(B)+(C) BANKNIFTY 31-Jul-24 14:30:23 15:29:54 1856 366 331 1159 -2,273.25 427.00 - -2,700.25 Table 35 - Trade level LTP-based analysis Scrip Expiry Sell trade start time Sell trade end time No. of sell trades executed No. of sell trades above LTP No. of sell trades at LTP No. of sell trades below LTP Trade price based LTP impact for trades executed above LTP* (in....
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.... when executed in large volumes near expiry. Moreover, futures prices tend to lead or reinforce movements in the underlying index. Therefore, deploying index futures aggressively on the sell side becomes an effective tool to amplify pressure on the benchmark level, especially when used in tandem with selling in constituent stocks. 16.24. Given the interrelationships, the combined effect of all these trades led to a sharp dip in the BANKNIFTY index, thereby pulling down its closing settlement value - the precise reference point used for the expiry of BANKNIFTY options. 16.25. Importantly, this LTP-impacting behaviour was not visible earlier in the day, where the Group's trades were either marginal or non-influential in terms of LTP. The sudden emergence of directional, high-intensity sell-side activity in the final minutes to settlement points to a deliberate strategy intended to manipulate the closing price of the index, rather than to meet genuine liquidity or hedging objectives. 16.26. While the LTP analysis captures how Jane Street Group impacted prices in the underlying segment, it is equally important to understand why i.e., what positions they were ....
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....ne in the BANKNIFTY index, and • The lead-up to expiry-time index settlement, which directly determines options settlement and payoff. 16.32. In summary, prima facie, JS Group undertook premeditated large and aggressive selling of INR 2,800 crores worth of BANKNIFTY constituent and related stocks and futures, to engineer a soft closing of BANKNIFTY on that expiry day, thereby helping them enjoy a benefit on the INR 44,153.87 crores of effective cash-equivalent short positions that JS Group held in BANKNIFTY index options expiring the same day. 16.33. On July 10, 2024, the Group's GTV witnessed a spike similar to that of January 17, 2024, with total traded value being approximately 4 times that of the previous and 1.5 times that of the next day Table 36 Day Dates GTV in INR Crores Cash (A) Stock Futures (B) BANKNIFTY Index Futures (C) Total GTV (12 (A)+(B)+(C) (12 Constituents) (12 Constituents) T-1 09-Jul-24 103.20 1,589.81 - 1,693.01 T 10-Jul-24 487.99 5,099.03 735.86 6,322.88 T+1 11-Jul-24 150.15 3,901.53 - 4,051.68 However, unlike January 17, the concentrat....
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.... excerpts from the communication are reproduced below: "It was observed that you along with your related entity, Jane Street GroupI Investments Pvt Ltd, were running abnormally high delta positions in the index derivatives segment and correspondingly small net sentimental OI. Such large directional OI (delta) can cause risk to market stability and raises concern for market integrity especially around expiry of contracts wherein your related entity has traded in cash market to favour large open positions in options. Such trading activity, prima-facie, raises concerns for market integrity on account of large delta positions in index derivatives, combined with concurrent act of taking and then reducing positions in the top constituents of the index through cash market / derivatives over a short period, to artificially influence the price of the index. It also creates an information asymmetry for other investors / traders in those constituents or derivatives contracts on index, who are not aware about such artifice and repeated occurrences of such instances cannot be considered as coincidence. The above trading activity prima facie appears to be fraudulent an....
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....at a higher level Index Post-Market Profit realised on even larger bullish options positions Options 17.5. During the patch 13:26:00 to 15:30:00, Jane Street Group significantly bought positions in NIFTY constituent stocks in stock futures segment. Further, significant buy activity was also observed in NIFTY Index futures. The relevant data has been captured in succeeding paragraphs. 17.6. In the stock futures market: Table 38 Scrip Expiry Buy start time Buy end time Open High Low Close No. of buy trades - Jane Street Group Buy trade quantity - Jane Street Group Buy side TV in INR Crs. - Jane Street Group (A) No. of buy trades - Market- wide Buy trade quantity - Market-wide Buy side TV in INR Crs. Market- wide (B) Jane Street Group's traded value relative to market- wide traded value (in %) (A/B] ADANIENT 29-May-25 13:36:00 15:29:39 2,508.50 2,530.90 2,506.60 2,526.00 377 1,73,400 43.72 2,801 10,41,600 262.47 16.66% ADANIPORTS 29-May-25 13:26:09 15:29:52 1,398.40 1,411.60 1,396.60 1,402.70 669 4,20,800 59.16 4.673 ....
