Rajandran R Founder of Marketcalls and Co-Founder Algomojo. Full-Time Derivative Trader. Expert in Designing Trading Systems (Amibroker, Ninjatrader, Metatrader, Python, Pinescript). Trading the markets since 2006. Mentoring Traders on Trading System Designing, Market Profile, Orderflow and Trade Automation.

Derivatives – Median Quarter-Sigma Order Size – Explained

1 min read

Median Quarter-Sigma Order Size is a derivative rule to include new Stocks in Futures and Option Market. Before getting detailed into the Median Quarter-Sigma Order Size let look into the criteria for Selecting FNO Stocks.

Criteria for Selecting FNO Stocks.

1)Median Quarter-Sigma Order Size (MQSOS) for a stock to be eligible to enter into FNO list is Rs10 Lakh. And after entering into the derivative segment the stock has to maintain MQSOS of Rs5 lakh on average otherwise the stock will be removed from derivatives list.

2)Market Wide Position Limit (MWPL) in the stock should be greater than Rs300 Cr. And after entering into the derivative segment the stock has to maintain MWPL of Rs200 Cr.

3)The stock shall be chosen from amongst the top 500 stocks in terms of average daily market capitalisation and average daily traded value in the previous six months on a rolling basis

3)Minimum average monthly turnover for the last three months should be Rs100 Cr to retain in FNO Segment.

Average Median Quarter Sigma Order Size and MWPL Value of securities for the period June 16, 2014 to December 15, 2014

