How is the circuit limit of an Option decided for that particular day?

General
1

Yeah could get this info in Scrip Info window, the upper and lower circuit limit of options

It does not seem to follow the regular 10%, 20% such scheme of Equity Stocks.

Sometimes it is in multiple times of the Premium and does not follow any pattern to my eyes.

Is there a specific formula or calculation method available for calculating upper and lower circuit limits of options?

Edit:

Answer from Praveen through NSE link.

http://www.nseindia.com/products/content/derivatives/equities/price_bands.htm

Price Bands

There are no day minimum/maximum price ranges applicable in the derivatives segment. However, in order to prevent erroneous order entry, operating ranges and day minimum/maximum ranges are kept as below:

  • For Index Futures: at 10% of the base price
  • For Futures on Individual Securities: at 10% of the base price
  • For Index and Stock Options: A contract specific price range based on its delta value is computed and updated on a daily basis.

In view of this, orders placed at prices which are beyond the operating ranges would reach the Exchange as a price freeze.

2 Likes
2

There is no upper or lower circuit limit of options.

3

For Index and Stock Options: A contract specific price range based on its delta value is computed and updated on a daily basis. you can check in this link .

4 Likes
4

Ekansh, if you open Scrip Info of any option you can see the maximum and minimum price limits what you can place in an order.
If max limit is 200 rupees, and you place a limit order for 210, your order will get rejected. RMS circuit rule break.
Check it out if you want!

5

If the underlying stock break the circuit limit, upper or lower. Then the circuit limit of its options also changes.

1 Like
6

The underlying stocks in F&O segment do not have any circuit limits.
Only options will have. Rather I should say NOT as circuit limit, but maximum and minimum value what can be entered while placing an order.

7

@Praveen
Thank you. Is there a link available where I can see all stocks and its today’s price band?
Is the price band applicable for whole day, or will it vary within the day, like intraday MTM?
@Karthik
If you see this post, could you tell me what is the basis of this
’A contract specific price range based on its delta value is computed and updated on a daily basis."
The formula or method to calculate this daily range?

8

Generally, the price range will for the whole day, unless there is a very huge movement. The stocks which are in F&O category there is no price bands in cash. If any of these stocks move high or low then the circuit limits for that particular contract circuit range changes.