The National Stock Exchange (NSE) on November 08, 2024, issued a circular regarding the Enhancement of Dynamic Price Bands for scrips in the Derivatives segment – Sliding price band & Cancellation of orders beyond new price band with changes in Limit Price Protection for options contracts during cooling off period.
The Exchange hereby notifies you of the two updates below:
• Sliding price band on account of flexing as mentioned in Para (D) of SEBI/HO/MRD/TPD1/P/CIR/2024/58 dated May 24, 2024
Whenever the price band of a contract is flexed in the direction of price movement (in the manner as specified in NSE/FAOP/63405 dated August 14, 2024) on meeting the objective criteria of flexing (i.e. 50 trades to be executed with 10 different UCCs and 3 trading members on each side of the trade as defined in circular NSE/FAOP/62241 dated May 30, 2024^^), the price band on the other side (i.e. lower band in case of upward price movement and higher band in case of downward price movement) would also be flexed concurrently by equivalent amount in the direction of price movement. Thus, ensuring that the price band slides in the direction of price movement instead of expanding. Further, pending orders with limit prices which are not within the new price band would be cancelled by the Exchange. (Details in Annexure A)
• Trading in options segment during cooling off in underlying / futures contracts as mentioned in in Para (E) SEBI/HO/MRD/TPD1/P/CIR/2024/58 dated May 24, 2024
A temporary price floor or ceiling on LPP limits of stock options in the sentimental direction of price trend in the underlying, as applicable, would be placed once underlying triggers cooling off. (Details in Annexure B)
Other than the above all other existing LPP related norms (as per point (E) in chapter 1.15 Pre-Trade Risk Controls in Exchange circular NSE/FAOP/61814) shall continue
The above shall be effective in Live from November 18, 2024 and shall be available for testing in mock being conducted on November 16, 2024.
[Circular No: 144/2024]