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....:49 1,680.50 1,704.70 1,680.00 1,692.40 971 6,14,600 104.34 9,337 38,09,400 646.16 16.15% HDFCBANK 29-May-25 13:26:09 15:29:34 1,931.00 1,947.10 1,930.80 1,938.20 2,624 21,14,200 410.27 14,187 93,19,750 1,808.43 22.69% HDFCLIFE 29-May-25 13:26:06 15:29:00 747.10 754.30 746.45 751.40 334 5,41,200 40.71 2,324 29,17,200 219.29 18.56% HEROMOTOCO 29-May-25 13:35:59 15:25:38 4,294.00 4,324.40 4,284.70 4,321.70 375 83,400 35.96 5,980 10,53,450 454.25 7.92% HINDALCO 29-May-25 13:26:15 15:25:53 659.90 664.40 659.05 661.00 326 8,35,800 55.35 3,709 61,64,200 408.14 13.56% HINDUNILVR 29-May-25 13:26:06 15:29:33 2,363.30 2,377.00 2,361.60 2,364.00 717 2,93,700 69.54 3,731 12,73,800 301.59 23.06% ICICIBANK 29-May-25 13:26:06 15:28:44 1,442.00 1,458.20 1,441.50 1,453.50 2,466 28,58,100 415.21 15,873 1,32,04,800 1,917.42 21.65% INDUSINDBK 29-May-25 13:51:20 15:25:31 780.20 783.30 ....
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....ay-25 13:26:40 15:29:49 788.80 796.90 787.90 794.90 1,716 25,59,000 202.73 14,171 1,46,65,500 1,162.26 17.44% SHRIRAMFIN 29-May-25 13:26:30 15:25:56 671.65 680.85 671.25 675.55 559 6,96,000 47.08 4,504 40,38,000 273.01 17.24% SUNPHARMA 29-May-25 13:26:06 15:25:49 1,721.50 1,746.10 1,720.20 1,743.00 1,027 5,44,250 94.67 6.118 25,46,600 442.68 21.39% TATACONSUM 29-May-25 13:26:35 15:29:45 1,141.10 1,154.90 1,140.70 1,143.50 388 2,71,776 31.22 2.482 12,82,272 147.24 21.20% TATAMOTORS 29-May-25 13:26:34 15:17:40 726.75 731.15 725.05 731.05 1,114 10,23,550 74.49 10,802 74,58,000 543.04 13.72% TATASTEEL 29-May-25 13:26:22 15:25:28 157.15 158.03 157.12 157.48 501 46,36,500 73.07 4,040 2,80,55,500 442.00 16.53% TCS 29-May-25 13:26:06 15:29:34 3,568.00 3,604.40 3,564.20 3,585.80 1,283 3,75,900 134.98 7,709 16,81,400 603.60 22.36% TECHM 29-May-25 13:26:24 15:23:15 1,627.30 ....
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.....02%) • BHARTIARTL (Futures): INR 197.64 Cr (23.09%) 17.10. This spike in directional trading volume during the expiry-critical patch not only reflects an abnormal deviation from typical intraday volume curves, but also raises strong suspicion that the activity was designed to exert influence on index settlement, especially given its temporal alignment with Jane Street's even larger derivative positions in expiring NIFTY options. 17.11. While the aforementioned data reveals where and when Jane Street concentrated its trading efforts, it is equally important to evaluate how these trades impacted market prices. Specifically, the placement of trades at, above, or below prevailing Last Traded Prices (LTP) determines whether the activity had a price-driving effect, thereby altering the index level itself. 17.12. Following the identification of high-volume, expiry-window trading activity by Jane Street Group across NIFTY constituents, it becomes imperative to assess the price impact of such trades. For this purpose, an LTP based analysis was undertaken to evaluate whether Jane Street's trades exerted a directional influence on market prices, pa....
