NSE announces quantity freeze limits for derivative contracts

As part of its risk management system, NSE issued a circular on 31 July highlighting the logic for quantity freeze and the respective quantity freeze limits for the 3 indices traded in F&O viz. Nifty, Bank Nifty and Nifty Financial Services index. For all the 3 indices, the quantity freeze limits shall be announced on a monthly basis, with revisions where warranted. The frequency distribution of quantity freeze will be as under.

Index benchmarked quantity freeze limits in F&O
 

Index Level From

Index Level To

Quantity Freeze

0

5,750

8,500

>5,750

8,625

5,500

>8,625

11,500

4,200

>11,500

17,250

2,800

>17,250

27,500

1,800

>27,500

40,000

1,200

>40,000

55,000

900

>55,000

No Upper Limit

600

Data Source: NSE

In case of contracts on indices, all orders that are entered in the trading system with quantity more than the respective freeze quantity limit (specified above) for the index shall be frozen and automatically rejected by the Exchange. 

Does quantity freeze apply for individual stocks?

Yes, quantity freeze applies to individual stocks also, and orders entered in the trading system more than the respective freeze quantity limit shall be frozen and automatically rejected by the Exchange. Post quantity freeze, orders will only be accepted up to 1 % of MWPL or Rs.2.50 crore notional value, whichever is lower.

What is the applicable quantity freeze today?

The quantity freeze for the 160 F&O stocks are available on www.nseindia.com. However, for greater clarity, the below table captures the quantity freeze limits for the 3 indices on which F&O trading is currently permitted.
 

Index Name

Current Index Level #

Quantity Freeze

Nifty 50

15,763

2,800

Bank Nifty

34,584

1,200

Nifty Financial Services

16,469

2,800

# - closing value on 30 July

The above levels are applicable effective 02 August and are subject to monthly review.

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