Exchanges have made some changes to the Enhanced Surveillance Measure (ESM) framework. Under the revised framework, stocks that are under ESM Stage II will be allowed for trading on all trading days in periodic call auction, with a price band of +/- 2%. These changes come into effect from July 24, 2023 onwards.
Currently, the stocks that move to ESM Stage II trade only once per week.
| ESM Stage | Currennt Surveillance Action | Revised Surveillance Action |
|---|---|---|
| I | The applicable margin will be 100% from T+2 day, with Trade-to-Trade settlement and a price band of 5% or 2% (In case the stock is already in the 2% price band) | No changes |
| II | Trade-to-Trade settlement with a price band of 2% and stocks are traded only once per week | Trade-to-Trade settlement, Applicable margins of 100%, and trading allowed on all trading days with a price band of +/- 2% in periodic call auction |
You can check the announcement from the exchange here.
What is a periodic call auction and how does it work?
Under the Periodic Call Auction mechanism, six auction sessions are held throughout the trading day, each lasting for one hour. These sessions commence at 9:30 AM and operate similarly to the pre-market session conducted for equity stocks.
During the 45-minute window, participants can place, modify, and cancel their orders. All orders received are then matched within the next eight minutes, and the resulting trades are confirmed. A seven-minute buffer period is provided before the next call auction session starts.
Periodic Call Auction session timings
| Session No | Start Time- Order Placement | Order matching | Buffer period |
|---|---|---|---|
| 1 | 09:30 AM - 10:15 AM | 10:15 AM - 10:23 AM | 10:24 AM to 10:30 AM |
| 2 | 10:30 AM - 11:15 AM | 11:15 AM - 11:23 AM | 11:24 AM to 11:30 AM |
| 3 | 11:30 AM - 12:15 PM | 12:15 PM - 12:23 PM | 12:24 PM to 12:30 PM |
| 4 | 12:30 PM - 01:15 PM | 01:15 PM - 1:23 PM | 01:24 PM to 01:30 PM |
| 5 | 01:30 PM - 02:15 PM | 02:15 PM - 2:23 PM | 02:24 PM to 02:30 PM |
| 6 | 02:30 PM - 03:15 PM | 03:15 PM - 3:23 PM | 03:24 PM to 03:30 PM |
What is Enhanced Surveillance Measure (ESM)?
SEBI and Exchanges introduced Enhanced Surveillance Measures (ESM) on Micro-Small companies (companies with a market cap of less than Rs. 500 crores on the mainboard platform) based on parameters like price variation, standard deviation, etc. You can learn more about the ESM framework here.