SEBI CONSULTATION PAPER on F&O Trades SEBI plans to revamp F&O open interest calculation New Ol calculation to be based on Delta New Change will reduce chances of stock entering F&O Ban SEBI stimulation shows reduction in BAN by 90% for F&O stocks SEBI Proposal: New MWPL Formula: Set as the lower of (15% of free-float market cap) or (60× ADDV in cash market), recalculated quarterly. Impact: Backtesting shows a 90% drop in ban period instances (from 366 to 27), reducing manipulation risks. Index Derivatives: No MWPL currently; SEBI will assess the need for one to maintain market stability. SEBI aims to shift Open Interest (OI) calculation to a Future Equivalent (Delta-based) approach for better risk assessment. Key reasons: Notional-based OI can be manipulated, distorting risk exposure. Delta-based OI provides a clearer view by combining futures and options exposure. Helps align derivatives activity with cash market trends. SEBI proposes changing Open Interest (OI) calculation in equity derivatives from notional terms to a Future Equivalent (Delta-based) approach. Key goals: Prevent stocks from entering the ban period unnecessarily. Strengthen position limits for index derivatives. Minimal impact on small investors, reducing trading disruptions.