Short answer

As per regulations, you cannot increase your delta based exposure during F&O ban. You can exit positions or take new positions that reduce or offset your delta exposure.

If you increase your delta-based exposure during the ban period, you face a penalty of 1% of the violation value, with a minimum of ₹5,000 and a maximum of ₹1,00,000 per day, plus 18% GST.

What is delta?

Delta shows how much your position value changes when the stock price moves by ₹1.

Delta values:

Long Future: +1 (gains ₹1 when stock rises ₹1)

Short Future: –1 (loses ₹1 when stock rises ₹1)

Long Call: 0 to +1 (behaves like long position)

Short Call: 0 to –1 (behaves like short position)

Long Put: –1 to 0 (behaves like short position)

Short Put: 0 to +1 (behaves like long position)

Your portfolio delta is the net of all your positions in the underlying stock. For example, if you hold 1 lot long Future (delta +1) and 1 lot long Put (delta –0.4), your net portfolio delta is +0.6. During F&O ban, exchanges monitor this net portfolio delta to determine if you’ve increased or reduced your exposure.

For a detailed explanation, refer to the Arrow learning resources module on Greeks.

What can you trade during ban?

You can only take positions that reduce or maintain your overall delta exposure.

Futures

Exit by selling Futures

Sell Calls

Buy Puts

Buy more Futures

Buy Calls

Sell Puts

Exit by buying Futures

Buy Calls

Sell Puts

Sell more Futures

Buy Puts

Sell Calls

Options

Exit by selling Calls

Sell other Calls

Buy Puts

Sell Futures

Buy more Calls

Buy Futures

Sell Puts

Exit by buying back Calls

Buy Calls

Sell Puts

Buy Futures

Sell more Calls

Sell Futures

Buy Puts

Long Puts (negative delta)

Exit by selling Puts

Buy Calls

Sell other Puts

Buy Futures

Buy more Puts

Sell Futures

Sell Calls

Exit by buying back Puts

Sell Calls

Buy Puts

Sell Futures

Sell more Puts

Buy Futures

Buy Calls

How does monitoring work during ban?

When a stock enters ban on Day 1, exchanges capture your positions as your base position. From Day 2 onwards:

Exchanges use delta values published at 2 PM to calculate your delta-based exposure

They compare your end-of-day delta with your base delta

If your delta increased, you face a penalty

Market movements that change delta values don’t count as violations. Only new trades that increase your delta exposure cause violations.

When do violations occur?

You face violations if you:

Add positions that increase the delta

Flip your position direction (example: from short –10 to long +2)

If there’s a violation, iRage may close your positions, and an auto square-off charge of ₹50 + 18% GST will apply per order.

Understanding with examples

Example 1: Market movement (No violation)

Day 1: You hold 1 lot long Call Day 1 base delta: +0.30

Day 2: Stock price rises, your Call’s delta increases to +0.50 Day 2 delta: +0.50

Result: No violation. The delta increased due to market movement, not new trades.

Example 2: Adding a hedge (No violation)

Day 1: You hold 1 lot long Future Day 1 base delta: +1

Day 2: You buy 1 lot Put (delta –0.4) Day 2 delta: +0.6

Result: No violation. Your delta reduced from +1 to +0.6. You can add hedging positions during ban.

Example 3: Adding more Futures (Violation)

Day 1: You hold 1 lot long Future Day 1 base delta: +1

Day 2: You buy another 1 lot long Future Day 2 delta: +2

Result: Violation. Your delta increased from +1 to +2.

Violated quantity: 1 (difference between +2 and +1)

Example 4: Flipping position (Violation)

Day 1: You hold short positions Day 1 base delta: –10

Day 2: You close shorts and go long Day 2 delta: +2

Result: Violation. Your position flipped from short to long.

Violated quantity: 2 (absolute value of end-of-day delta when sign changes)

How is the penalty calculated?

Penalty = 1% of violation value + 18% GST

Violation value = Violated quantity × Stock price

Minimum penalty: ₹5,000 per day Maximum penalty: ₹1,00,000 per day

Penalty example

You hold 1 lot long Future. During the ban, you buy another lot (Delta increases from +1 lot to +2 lots).

Violated quantity: 1

Stock closing price: ₹500

Violation value: 1 × ₹500 = ₹500

Penalty: 1% of ₹500 = ₹5 (below minimum, so ₹5,000 applies)

GST: 18% of ₹5,000 = ₹900

Total: ₹5,900 per day

Your base position doesn’t change after a violation. The penalty continues daily until you reduce your delta exposure or the stock exits ban.