Jane Street crackdown by SEBI impacts India’s options market volumes

Trading activity in India’s options market has slowed down considerably, more so during the weekly options expiry sessions, after market regulator Securities and Exchange Board of India (SEBI) took action against US-based proprietary trading firm, Jane Street, last week.The order, published on the SEBI website last week, has had an impact on both the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), both of whom has seen a decline in the options premium turnover since then.
On the NSE, the index options premium turnover on the weekly expiry day of Thursday, has dropped sharply over the last three weeks. What stood at ₹80,731 crore on June 26, the options premium turnover on the NSE fell to ₹61,511 crore on July 3, which happens to be the same evening that SEBI issued the Jane Street order.
On the most recent expiry, which happened on July 10, the turnover fell further to ₹45,884 crore, which is a 25% drop from last week, according to NSE data.

Weekly Expiry	Options Turnover (₹ Cr)
June 26	80,731
July 03	61,511
July 10	45,884

Not just options, the overall derivatives premium turnover on the NSE also declined from ₹4.13 lakh crore on June 26, to ₹1.61 lakh crore on July 3, and fell further to ₹1.38 lakh crore last quarter, NSE data showed.

Weekly Expiry	Derivatives Premium Turnover (₹ Lakh Crore)
June 26	4.13
July 03	1.61
July 10	1.38

NSE data indicates that the total options turnover during the first eight trading sessions of July, has stood at ₹10.4 lakh crore.That is continued drop for at least four straight months, and a drop of over 30% from the ₹15.22 lakh crore turnover that was seen in the first eight days of April this year.

Month	First Eight Days Options Turnover (₹ Lakh Crore)
April	15.22
May	15.14
June	12.38
July	10.4

Things are no different at NSE’s peer, the Bombay Stock Exchange as well. Index options premium turnover on the exchange fell from ₹44,010 crore on June 24, which happens to be a Tuesday weekly expiry, to well below ₹20,000 crore on July 8, the immediate expiry after the Jane Street action.

BSE Expiry Date	Options Premium Turnover (₹ Crore)
June 24	44,010
July 08	19,683

Market participants believe that the SEBI action against Jane Street has spooked large institutional players and high-frequency traders who are key contributors to weekly options liquidity.The order, which involved allegations of unfair trade practices, appears to have triggered a broad pullback in risk-taking and liquidity provisioning over the past 4 to 5 trading sessions, the participants added further.

This decline in options turnover and volumes comes on the heels of the previously announced expiry day switch between NSE and BSE from September.

Shares of the Bombay Stock Exchange have declined 15% in the last one month.