The National Stock Exchange (NSE) on July 31, 2026, notified regarding the Changes in Future Equivalent (FutEq)/(Delta) Intraday Position Limits Monitoring for Equity Index Derivatives and Order to Trade Ratio (OTR) on account of Closing Auction Session (CAS).
The following has been stated:
• NSE has revised the Intraday Position Limits (IPL) Monitoring Framework for Equity Index Derivatives and the Order to Trade Ratio (OTR) framework to align with the Closing Auction Session (CAS). Under the revised framework, no intraday position snapshot will be taken during the CAS until the equilibrium index price is determined, after which an additional fifth snapshot may be taken up to 3:40 PM. The 15-minute cure period will not apply to snapshots taken after 2:45 PM, and the closing price of the underlying index will be used for delta computation and position valuation.
• Additionally, same-day expiring derivative contracts will be included in post-CAS snapshots, the time-to-expiry for Black-Scholes delta calculations will be based on the revised 3:40 PM market close, and orders placed during the Closing Auction Session for eligible cash market stocks will not be considered for Order to Trade Ratio (OTR) computation. Trading Members are advised to ensure compliance with these revised provisions.
[Notification no. – NSE/SURV/75524]
