Changes in Extreme Loss Margins for Index options ~ applicable on Short/Sell positions on expiry days
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 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.
Circular links:-
https://nsearchives.nseindia.com/content/circulars/CMPT64639.pdf
Source: www.nseindia.com
Derivative Research Desk
Disclaimers: https://bit.ly/DisclaimerKSLResearch
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 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.
Circular links:-
https://nsearchives.nseindia.com/content/circulars/CMPT64639.pdf
Source: www.nseindia.com
Derivative Research Desk
Disclaimers: https://bit.ly/DisclaimerKSLResearch