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.... 116 15.29 - -5.27 10.02 GRASIM 29-May-25 13:26:45 15:25:25 276 114 148 14 72.10 -11.40 60.70 HCLTECH 29-May-25 13:26:06 15:29:49 504 185 281 38 48.20 - -8.50 39.70 HDFCBANK 29-May-25 13:26:09 15:29:34 1212 402 610 200 88.40 - -48.50 39.90 HDFCLIFE 29-May-25 13:26:06 15:29:00 168 67 89 12 10.95 . -1.30 9.65 HEROMOTOCO 29-May-25 13:35:59 15:25:38 178 72 90 16 41.10 -6.50 34.60 HINDALCO 29-May-25 13:26:15 15:25:53 181 78 85 18 12.85 -2.80 10.05 HINDUNILVR 29-May-25 13:26:06 15:29:31 320 128 173 19 50.00 4.70 45.30 ICICIBANK 29-May-25 13:26:06 15:28:44 987 270 637 80 43.80 -10.90 32.90 INDUSINDBK 29-May-25 13:51:20 15:25:31 188 64 100 24 9.85 2.20 7.65 INFY 29-May-25 13:26:10 15:27:16 995 347 571 77 72.30 -15.80 56.50 ITC 29-May-25 13:26:06 15:29:47 328 ....
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....NT 29-May-25 13:26:10 15:25:48 404 136 232 36 176.50 -39.00 137.50 ULTRACEMCO 29-May-25 13:26:10 15:25:27 258 77 157 24 205.00 -43.00 162.00 WIPRO 29-May-25 13:35:52 15:25:33 241 112 107 22 5.75 -0.52 5.23 *The figures are an aggregation of the difference between the "Order Limit Price" and the "Last Traded Price" at the time of order entry/ modification. Table 41- Trade level LTP-based analysis Scrip Expiry Buy trade start time Buy trade end time No. of buy trades executed No. of buy trades above LTP No. of buy trades at LTP No. of buy trades below LTP Trade price based LTP impact for trades executed above LTP* (in INR) (A) Trade price based LTP impact for trades executed at LTP (in INR) (B) Trade price based LTP impact for trades executed below LTP* (in INR) (C) Trade price based net LTP impact* (in INR) (A)+(B)+(C) Trade price based net LTP impact created by rest of the market participants[The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis ....
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....0 29-May-25 13:35:59 15:25:38 375 73 265 37 41.20 -14.60 26.60 1.1 HINDALCO 29-May-25 13:26:15 15:25:53 326 78 215 33 12.85 -4.75 8.10 -7 HINDUNILVR 29-May-25 13:26:06 15:29:33 717 129 525 63 49.80 -14.50 35.30 -34.6 ICICIBANK 29-May-25 13:26:06 15:28:44 2466 270 1920 276 43.70 -40.90 2.80 8.7 INDUSINDBK 29-May-25 13:51:20 15:25:31 340 67 223 50 9.60 -5.15 4.45 -3.7 INFY 29-May-25 13:26:10 15:27:16 2085 346 1510 229 71.00 42.70 28.30 -14.2 ITC 29-May-25 13:26:06 15:29:53 812 116 601 95 11.40 -7.30 4.10 -2.95 JIOFIN 29-May-25 13:26:36 15:25:51 527 57 430 40 4.95 -2.70 2.25 1 JSWSTEEL 29-May-25 13:26:40 15:26:05 496 97 348 51 23.80 -10.70 13.10 0.7 KOTAKBANK 29-May-25 13:26:10 15:25:49 908 185 600 123 60.60 -29.60 31.00 -17.9 LT ....
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.... -24 WIPRO 29-May-25 13:35:52 15:25:34 385 112 238 35 5.73 -0.94 4.79 -3.18 *The figures are an aggregation of the difference between the "Trade Price" and the "Last Traded Price" 17.14. In the NIFTY Index futures market: Table 42 - Order level LTP-based analysis[For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.] Scrip Expiry Buy order start time Buy order end time No. of buy orders entered No. of buy orders above LTP No. of buy orders at LTP No. of buy orders below LTP Order price based LTP impact for orders placed above LTP* (in INR) (A) Order price based LTP impact for orders placed at LTP* (in INR) (B) Order price based LTP impact for orders placed below LTP* (in INR) (C) Order price based net LTP impact* (in INR) (A)+(B)+(C) NIFTY 29-May-25 13:44:26 15:05:35 1926 60g 1102 155 1,580.50 - -289.30 1,291.20 Table 43 - Trade level LTP-based analysis Scri p Expiry Sell trade start time Sell trade end time No. of s....
