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What is the applicable price band for stock futures during CAS?
The price band for all stock futures contracts will be set at ±3% of the reference price computed post 3:15pm during normal market hours.
The reference price shall be computed as below:
- The reference price of a stock future contract shall be determined based on the VWAP of the trades executed in the stock future during the period 3:00 p.m. to 3:15 p.m.
- In case no trade is executed in a stock future during the period 3:00 p.m. to 3:15 p.m., the Last Traded Price (LTP) of the stock future during the day shall be taken as the reference price.
- In case there is no trade during the day, prevailing theoretical price (based on cash market LTP at 3:15 p.m.) of the stock future shall be taken as the reference price.
- In case underlying security in cash market is not traded i.e. LTP is not available, base price of the respective future contract shall be taken as reference price for arriving at price band at 3:15 pm
- The existing framework for dynamic flexing of price bands for stock futures shall not be applicable during the period from 3:15 p.m. to 3:40 p.m.
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