The National Stock Exchange of India Limited (NSE) on December 05, 2025, issued the Updates on the Standard Operating Procedure for Future Equivalent (FutEq)/(Delta) Intraday Position Limits Monitoring for Equity Index Derivatives.
The following has been stated namely: -
• As per SEBI and NSE circulars, the glide path framework for intraday position limits in index derivatives ends on December 05, 2025, and ceases from December 08, 2025.
• From December 08, 2025, entities taking large delta-based option positions must maintain their own delta computing and monitoring systems.
• The Additional Surveillance Deposit (ASD) framework becomes applicable from December 08, 2025, as mandated by SEBI.
• On expiry days, ASD applies not only to end-of-day breaches but also to intraday breaches of index derivatives position limits.
• ASD collected due to EOD or intraday breaches on expiry day will be blocked for one month, following the same rules as regular EOD breaches.
• During the cure period, the breach value exceeds the original snapshot, ASD will be computed using the higher (revised) snapshot, regardless of whether the cure period position is higher or lower.
• For expiry-day intraday breaches, an ASD equal to 1.5× the computed ASD will be levied.
• Cash availability for breach calculation will be based on index-wise allocation submitted by clearing members via RPT reporting.
• An example calculates ASD applicability across indices (NIFTY, BANKNIFTY, SENSEX, BANKEX), showing how excess delta values and cash deficits determine ASD charges.
• Exchanges will capture at least four intraday snapshots daily for monitoring position-limit compliance, as required by SEBI’s monitoring framework.
[Notification No. NSE/SURV/71673]