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....de its stock-level trades appears to be part of a coordinated approach to support the NIFTY index level near expiry. 17.20. While the LTP analysis captures how Jane Street potentially moved prices during the expiry window, it is necessary to understand why such price movement would be economically beneficial to the Group. This brings us to the delta profile of Jane Street's derivative positions. 17.21. By analysing how Jane Street's delta exposure evolved intraday, particularly in relation to its expiry positions, we can assess whether its underlying trades were coordinated to push the market in a direction that favoured its options payoff. A rising delta indicates a bullish exposure (long Calls or short Puts), while a declining or negative delta suggests a bearish stance (long Puts or short Calls). 17.22. Graphical analysis of trading and delta build-up for May 15, 2025 is placed below: 17.23. The graph above can be accessed through the QR code given below: 17.24. The analysis of delta movement on May 15, 2025, reveals a clear two-phase structure in Jane Street's exposure pattern: Phase 1: Passive Delta Through Most of the Day ....
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....in stock futures, and index futures segments, coupled with aligned options positioning-was observed on 2 other NIFTY options expiry days. The details of the other 2 days, in terms of an overall graphical representation of the JS Group activity, and tables detailing the quantum of their intervention in futures markets during relevant patches around index expiry (including as a percentage of Gross Traded Volume), the level of aggression of their intervention (as evidenced by order and trade LTP), and their trading activity and cash-equivalent positions in the index options segment are presented in Annexure 3. 17.29. The day-wise profits for the 3 days wherein the aforesaid "Extended Marking the Close" strategy was employed by JS Group in May 2025 has been recorded in Table 44 of this Order. The total profit made by the JS Group in NIFTY index options across the 3 days was INR 370 crores. G. ALLEGED VIOLATIONS of SEBI ACT AND PFUTP REGULATIONS 18. Prima facie, the aforesaid trading patterns employed by the JS Group fall foul of regulation 4(2)(a) and 4(2)(e) of the PFUTP Regulations and the schemes as a whole are prima facie a fraudulent device prohibited by....
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....provisions of regulation 3, no person shall indulge in a fraudulent or an unfair trade practice in securities markets. Regulation 4 (2) Dealing in securities shall be deemed to be a fraudulent or an unfair trade practice if it involves any of the following- ... (a) knowingly indulging in an act which creates false or misleading appearance of trading in the securities market; (e) any act or omission amounting to manipulation of the price of a security including, influencing or manipulating the reference price or bench mark price of any securities; 19. Regulation 4(2)(a) deems any act to be manipulative or fraudulent if it creates false or misleading appearance of trading in the securities market. Regulation 4(2)(e) deems any act to be fraudulent or manipulative if it amounts to manipulation of the price of a security or manipulates the benchmark price of any securities. Indices reflect the price of a basket of securities, and price changes in the underlying securities concomitantly move the benchmark as well. 20. On 15 BANKNIFTY index option expiry days identified with 'Intra-day Index Manipulation Strategy' in this Order, in the first patch....
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....e aware, therefore, that the stock and BANKNIFTY prices were being influenced artificially for a short period of time by their own demonstrably large and aggressive actions in the underlying cash and futures markets. They were also aware that BANKNIFTY was very likely to reverse again by the end of the day, given the design to aggressively reverse all of their morning activity (and sometimes even more). However, other entities - including the many retail traders - who trade solely in BANKNIFTY index options and look to the extant BANKNIFTY level to price their options, were oblivious to this pattern unfolding. Consequently, they were induced to deal in options at a time during Patch I when the BANKNIFTY index and options markets were being artificially and temporarily influenced. 24. On the three other days during the examination period (i.e. on October 4, 2023, May 8, 2024, and July 10, 2024) that have been highlighted above, the data and analysis presented clearly shows that the JS Group pursuing an 'extended marking the close strategy'. 'Extended Marking the close' refers to a manipulative trading practice where an entity aggressively places large buy or sell orders a....
