SEBI proposes delta-based Future Equivalent limits for members trading in index options

SEBI noted that the current system allows disproportionately large positions, especially in indices with low OI, creating a potential concentration risk where a single TM could dominate trading. | Photo credit:

The existing system uses different metrics for clients and trading members, creating inconsistencies when aggregating positions, the regulator said in a consultation document on Thursday. The customer-level limits were shifted to the delta-adjusted benchmark in May this year with ceilings of ₹1,500 crore on a net FutEq basis, and ₹10,000 crore each on gross long and gross short FutEq, as they provide a more realistic representation of the risk.

Currently, TMs can hold the higher of ₹7,500 crore or 15 per cent of the market-wide open interest in index futures or options. The absolute limit of ₹7,500 crore could become disproportionately large in indices with low open interest, potentially allowing a single TM to control a significant portion of the market, the regulator said.

SEBI said the lack of coordination has raised concerns among market participants. “Delta-based limits provide a better measure of risk for open option positions,” the regulator said in its paper. It added that using a uniform measure makes the open interest of futures and options additive, improving monitoring.

The regulator has proposed limiting TM limits for index options to 15 percent of the market-wide FutEq open interest. To prevent a single trading member from taking positions in less liquid indices, SEBI has also proposed an absolute slab system ranging from ₹2,000 crore to ₹12,000 crore depending on the market-wide open interest in the previous quarter.

No change is proposed for index futures as their delta is always 1, making notional and FutEq identical.

“This alignment is essential to ensure consistency across risk controls and to avoid concentration risks in thinly traded contracts,” SEBI said. Public comments are invited until December 26.

Stock exchanges and clearing houses will be required to publish FutEq’s market-wide open interest at the end of each trading day so that TMs can assess their limits for the next session.

Published on December 4, 2025