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Wednesday, April 28, 2010

SEBI guidelines for derivative contracts on Volatility Index, like NSE has

Sub: Introduction of derivative contracts on Volatility Index
Further to SEBI circular no. SEBI/DNPD/Cir-35/2007 dated January 15, 2008 with regard to introduction of Volatility Index, it has now been decided to permit Stock Exchanges to introduce derivative contracts on Volatility Index, subject to the condition that;
a. The underlying Volatility Index has a track record of at least 1 year.
b. The Exchange has in place the appropriate risk management framework
for such derivative contracts.
2. Before introduction of such contracts, the Stock Exchanges shall submit the
following:
i. Contract specifications
ii. Position and Exercise Limits
iii. Margins
iv. The economic purpose it is intended to serve
v. Likely contribution to market development
vi. The safeguards and the risk protection mechanism adopted by the exchange to ensure market integrity, protection of investors and smooth and orderly trading
vii. The infrastructure of the exchange and the surveillance system to effectively monitor trading in such contracts, and
viii. Details of settlement procedures & systems
ix. Details of back testing of the margin calculation for a period of one year considering a call and a put option on the underlying with a delta of 0.25 & -0.25 respectively and actual value of the underlying.

Source: SEBI CIR/DNPD/ 1 /2010 dated 27th April 2010

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