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....sely and illegally from the even larger positions that they were creating or carrying in index options. The immediate and proximate facts and circumstances, thus, lead to a logical and necessary inference that the large and aggressive trades were not executed in a vacuum or for ordinary hedging or arbitrage operations, but rather for an intricate and egregious manipulation of the prices of securities and benchmark indices for their own illegal gains, to the detriment of several lakhs of small market participants. 29. Note also that Regulation 20(4) of the FPI Regulations prohibits FPIs from netting of trades in the cash market which essentially means that they cannot sell shares before they are credited to their demat accounts or perform simultaneous buy and sell trades within the same day. The said regulation reads as follows: "(4) In respect of investments in the secondary market, the following additional conditions shall apply- (a)A foreign portfolio investor shall transact in the securities in India only on the basis of taking and giving delivery of securities purchased or sold; (b)Nothing contained in clause (a) shall apply to- (i)any tra....
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....uine dealing in securities. The platform of the stock exchange has been used for a non-genuine trade. Trading is always with the aim to make profits. But if one party consistently makes loss and that too in preplanned and rapid reverse trades, it is not genuine; it is an unfair trade practice. Securities market, as the 1956 Act provides in the preamble, does not permit 'undesirable transactions in securities'. ... Orchestrated trades are a misuse of the market mechanism. It is playing the market and it affects the market integrity." (emphasis supplied) 33. In the instant case, the series of trades executed by Jane Street Group demonstrate a pattern which, when viewed in its totality, indicates a prima facie intent to take unfair and undue advantage of the market structure and sentiments prevailing at the time. 34. In the Rakhi Trading case (supra), the Hon'ble Supreme Court has inter alia held as follows: "35. ... Market manipulation is a deliberate attempt to interfere with the free and fair operation of the market and create artificial, false or misleading appearances with respect to the price, market, product, security and currency." "....
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.... 14 15/05/2024 1,60,71,51,918 BANKNIFTY Intra-day Index Manipulation Strategy 15 29/05/2024 2,58,55,35,776 BANKNIFTY 16 19/06/2024 3,22,44,61,015 BANKNIFTY 17 03/07/2024 2,99,03,41,049 BANKNIFTY 18 10/07/2024 2,25,35,13,656 BANKNIFTY Extended marking the close 19 08/05/2025 3,06,65,621 NIFTY 20 15/05/2025 1,67,52,81,113 NIFTY 21 22/05/2025 1,99,36,24,324 NIFTY Grand Total 48,43,57,70,168 38. As noted earlier in this Order, on 15 BANKNIFTY index option expiry days identified with 'Intra-day Index Manipulation Strategy', in the first patch of the day JS Group first aggressively transacted significant quantities of BANKNIFTY underlying constituent stocks and futures, temporarily influencing the BANKNIFTY index. This was followed, in Patch 2, by an effective reversal of positions in BANKNIFTY underlying constituent stocks and futures. This resulted in, JS Group booking an intraday trading loss of a total of INR 199.7 crores across the aforesaid 15 days. This otherwise irrational loss was arising from trades that enabled JS Group to benefit immensely and illeg....
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....iting from their trading activities and positions in the index options markets. 43. I have already concluded above that that prima facie, the Entities have violated section 12A(a), (b) and(c) of the SEBI Act, 1992; regulations 3(a), (b), (c), (d), 4(1) and 4(2)(a) and (e) of the PFUTP Regulations, 2003. To that extent, I am satisfied that the first condition for passing interim directions has been satisfied. Irreparable Injury Integrity of the Market: 44. Several decisions of the Hon'ble Supreme Court, High Courts and SAT have emphasized the need to maintain the integrity of the securities market. Some of the decisions with observations of the Hon'ble Supreme Court in this context and their extracts are reproduced below: (i) Subrata Roy Sahara vs. Union of India (UOI) and Ors. (06.05.2014 - SC) Preservation of market integrity is extremely important for economic growth of this country and for national interest. Maintaining investors' confidence requires market integrity and control of market abuse. Market abuse is a serious financial crime which undermines the very financial structure of this country... (ii) N. Narayanan vs. Adjudicating O....
