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The exchange has also decided to determine the step value — the difference between two strikes — based on the volatility in the underlying stock. At present, the step value is determined on a daily basis based on the underlying price of the stock. “The step value shall be reviewed and, if necessary, revised on a quarterly basis,” NSE said in a circular.
The new strike scheme will be applicable from April 1 for all stock option contracts across all expiries, it said.
The strikes already introduced for April and May expiry months will continue to be available till their respective expiry. NSE said it will intimatethe list of stocks and their new strike scheme through a separate circular.
