Future Equivalent Open Interest
Also written Future Equivalent Open Interest (FutEq OI) · FutEq OI
Open interest measured as the net delta-adjusted position across futures and options on an underlying, instead of adding up notional contracts — the basis for SEBI's index derivatives position limits.
In plain language
Open interest used to count positions at face value. A long futures contract and a far out-of-the-money call on the same quantity counted the same, even though the call barely moves with the market. And a trader long futures and long puts showed a large open interest even though his positions largely cancel.
Future Equivalent Open Interest (FutEq OI) fixes that. Open interest is now measured at a portfolio level by computing the net delta-adjusted open positions across futures and options for an underlying. Each option position is converted into the number of futures it behaves like — its quantity times its delta — and then everything is netted.
SEBI introduced it, the workbook says, to enhance both risk management and trading convenience in equity derivatives, and to align the futures and options market more closely with the cash market.
How it works
Deltas used (Chapter 5, section 5.5.1):
| Position | Delta | Meaning |
|---|---|---|
| Long futures | +1 | Gains Rs 1 for every Rs 1 rise |
| Short futures | −1 | Loses Rs 1 for every Rs 1 rise |
| Long call | 0 to +1 | Partial gain when the underlying rises |
| Short call | 0 to −1 | Partial loss when the underlying rises |
| Long put | 0 to −1 | Partial gain when the underlying falls |
| Short put | 0 to +1 | Partial loss when the underlying falls |
Position limits built on it (Chapter 7, section 7.7). PAN-level limits for index options: net end-of-day FutEq OI Rs 1,500 crore; gross FutEq OI Rs 10,000 crore. Intraday: net Rs 5,000 crore, gross Rs 10,000 crore, monitored through at least four random snapshots a day, including one between 14:45 and 15:30.
Limits move with the market. Position limits are based on the total open interest at the end of the previous day, and if open interest drops compared with the previous day, participants can breach the limits.
Who computes delta. The stock exchange was to provide the facility for monitoring FutEq OI till 5 December 2025, after which broking entities are expected to have their own delta computing and monitoring systems. That date has now passed.
The formula
FutEq OI of a position = Quantity × Delta
Portfolio FutEq OI = Sum of FutEq OI across all futures and options on the underlying
Notional OI (old) = Sum of quantities, ignoring delta and direction
A worked example
The workbook's table (Chapter 5, section 5.5.1).
| Client | Positions | Notional OI | FutEq OI |
|---|---|---|---|
| 1 | Long futures 300 | 300 | 300 |
| 2 | Long call 500, delta 0.5 | 500 | 500 × 0.5 = 250 |
| 3 | Long futures 300; long call 500 (0.5); long put 400 (−0.5) | 1,200 | 300 + 250 − 200 = 350 |
| 4 | Short put 400; short call 400 | 800 | +200 − 200 = 0 |
| Market | 2,800 | 900 |
Client 4 wrote a put and a call of equal size and equal (opposite) delta — no directional exposure at all — and his FutEq OI is zero, against a notional 800. Market-wide open interest falls from 2,800 to 900.
In rupees (illustrative position; deltas assumed). A client is long 10 lots of Nifty calls, lot size 65, delta 0.4, and short 5 lots of Nifty futures, with the Nifty at 25,000.
Call quantity = 10 × 65 = 650 → FutEq = 650 × 0.4 = +260
Futures quantity = 5 × 65 = 325 → FutEq = −325
Net FutEq = 260 − 325 = −65 units × 25,000 = −Rs 16,25,000
Notional = (650 + 325) × 25,000 = Rs 2,43,75,000
On a notional basis the client looks like a Rs 2.4 crore position. Measured by what it actually does when the Nifty moves, it is a net short of about Rs 16 lakh.
Why NISM asks about it
Chapter 5, section 5.5.1 (New Formulation of Open Interest), introduces FutEq OI with the four-client table and the delta table, citing the SEBI circular of 29 May 2025. Chapter 7, section 7.7, applies it to PAN-level and intraday position limits for index derivatives and gives the December 2025 monitoring date. Expect a FutEq OI calculation from positions and deltas, the sign of each position's delta, and the Rs 1,500 / 10,000 / 5,000 crore limits.
Common exam traps
- FutEq OI multiplies each option position by its delta; futures positions count at delta ±1.
- It is netted: offsetting positions reduce it, as Client 4's zero shows. Notional OI simply adds.
- A short put has a positive delta; a long put a negative one.
- Net EOD Rs 1,500 crore; gross Rs 10,000 crore; intraday net Rs 5,000 crore, gross Rs 10,000 crore — keep the four apart.
- Limits are based on the previous day's total OI, so a fall in market OI can put a participant in breach without him trading.
- Stale by date: exchange-provided monitoring ran till 5 December 2025; brokers are now expected to run their own delta systems.
Where this is taught
Free preparation for NISM Series V-DRelated terms
- Market Wide Position LimitThe ceiling on total open interest in a stock's futures and options across exchanges — 20% of non-promoter shares. Above 95% no fresh positions are allowed until it falls to 80%.
- DeltaThe change in an option's premium for a one-rupee change in the underlying — the first and most used Greek, and the hedge ratio that says how much underlying to hold against an option position.
- Open interestThe total number of derivative contracts outstanding and not yet settled in an underlying — counted on one side only, because every long is matched by a short.
- Position limitsThe maximum open positions the whole market and each trading member or client may hold in interest rate derivatives — set as the higher of a percentage of open interest or a rupee amount, and always specified in lots.
- Delta hedgingOffsetting an option position's delta with the underlying or futures so the combined delta is zero, then buying or selling as delta changes to keep it there — the option trader's way of managing risk.
- Index derivativesDerivative contracts — chiefly index futures and index options — that have a stock index as the underlying asset. In India they are cash settled and used to hedge market risk.