For a new contract - At market open, Theoretical price derived from the underlying price (using implied volatility in case of options contracts and rate of interest which shall be revised daily with the applicable MIBOR rate) or base price of the contract in case the underlying price is not available at the time of computation. The base price of the contracts on subsequent trading days - At market open, shall be the daily close price.
During Trading Hours – 1 minute simple average of trade prices, on a rolling basis, 1 minute simple average of trade prices, the reference price shall be revised throughout the day on a rolling basis at 1-minute intervals
On days when the contracts were not traded in the last half an hour or not traded at all during the day, the base price for the next day shall be the theoretical price
|Segment||Reference Price||% of Reference Price ||Minimum absolute Range (Rs.)|
|Options||Rs 0.05 - 50||-||20|
|> Rs 50||40 %||-|
Now another buyer has also placed a Buy Limit order for 1 lot at 50 and this exactly matches with your 1 lot stop-loss order in the market depth. This is also a valid order and will be open as it is within the circuit limits of the contract.
If Bank Nifty spot falls 60 points in 1 minute, Banknifty 20300 CE option price will fall to 80. When this happens, the reference point at the end of this minute will change. Say the reference point is now 100 and the execution range has changed to a new range of 60 to 140. Your stop loss of 50 is still outside the execution range but is still open. If Bank Nifty spot falls another 30 points within the next trading minute. Banknifty 20300 CE will further fall to 50. Here, your stop loss of 50 has reached but it is still out of the execution range as the new reference point is yet to be formed only at the end of this minute. It is only after the new reference point is formed that your order will fall within the execution range. Since your stop loss of 50 has now been reached and there is a matching Buy limit order at 50, and it is still outside the execution range as the new reference point is yet to be formed, this order will be cancelled in such a scenario.
When there is a significant move in an F&O contract, and if the execution range is not updated immediately by the exchange (as it is calculated based on the average of the trades in the contract), your order could get rejected.
Click here to see NSE's circular on this.