New DeltaOI Rule To Decide F&O Ban In Stocks From Monday
From Monday, stock F&O bans will follow a new rule based on “Delta Open Interest” or DeltaOI. Exchanges will still place stocks under ban when market-wide position limits are breached, but the calculation will now use delta-adjusted exposure instead of simply counting contracts. This update will change how much exposure a client can hold once a stock enters the ban list and how penalties are applied if exposure increases during the ban. What does this new framework mean for stock options traders and their open positions?
How Did The F&O Ban Work Earlier?
Under the old system, once a stock entered the F&O ban, fresh positions were not allowed in that stock.
- A client who already held a futures or options position before the ban could keep that position.
- The client could reduce or fully square off the position.
- The client could not increase exposure while the stock remained in ban.
Open interest was counted in a simple way. One futures contract or one options contract counted as one unit of open interest, without adjusting for the option’s delta or price sensitivity. This notional method treated deep in-the-money and far out-of-the-money options the same way.
What Changes Will Commence From Monday?
From Monday, the rule shifts to a delta-based method. Exchanges will monitor “Future Equivalent” or delta-adjusted open interest to decide the ban and to track positions during the ban. This is part of a wider move by regulators to bring delta-based risk monitoring into F&O.
Under the new rule, a client may continue to hold F&O positions in a stock that has entered the ban, but only as long as the client’s DeltaOI does not increase. Any rise in DeltaOI during the ban period can attract exchange penalties.
So, how does DeltaOI work, and why can it change even if no trades are placed?
What Is DeltaOI, And Why Can It Rise Even When No Trades Are Done?
Delta shows how much the price of an option changes when the underlying stock moves by one rupee.
- For calls, the delta ranges between 0 and +1.
- For puts, delta ranges between 0 and −1.
A long futures position has a delta close to +1.
DeltaOI (or future-equivalent OI) is calculated by taking the open interest of each position and multiplying it by the contract’s delta, then summing these values at a portfolio level for that stock. NSE and other exchanges explain this as net delta-adjusted exposure across futures and options for an underlying.
In simple words, DeltaOI is not fixed. It changes with the market because delta itself changes when the stock price moves. During a ban, any increase in DeltaOI is treated as an increase in exposure. The exchanges can then levy penalties for this rise, even if the client has not added fresh lots. The exchange circulars give examples where a long futures position sees a higher delta the next day due to price appreciation, and this extra delta is counted as an increase in exposure.
If DeltaOI can change without fresh trades, what are the practical risks and what tools can help clients track this better?
What Does This Mean For Risk, Penalties, And The Tools Clients Can Use?
When a stock is under F&O ban, any increase in a client’s DeltaOI for that stock can attract a penalty from the exchange. That penalty is then passed on to the client by the broker, because the broker only acts as an intermediary.
Risk teams at brokers will monitor live DeltaOI. If they see DeltaOI rising during a ban, they may liquidate such positions on a best-effort basis to reduce risk and control penalties. It is possible that the position gets squared off by the risk team, and a penalty is still applied by the exchange, because penalties are calculated on end-of-day DeltaOI snapshots.
For DeltaOI calculation at a simple level, traders can think of it as:
Open interest of each leg × delta of that leg, then added across all legs in that stock.
The Neo app and website also show an F&O ban list that tracks stocks close to ban, in ban, and likely to come out of ban. This helps clients assess ban risk at a glance rather than noticing it only after a stock enters the ban.
With exchanges now shifting to a live, delta-based view of open interest and linking penalties to DeltaOI moves during bans, the key question for investors is, how quickly can trading strategies and risk controls adjust to the new framework to keep exposure, ban risks, and penalties effectively under control?
References
This article is for informational purposes only and does not constitute financial advice. It is not produced by the desk of the Kotak Securities Research Team, nor is it a report published by the Kotak Securities Research Team. The information presented is compiled from several secondary sources available on the internet and may change over time. Investors should conduct their own research and consult with financial professionals before making any investment decisions. Read the full disclaimer here.
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