Market Wide Position Limit (MWPL)

What is Change in the Open Interest (OI) Calculation methodology - Delta-Based (Future-Equivalent) OI?

Earlier Practice:

Open Interest (OI) was measured based on the total number of outstanding lots / contracts held, without accounting for the actual risk or exposure.

New Rule:

OI shall now be measured at the portfolio level by computing net delta adjusted open positions across futures and options, called Future Equivalent Open Interest (FutEq OI), which reflects actual price sensitivity to the underlying stock/index.

Delta denotes sensitivity of price movement of derivative position with respect to that of the underlying:

Futures: Delta = +1 or -1 (long/short)

Call Option: Delta ranges between 0 to +1 (positive direction)

Put Option: Delta ranges between 0 to -1 (negative direction)

This delta-based approach captures true directional exposure and will now be used for the following:

a. Position Limit Monitoring for Index Futures and Index Options

b. Computation of Market Wide Position Limit (MWPL)

c. Position Creation for Single Stocks during Ban Period