Revised exposure margin for exchange traded equity derivatives

SEBI vide its circular CIR/DNPD/3/2010 dated July 7, 2010 has revised the exposure margin for exchange traded equity derivatives. SEBI has now decided that the exposure margin should be higher of 5% or 1.5 times the standard deviation (of daily logarithmic returns of the stock price). Earlier in October, 2008, SEBI had stated that the exposure margin should be higher of 10% or 1.5 times the standard deviation (of daily logarithmic returns of the stock price) of the notional value of the gross open position in single stock futures and gross short open position in stock options in a particular underlying.

A copy of the circular is available here.