NSE to revise scheme of strikes in stock options
Mumbai: The National Stock Exchange (NSE) Thursday said it is implementing a new scheme of strikes for all stock options contracts and across all expiries effective April 1.
The NSE currently provides stock options contracts in accordance with the scheme of strikes specified in its circular of April 2012.
The exchange said the move will help traders to act more judicially at times of higher market volatility.
Strike price is fixed by the seller of a security after receiving bids in a tender offer, typically for sale of bonds or a new stock. It is the price at which a put or call option can be exercised.
As per the new scheme, the step-value applicable for each stock will be determined based on the volatility of the underlying stock and the step value will be reviewed and if necessary revised on a quarterly basis, the NSE said in a circular.
The largest bourse also said the number of call and put option strikes provided for each underlying will be a minimum of 5-1-5 subject to a maximum of 10-1-10 strikes.
The exchange will also introduce new strike prices intra-day, the circular said, adding the new strikes rates already introduced for April and May 2013 expiry months will continue to be available till their respective expiry.
The list of stocks and their new strike scheme will also be intimated later, NSE said.