If you want, you can exit the position completely. Otherwise, you can continue to hold your existing position as long as you do not increase your Delta OI. Any new trades should not result in a higher Delta OI than your current base level. The notification you received is just a general alert from our side to nudge clients and make them aware of the Delta OI limits.
Penalty will apply only if the Delta OI limits are breached. As long as you stay within your base Delta OI, you can continue holding the position and even take additional positions within the permitted limit.
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