NSE Revises strike scheme for Stock Options and periodic disablement of illiquid strikes

National Stock Exchange of India vide circular dated December 29, 2023 has issued Revision in strike scheme for Stock Options and periodic disablement of illiquid strikes. It is proposed to revise the strike scheme for stock options as given below:

1. There is no change in computation of step value. Strike scheme for expiration (Near Month, Middle Month and Far Month) is being segregated into narrow range and wide range.
2. The step value is defined for narrow range and wide range within each expiry either as step value or as a multiple of the step value.
3. The strike scheme will attempt to provide coverage of around 10% in narrow range. The wide range will provide an additional 5% from the narrow range, thereby providing total price range of around 15% subject to meeting minimum and maximum number of strikes.