August 27, 2017

NSE: Facility of ‘Do not Exercise’ in Equity Options

.....
A facility will be provided to specify ‘Do not Exercise’ instruction on Expiry day in Options
contracts. On the expiry day, members shall be given an option to specify not to exercise
in respect of Close To Money (CTM) option strikes. This facility shall be provided on
Collateral Interface for Members (CIM) platform under menu “Exercise Request”. All ITM
option contracts, not in the ‘CTM’ option series, shall be exercised automatically as per
existing practice.

The CTM strikes range shall be arrived as under:
1. For Call Options - 3 ITM options strikes immediately below the final settlement price
shall be considered as ‘CTM’
2. For Put Options - 3 ITM options strikes immediately above the final settlement price
shall be considered as ‘CTM’.
....

Read more at https://www.nseindia.com/content/circulars/CMPT35635.zip

Comments: slightly difficult to understand. I will prefer to square off  ITM options by 3.15 on expiry day.

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