NATIONAL STOCK EXCHANGE OF INDIA LIMITED
FUTURES & OPTIONS SEGMENT
Circular No: NSE/F&O/029/2009 April 21, 2009
Download No: NSE/FAOP/12295
Eligibility criteria of stocks on which stock options and single stock futures could be introduced
This is in partial modification to SEBI circular SMDRP/DC/CIR-13/02 dated December 18, 2002, SEBI/DNPD/Cir-26/2004/07/16 dated July 16, 2004 and SEBI/DNPD/Cir-31/2006 dated September 22, 2006 regarding criteria for selecting the stock in derivatives segment.
As a surveillance measure SEBI has required the Exchanges to use the following stock’s selection criteria with immediate effect:
1. The eligibility criteria for inclusion of scrips in F&O segment shall be as under:
· The stock shall be chosen from amongst the top 500 stocks in terms of average daily market capitalization and average daily traded value in the previous six months on a rolling basis.
· The stock’s median quarter sigma order size over the last six months shall be not less than Rs. 5 lakhs.
· The market wide position limit (MWPL) in the stock shall not be less than Rs. 100 crores.
2. The criteria for exclusion of scrips in F&O segment shall be as under:
For an existing F&O stock, the continued eligibility criteria is that market wide position limit in the stock shall not be less than Rs. 60 crores and stock’s median quarter-sigma order size over the last six months shall be not less than Rs. 2 lakh. The stock shall be excluded if the above criteria is not fulfilled for consecutively three months.
3. Further, once the stock is excluded from the F&O list, it shall not be considered for re-inclusion for a period of one year.
For and on behalf of
National Stock Exchange of India Limited
Asst. Vice President