As per regulations, you cannot increase your delta based exposure during F&O ban. You can exit positions or take new positions that reduce or offset your delta exposure.
If you increase your delta-based exposure during the ban period, you face a penalty of 1% of the violation value, with a minimum of ₹5,000 and a maximum of ₹1,00,000 per day, plus 18% GST.
What is delta?
Delta shows how much your position value changes when the stock price moves by ₹1.
Delta values:
- Long Future: +1 (gains ₹1 when stock rises ₹1)
- Short Future: –1 (loses ₹1 when stock rises ₹1)
- Long Call: 0 to +1 (behaves like long position)
- Short Call: 0 to –1 (behaves like short position)
- Long Put: –1 to 0 (behaves like short position)
- Short Put: 0 to +1 (behaves like long position)
Your portfolio delta is the net of all your positions in the underlying stock. For example, if you hold 1 lot long Future (delta +1) and 1 lot long Put (delta –0.4), your net portfolio delta is +0.6. During F&O ban, exchanges monitor this net portfolio delta to determine if you've increased or reduced your exposure.
For a detailed explanation, refer to the Varsity module on Greeks.
What can you trade during ban?
You can only take positions that reduce or maintain your overall delta exposure.
Futures
| If you hold | You can | You cannot |
|---|---|---|
| Long Futures (positive delta) |
|
|
| Short Futures (negative delta) |
|
|
Options
| If you hold | You can | You cannot |
|---|---|---|
| Long Calls (positive delta) |
|
|
| Short Calls (negative delta) |
|
|
|
Long Puts (negative delta) |
|
|
| Short Puts (positive delta) |
|
|
How does monitoring work during ban?
When a stock enters ban on Day 1, exchanges capture your positions as your base position. From Day 2 onwards:
- Exchanges use delta values published at 2 PM to calculate your delta-based exposure
- They compare your end-of-day delta with your base delta
- If your delta increased, you face a penalty
When do violations occur?
You face violations if you:
- Add positions that increase the delta
-
Flip your position direction (example: from short –10 to long +2)
Understanding with examples
Example 1: Market movement (No violation)
-
Day 1: You hold 1 lot long Call
Day 1 base delta: +0.30 -
Day 2: Stock price rises, your Call's delta increases to +0.50
Day 2 delta: +0.50
Result: No violation. The delta increased due to market movement, not new trades.
Example 2: Adding a hedge (No violation)
-
Day 1: You hold 1 lot long Future
Day 1 base delta: +1 -
Day 2: You buy 1 lot Put (delta –0.4)
Day 2 delta: +0.6
Result: No violation. Your delta reduced from +1 to +0.6. You can add hedging positions during ban.
Example 3: Adding more Futures (Violation)
-
Day 1: You hold 1 lot long Future
Day 1 base delta: +1 -
Day 2: You buy another 1 lot long Future
Day 2 delta: +2
Result: Violation. Your delta increased from +1 to +2.
Violated quantity: 1 (difference between +2 and +1)
Example 4: Flipping position (Violation)
-
Day 1: You hold short positions
Day 1 base delta: –10 -
Day 2: You close shorts and go long
Day 2 delta: +2
Result: Violation. Your position flipped from short to long.
Violated quantity: 2 (absolute value of end-of-day delta when sign changes)
How is the penalty calculated?
Penalty = 1% of violation value + 18% GST
Violation value = Violated quantity × Stock price
-
Minimum penalty: ₹5,000 per day
Maximum penalty: ₹1,00,000 per day - Penalty example
You hold 1 lot long Future. During the ban, you buy another lot (Delta increases from +1 lot to +2 lots).
- Violated quantity: 1
- Stock closing price: ₹500
- Violation value: 1 × ₹500 = ₹500
- Penalty: 1% of ₹500 = ₹5 (below minimum, so ₹5,000 applies)
- GST: 18% of ₹5,000 = ₹900
- Total: ₹5,900 per day
Your base position doesn't change after a violation. The penalty continues daily until you reduce your delta exposure or the stock exits ban.