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.... context. Such losses when juxtaposed with the abnormally high profits made by JS Group entities as a result of the prima facie manipulation of the cash, futures and options markets, is reflective of the deep damage that the group has inflicted through their illegal activities. Making profits while dealing in securities by itself is certainly not objectionable. Genuine trading strategies such as arbitraging or hedging or directional positioning are well accepted and cannot be found fault with. What is, however, unacceptable and illegal, is the use of egregious manipulative practices to create opportunities to manipulate markets, influence and manipulate indices, and artificially profiteer from such moves with their large trading and risk positions in index options markets. Nature of entities, fund transfers and possibility of diversion of illegal gains: 47. Out of the 4 entities involved in this case, 2 entities - i.e. Jane Street Singapore Pte Ltd. And Jane Street Asia Trading Ltd. are registered FPIs, incorporated in Singapore and Hong Kong respectively. One entity, i.e. JSI Investments Private Limited is incorporated in India in December 2020 and located in Mumbai. It was who....
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....to note as per data published in SEBI's Analysis of Profits & Losses in the Equity Derivatives Segment (FY22-FY24) https://www.sebi.gov.in/reports-and-statistics/research/sep-2024/study-analysis-of-profits-andlosses-in-the-equity-derivatives-segment-fy22-fy24-_86905.html that out of 11,219 FPIs registered with SEBI as on March 31, 2024, only 2.50% of the FPIs are engaged in algorithmic trading. JS Group is part of this short term algorithmic trading community. 51. As noted earlier in this Order, it appears that the incorporation of the JSI Investments Private Limited in India enabled the JS Group to work around the regulatory prohibition in FPI Regulations against FPIs undertaking intraday cash market transactions, and thereby execute the manipulative scheme without specifically flouting the FPI Regulations. 52. Much of the enormous amount of trading and position taking in F&O by the JS Group have been undertaken by the FPIs in the JS group, and much of the profits arising from the prima facie manipulative schemes as identified in the 21 instances elaborated in this Order have also been booked by them. JS Group is a large multinational entity, controlled by managers resi....
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.... 55. However, as recently as May 2025, as has been clearly demonstrated in this order, JS Group again resorted to undertaking prima facie manipulative 'extended marking the close' trading patterns of large and aggressive intervention in index and constituent markets towards the expiry day closing, so as to influence and manipulate the index to their illegal advantage. The impugned trades in May 2025 are a cynical violation of the caution letter issued to the JS Group on February 06, 2025, and of their own declarations made to NSE in the same month. 56. Such egregious behaviour, in clear disregard/ defiance of the explicit advisory issued to them by NSE in February 2025, amply demonstrates that unlike the vast majority of Foreign Portfolio Investors and other market participants, JS Group is not a good faith actor that can be, or deserves to be, trusted. The integrity of the market, and the faith of millions of small investors and traders, can no longer be held hostage to the machinations of such an untrustworthy actor. Investor protection forms the core of SEBI's regulatory mandate. In the face of such a strong prima facie case that allowing the JS Group to continue as before m....
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....et integrity, investor protection, investor confidence and the futility of the post-investigation remedial measures, all will result in severe and irreparable damage. However, considering the unprecedented scale and complexity of the violations involved, the time needed to complete the investigation and consequent action can be significant. If such investigation eventually does not result in a finding against the Entities, the adverse impact of the interim restraint on the Entities may not be remediable. 60. Considering all of the above, therefore, I am convinced that, pending detailed investigation, the balance of convenience lies in - (i) passing interim directions against the Entities for impounding and retaining the alleged unlawful gains; and, (ii) restraining the Entities from dealing in securities till such time the directions for impounding illegal gains is complied with. 61. I am also convinced that interim cease and desist directions are warranted in the facts of this case. Also, until the completion of the investigation and the related proceedings, it is imperative that exchanges should monitor any future dealings and positions of JS Group closely....
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....ly enforced and complied with. 62.7. The Registrar and Transfer Agents shall ensure that, they neither permit any transfer nor redemption of securities, including Mutual Funds units, held by Entities. 62.8. Entities shall not dispose of or alienate any of their assets/properties in India, till such time, the amount of unlawful gains is credited to escrow account except with the prior permission of SEBI. 62.9. Entities are further directed to provide a full inventory of all their assets in India whether movable or immovable, or any interest or investment or charge in any of such assets, including property, details of all their bank accounts, demat accounts, holdings of shares/securities if held in physical form and mutual fund investments and details of companies in which they hold substantial or controlling interest immediately but not later than 15 days of this Order. 62.10. If the Entities have any open position(s) in any exchange traded derivative contracts, as on the date of this Interim order, they can close out/square off such open positions within 3 months from the date of order or at the expiry of such contracts, whichever is earlier. The....