The Bombay Stock Exchange (BSE) on November 14, 2024, notified regarding the Changes in Extreme Loss Margins.
This is in reference to ICCL Circular no - 20241003-52 and SEBI Circular Ref. No: SEBI/HO/MRD/TPD-1/P/CIR/2024/132 dated October 01, 2024, on Measures to Strengthen Equity Index Derivatives Framework for Increased Investor Protection and Market Stability.
The following has been stated:
• On the day of options contracts expiry, to increase the tail risk coverage, an additional Extreme Loss Margin (ELM) of 2% shall be levied on short index options contracts.
• The additional ELM of 2% would be applicable for all open short index options at the start of the day, as well on short index options contracts initiated during the day that are due for expiry on that day.
[Notification No 20241114-1]
