- What changes on Oct 1 (limits, systems, trackers)
- How broker risk engines will enforce caps
- What likely changes in intraday behavior & IV
- Expiry-day effects and penalties
- Trader checklist
The short
- Caps: Per entity intraday net limit ₹5,000 cr; gross limit ₹10,000 cr per side (longs & shorts counted separately).
- Basis: Futures-equivalent (delta-equivalent) aggregation across index options; applies to index options (and related index futures aggregation for monitoring where specified).
- Tracking: Multiple random snapshots daily—incl. one near 14:45–15:30 IST—with exchange surveillance and broker checks.
- EOD vs intraday: EOD net cap ~₹1,500 cr remains; the new intraday caps constrain daytime swings far above EOD.
- When: Effective October 1, 2025; specific expiry-day penalty mechanics kick in thereafter per exchange circulars.
What exactly changes (Oct 1)
- Net FutEq cap: Max futures-equivalent net exposure in index options at any snapshot: ₹5,000 cr per entity.
- Gross FutEq cap: Max gross per side (sum of longs; sum of shorts) at any snapshot: ₹10,000 cr.
- Snapshots: Exchanges/brokers will run at least four random checks/day, including a mandatory late-session window.
- Scope: Applies to equity index derivatives; stock-specific regimes remain separate.
How broker risk engines adapt
Computation & throttles
- Compute delta-equivalent (FutEq) exposures for each book in real time; aggregate by entity.
- Soft blocks near 80–90% of caps; hard rejects beyond; auto-hedge suggestions (index futures) to bring net within limits.
- Late-session pre-snapshot sweeps to nudge books within bands.
Operational hygiene
- Consolidate IDs/sub-accounts for entity-level view; avoid accidental double-counting across desks.
- Tag MM/liquidity flows to ensure gross caps don’t clip two-sided quotes—use tighter inventory loops.
- Alerting & kill-switches for expiry spikes; snapshot-aware algos.
Structure: what likely changes
- Expiry-day spikes moderate: Extreme 0DTE pile-ups should compress; more orderly IV into the close.
- Spread dynamics: Market makers manage gross caps → slightly wider screens at peaks; deeper but more “banded” liquidity.
- Gamma & veega control: Desks recycle inventory faster; more frequent delta-neutralization, less cliff risk at round strikes.
- Tenor drift: Some flow migrates from ultra-short to next-day/week tenors to dodge snapshot clustering.
Who must adjust (quick map)
| Participant | What changes | Action |
|---|---|---|
| Prop / HFT | Gross caps constrain two-sided size; snapshot squeezes | Inventory caps per symbol; snapshot-aware throttles; faster hedges |
| Large retail / clubs | “All-in” expiry bets risk rejects | Stagger orders; monitor utilization %; pre-hedge via futures |
| MM desks | Quote width nudged by gross per-side bands | Adaptive quoting; intraday recycling playbooks |
| Funds using index options | Less room for “intraday only” over-sizing | Align with EOD risk; spread into longer expiries |
Trader checklist
- Know your utilization: Add a live widget showing net & gross FutEq % vs caps; alert at 70/85/95%.
- Mind the clock: Expect a check late session; rebalance before 14:45 IST.
- Pre-hedge: Use small futures clips to pull net within band before adding options risk.
- Expiry SOP: Avoid cliff builds in far-OTM 0DTE strikes; scale in/out.
- Blockers: If orders are rejected, reduce gross on the crowded side or offset elsewhere to free room.
Reminder: The EOD cap (~₹1,500 cr net) still applies—don’t end the day above it even if intraday was within limits.
FAQ
- Is it per broker or per entity? Per entity (aggregated across accounts as defined by exchanges/brokers).
- How are options counted? On a futures-equivalent (delta-equivalent) basis for net and per-side gross sums.
- Are there extra expiry penalties? Exchanges will run stricter surveillance and may levy penalties for breaches during expiry windows.