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
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.
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.
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 !!!