Chintan Savla
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NICE INFORMATION FOR F&O PLAYERS

Chintan Savla at 11:42 AM - Nov 25, 2013 ( ) Views: 1,128

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LIX 15 Index is designed to provide exposure to the liquid stocks while making the index easily replicable and tradable. In order to make the index easily replicable and tradable, criteria’s such as minimum turnover ratio and free float market capitalization are applied while selection of stocks. The index constitutes only 15 stocks with maximum weight of single stock capped at 15%.

Market Representation

  • As on July 01, 2013 the index comprised stocks from 9 different industries.
  • The total traded value for the last six months ending June 2013 of all index constituents is approximately 22% of the traded value of all stocks in the Cash Segment and 34% of all the stocks in F&O segment on NSE.

Methodology, Base Date & Value, Criteria for Selection of Stocks

Methodology

LIX 15 Index is computed using free float market capitalisation weighted method, wherein the level of the index reflects the total market value of all the stocks in the index relative to a particular base period. The method also takes into account constituent changes in the index and importantly corporate actions such as stock splits, rights, new issue of shares etc without affecting the index value.

Base Date and Value

LIX 15 Index is online computed and disseminated from July 08, 2013, with base date and base value being January 01, 2009 and 1500 respectively.

Criteria for Selection of Constituent Stocks

The index shall have 15 stocks from the 100 stocks forming part of CNX 100 and are individually eligible in the F&O segment as per the criteria stipulated by SEBI. For inclusion in the index the stock shall have a minimum free float of Rs. 50 billion and have turnover ratio (TRO) greater than 100% in majority of the last 6 months at time of review. The free float shall be average daily free float during the month of review. The turnover ratio shall be computed as under

TRO = Monthly Turnover _______ x 12

Average free float during the month

Capping Criteria

At the time of rebalancing of shares/ change in index constituents/ change in investible weight factors (IWFs), the weightage of the index constituent (where applicable) is capped at 13%. Weightage of such stock may increase up to a maximum of 15% between the rebalancing periods.

Exclusion criteria

The index shall be reviewed on a semi-annual basis. If the stock’s free float market capitalisation is less than Rs.40 billion or TRO is less than 100% in 3 out of 6 months then such stock shall be eligible for exclusion. The stock replacing it shall meet the inclusion criteria mentioned above.

A stock continuing to meet the inclusion criteria may still be excluded if any other stock meeting the inclusion criteria has free float twice that of existing stock in the index. The total number of stocks which shall be replaced in a review shall be restricted to 2. If there are more than 2 stocks eligible for replacement then stock with lower free float market capitalisation shall be replaced first.

 

SOURCE:-http://www.nseindia.com/products/content/equities/indices/LIX_15.htm

Make sure you read the xls and pdf file on the above mentioned link.

Nice information for F&O players to select high volume stocks for trading as high volume stocks cannot be easily manipulated and also we have a good bid ask rates in both future and options segment avoiding slippage in impact costs. 

Happy and profitable trading !!!


(1 to 5 out of 5) - Latest Replies on Top | First | << Previous | Next >> | Last |
Shashi Dace at 01:43 PM - Dec 23, 2013 ( )

THANKS FOR THE INFORMATION CHINTAN BHAI. AND AGAIN THANKS FOR A VERY PROMPT REPLY.

Chintan Savla at 01:21 PM - Dec 23, 2013 ( )

No Shashi bhai....

Shashi Dace at 01:19 PM - Dec 23, 2013 ( )

THANKS FOR YOUR INITIATIVE. IS LIX TRADABLE LIKE ANY OTHER INDEX, SAY NIFTY? ( I UNDERSTAND THAT  THE CONSTITUENT STOCKS CAN BE TRADED ANYTIME)

Chintan Savla at 11:51 AM - Nov 25, 2013 ( )
Welcome sunil

Sunil Jhaveri at 11:43 AM - Nov 25, 2013 ( )

THANK YOU

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