Ridiculous things happening with NSE Circuit System

I have been observing crazy thing happening in MRF Options.

Closing price of 98000 CE of MRF was 184.55 on 21st Sepetember 2022. But what I found on 22nd is that the upper circuit of that option was only 8.55. Don’t know how the circuit was calculated but for an innocent buyer, it is just a scam. Imagine purchaing a thing for 180 and next day knowing that the upper circuit (not even the lower circuit) is below 10.

Similar is with 100000 CE of MRF where LTP was 186.85 on 21st and on 22nd, again the Upper circuit was just 3.35. Same thing happened with 103000 CE.

In equity market also, I observed this in previous month. There is an ETF MOVALUE whose closing price was 58.35 on 29th August and next day itself, its upper circuit was around 50 levels.

If any person unknowingly purchase option/stock and this thing happens, then who will be responsible. It is just nonsense to see this kind of circuit system. If there should be circuit limit, then let it be +/- 10 or 20% of Adjusted Closing price. But changing the limit to 8 from 180 is not acceptable. This needs to be changed and a transparent circuit filter needs to be introduced.

Thanks

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can this be true @ShubhS9 @nithin pl clarify

@MohammedFaisal can you.

Hi @Aditya_Gupta,

The exchange calculates the daily settlement price of the contract based on the weighted average price of the last 30 mins of trade(3-3.30 PM). If there are no trades in the last 30 mins, the exchange calculates a settlement price using theoretical calculations. What seems to have happened in this case is that theoretical price calculation on 22nd September seems to be significantly off from the real prices (higher implied volatility(IV) for OTM illiquid contracts).

19th Sep- Contract trades in last 30 mins- Settled at 312.85

20th Sep- Contract trades in last 30 mins- Settled at 218.5

21st Sep- Contract trades during the day but not in the last 30 mins- LTP is 184.55 but theoretical price is 1.5

We had highlighted this once to the exchange, and will try to get an update from them on this.

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