The reference price for each contract shall be the theoretical price based on the underlying price at market open, and during trade, it would be the simple average of trade prices of that contract in the last five minutes. For contracts that have traded in the last five minutes, the reference price shall be revised throughout the day on a rolling basis at one minute intervals. For other contracts, the reference price shall be the theoretical price based on the latest available underlying price and shall be revised throughout the day at 30-minute intervals.

What is Execution Range?

Execution range is the range on both sides of the reference price.

The Execution range for Future contracts would be 5% around the reference price. For Option contracts, between 0.05 – 25 reference prices, it would be a minimum absolute range of 7.50 around the reference price. For option contracts above 25 reference price, it would be 30% of such reference price with minimum absolute range of 10 around the reference price.

The Execution range for Currency Future contracts having tenure up to 6 months would be 1% around the reference price and for Currency Future Contract having tenure more than 6 months would be 2% around the reference price.

In light of the above, your intraday Derivative fresh position / cover order may be partially / fully cancelled by NSE if it is outside the Reference Price and Execution Range.