Revised Lot Sizes for Index Derivatives from November 20, 2024.

Posted by Manoj Kumar November 9, 2024

The lot sizes for index derivatives, such as Nifty and Bank Nifty, are often reviewed and revised by exchanges periodically. As the effective date for the revised lot sizes for index derivatives is set for November 20, 2024

Revised Lot size for NSE indices

NSE Lot size changes

Revised Lot size for BSE indices

BSE Lot size changes

For quarterly and half-yearly contracts:

  • The lot size will change on December 26, 2024, end of the day for Nifty.
  • The lot size will change on December 24, 2024, end of the day for Bank Nifty.
  • The Lot size will change on December 27, 2024, end of the day for Sensex.

These changes will come into effect from the following expires:

IndexExpiryExpiry DateEffective change
Nifty 50WeeklyDecember 19, 2024Last weekly expiry with existing lot size
 WeeklyJanuary 02, 2025First weekly expiry with revised lot size
 MonthlyJanuary 30, 2025Last monthly expiry with existing lot size
 MonthlyFebruary 27, 2025First monthly expiry with revised lot size
 Quarterly & half yearlyMarch 27, 2025Will be revised from December 26, 2024, end of the day
Nifty BankMonthlyJanuary 29, 2025Last monthly expiry with existing lot size
 MonthlyFebruary 26, 2025First monthly expiry with revised lot size
 QuarterlyMarch 26, 2025Will be revised from December 24, 2024, end of the day
Nifty Financial ServicesMonthlyJanuary 28, 2025Last monthly expiry with existing lot size
 MonthlyFebruary 25, 2025First monthly expiry with revised lot size
Nifty Midcap SelectMonthlyJanuary 27, 2025Last monthly expiry with existing lot size
 MonthlyFebruary 24, 2025First monthly expiry with revised lot size
Nifty Next 50MonthlyJanuary 31, 2025Last monthly expiry with existing lot size
 MonthlyFebruary 28, 2025First monthly expiry with revised lot size
SensexWeeklyJanuary 03, 2025Last weekly expiry with existing lot size
 WeeklyJanuary 10, 2025First weekly expiry with revised lot size
 MonthlyJanuary 31, 2025Last monthly expiry with existing lot size
 MonthlyFebruary 28, 2025First monthly expiry with revised lot size
 Quarterly & half yearlyMarch 28, 2025Will be revised from December 27, 2024, end of the day
BSE BankexMonthlyJanuary 27, 2025Last monthly expiry with existing lot size
 MonthlyFebruary 24, 2025First monthly expiry with revised lot size
BSE Sensex 50MonthlyJanuary 30, 2025Last monthly expiry with existing lot size
 MonthlyFebruary 27, 2025First monthly expiry with revised lot size

Revisions in the lot sizes for index derivatives can have a significant impact on traders in the following ways:

Changes in Capital Requirements: With an Increase in Lot Size, traders will need more capital to initiate positions. This could make it difficult for small traders or those with limited funds to participate in the market.

Liquidity and Volatility: An increase lot size will impact market liquidity.  larger lot sizes might limit trading to larger, institutional players, which could impact liquidity and increase market volatility.

Scalping and Intraday Trading: Changes in lot size may alter the risk-reward ratio for strategies like scalping. A larger lot size could increase potential profits but also magnify losses.

Additional Margins on Expiry Day: Starting November 20, 2024, an Extreme Loss Margin (ELM) of 2% will be applied to short positions on expiry day to mitigate potential volatility risks.
Example: If you hold a short position in a Nifty 25,000 call option expiring on October 30 with a margin requirement of Rs. 1 lakh, you will need an additional margin of Rs. 37,500 on the expiry day. The calculation is based on the contract value: [Strike price (25000)* Lot size(75) * 2%/100).

No Calendar Spread Benefits on Expiry Day: Currently, traders holding positions across different expiries (calendar spreads) receive margin benefits, reducing the margin requirement. However, from February 1, 2025, these margin benefits will no longer be available on the expiry day of contracts.
Example:
Suppose you have a short option expiring on January 31 with a margin requirement of Rs. 1 lakh, hedged with a long option expiring on February 28, reducing the required margin to Rs. 50,000. On January 31 (expiry day), you will need to maintain the full Rs. 1 lakh margin as the benefit will be removed.

Intraday Monitoring of Position Limits: From April 1, 2025, SEBI and exchanges will begin intraday monitoring of position limits. Currently, these limits are reviewed at the end of each trading day

Client Limit – 5% of all derivative contracts of the same underlying.
Broker Limit – 15% of all derivative contracts.

Implementation Dates for SEBI’s New Regulations:

  1. Increase in Contract Size: Effective from November 20, 2024
  2. Limiting Weekly Expiry Contracts: Effective from November 20, 2024
  3. Additional Margins on Expiry Day: Effective from November 20, 2024
  4. No Calendar Spread Benefits on Expiry Day: Effective from February 1, 2025
  5. Upfront Collection of Premium While Buying Options: Effective from February 1, 2025
  6. Intraday Monitoring of Position Limits: Effective from April 1, 2025

For further details regarding the existing contracts refer the circular below.

To read NSE circular, click here

To read BSE circular, click here

We encourage you to review these changes and consider their impact on your trading strategy. 

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