NSE reduces lot size for VIX

New norms effective from next month

The National Stock Exchange has announced a revised lot size for its India VIX futures contract, a product which allows traders to bet on how wildly the market will swing in the days ahead.

The lot size has been revised from 750 to 550, according to a notice dated June 24 on the exchange website.

“In accordance with SEBI (Securities and Exchange Board of India) guidelines prescribing minimum contract size of Rs 10 lakhs for India VIX futures contracts, Exchange periodically reviews the lot size based on the above criteria. Accordingly, the lot size of India VIX futures contracts shall be revised with effect from July 02, 2014,” said the notice.

A lot size is the minimum quantity of securities that changes hands in a transaction. The new norms will be applicable for contracts which expire on July 22, 2014.

The NSE had applied in 2010 for a volatility-based derivative. It was launched in February 2014. Turnover had been on the lower side even in the the run up to the elections, in spite of the underlying index reaching multi-year highs. Participants had blamed the high cost of holding on to a trading position; as well as issues related to contract tenure and size.

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