As part of risk management measure undertaken by Exchange, orders shall be matched and trades shall take place only if the trade price is within the reference price and execution range.
Reference price is calculated as theoretical price based on the underlying price of the scrip/contract in market. During trading hours it would be the simple average of trade prices of that contract in the last one minute. For contracts that have traded in the last one minute, 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 regular intervals.
The execution range for future contracts would be 5% around the reference price. For option contracts, with reference price range between Rs 0.05 - 50, it would be a minimum absolute range of Rs 20 around the reference price. For option contracts with reference price above Rs 50, it would be 40% around the reference price. The execution range will not apply to India Vix Futures and long-term option contracts on Nifty.
Any incoming order, if it likely to results in execution of a trade outside the reference price and execution range, such an order, either fully or partially, will be automatically cancelled by the exchange.