S. NoSymbolAverage Median Quarter sigma Order Size (Rs.lakhs)MWPL Value (Rs. crs)
1AARTIIND2.88202.24
2ABAN56.10357.04
3ABB7.421156.28
4ABGSHIP3.3378.79
5ABIRLANUVO26.151842.29
6ACC32.982682.94
7ADANIENT69.432512.24
8ADANIPORTS53.503005.20
9ADANIPOWER41.82656.96
10AEGISCHEM2.30114.69
11AHMEDFORGE13.28106.40
12AIAENG6.97857.95
13AIL3.09244.26
14AJANTPHARM12.19434.26
15AKZOINDIA3.50320.24
16ALBK38.66515.44
17ALEMBICLTD4.5682.62
18ALLCARGO2.31246.21
19ALOKTEXT38.53175.45
20ALSTOMT&D3.02594.80
21AMARAJABAT12.111262.83
22AMBUJACEM27.023325.21
23AMTEKAUTO26.32468.51
24ANANTRAJ7.14112.93
25ANDHRABANK38.18387.05
26APARINDS4.80121.39
27APLLTD8.90407.73
28APOLLOHOSP12.812117.66
29APOLLOTYRE63.801267.21
30ARVIND65.95810.71
31ASHOKLEY95.661436.21
32ASIANPAINT44.906391.08
33ASTRAL2.30350.69
34ATUL7.04370.62
35AUROPHARMA95.812892.40
36AXISBANK103.8714933.90
37BAJAJ-AUTO40.117661.26
38BAJAJCORP2.60232.17
39BAJAJELEC8.19141.31
40BAJAJFINSV4.681490.81
41BAJAJHIND7.58143.48
42BAJAJHLDNG3.561869.80
43BAJFINANCE8.691172.35
44BALKRISIND6.80516.50
45BALLARPUR4.30109.73
46BALMLAWRIE4.96348.76
47BALRAMCHIN4.72173.75
48BANKBARODA70.853814.17
49BANKINDIA69.781171.29
50BASF3.04291.23
51BATAINDIA13.55762.94
52BBTC5.58206.27
53BEL28.36921.09
54BERGEPAINT8.19658.10
55BFUTILITIE10.32157.79
56BGRENERGY6.2852.30
57BHARATFORG43.492367.28
58BHARTIARTL71.2010669.27
59BHEL100.515139.18
60BHUSANSTL2.82163.52
61BIOCON26.53714.09
62BIRLACORPN2.35260.74
63BLUEDART3.87692.21
64BLUESTARCO1.98378.23
65BOMDYEING7.90131.75
66BOSCHLTD13.063253.08
67BPCL71.934696.32
68BRITANNIA13.111986.16
69CADILAHC8.881598.27
70CAIRN43.904099.36
71CANBK76.441094.95
72CAPF8.15138.62
73CARBORUNIV1.71372.66
74CARERATING8.93824.52
75CASTROLIND10.171384.27
76CCL7.19218.46
77CEATLTD47.18360.47
78CENTRALBK6.79232.98
79CENTURYPLY5.92188.43
80CENTURYTEX40.26590.79
81CERA3.64190.63
82CESC24.81822.57
83CHAMBLFERT4.46234.29
84CHENNPETRO6.3787.05
85CIPLA54.536352.63
86CMC7.71592.39
87COALINDIA68.474564.61
88COLPAL18.922500.13
89CONCOR7.292176.62
90COROMANDEL4.09660.54
91CORPBANK3.70393.26
92COX&KINGS14.85321.60
93CRISIL5.96875.87
94CROMPGREAV63.591373.02
95CUB7.051074.92
96CUMMINSIND9.462324.28
97CYIENT2.35894.40
98DABUR20.532723.75
99DCBBANK8.56481.53
100DCMSHRIRAM3.71201.77
101DEEPAKFERT3.45125.79
102DELTACORP18.45252.45
103DEN3.62318.17
104DENABANK9.14183.15
105DHANUKA3.04139.79
106DHFL15.16624.52
107DISHMAN15.4789.09
108DISHTV25.99377.51
109DIVISLAB22.482209.08
110DLF156.671325.72
111DREDGECORP4.5551.67
112DRREDDY57.727071.18
113ECLERX2.89366.02
114EICHERMOT56.853498.56
115EIDPARRY2.75419.28
116EIHOTEL3.50805.79
117EMAMILTD6.45959.62
118ENGINERSIN14.80464.34
119EROSMEDIA6.94162.24
120ESCORTS17.59198.92
121ESSDEE4.5595.77
122ESSELPACK2.77159.22
123EXIDEIND28.851496.95
124FCEL2.05203.64
125FDC2.31161.72
126FEDERALBNK40.272479.84
127FINANTECH12.9893.15
128FINCABLES8.34484.07
129FINPIPE3.65335.43
130FORTIS4.85284.77
131FRL8.12199.92
132FSL10.75203.19
133GAIL38.635256.57
134GDL5.35433.79
135GESHIP2.93794.47
136GILLETTE2.40521.50
137GLAXO2.491242.47
138GLENMARK29.542271.04
139GLOBOFFS2.83205.22
140GMDCLTD2.67224.23
141GMRINFRA98.08621.39
142GODREJCP8.702430.22
143GODREJIND9.56471.81
144GODREJPROP3.25250.25
145GOLDBEES10.87416.34
146GPPL9.54910.65
147GRANULES14.81164.31
148GRASIM27.523891.26
149GREAVESCOT3.33331.51
150GRUH4.47774.36
151GSFC7.23518.14
152GSPL6.37777.67
153GUJFLUORO4.28493.01
154GUJRATGAS6.20404.97
155HATHWAY2.03535.84
156HAVELLS28.771482.23
157HCL-INSYS14.78126.41
158HCLTECH72.728981.02
159HDFC86.5136179.70
160HDFCBANK69.4627763.75
161HDIL104.42430.39
162HEROMOTOCO79.547448.41
163HEXAWARE26.27372.93
164HINDALCO104.283932.53
165HINDCOPPER3.17141.45
166HINDPETRO70.601812.94
167HINDUNILVR42.1111194.15
168HINDZINC17.404840.75
169HITACHIHOM8.81112.61
170HMT1.8259.38
171HTMEDIA1.89160.11
172IBREALEST54.99390.85
173IBULHSGFIN16.372264.14
174ICICIBANK134.2828277.95
175IDBI30.66519.04
176IDEA53.546023.44
177IDFC90.004913.93
178IFBIND5.6898.71
179IFCI57.31587.53
180IGL10.82688.69
181IL&FSTRANS5.41261.33
182INDHOTEL6.701072.96
183INDIACEM30.55407.79
184INDIANB5.21314.06
185INDOCO4.47222.01
186INDUSINDBK28.445527.17
187INFRATEL8.862849.32
188INFY233.9934638.01
189INGERRAND4.03148.11
190INGVYSYABK7.191719.96
191INOXLEISUR4.17170.57
192IOB19.97273.37
193IOC35.525326.41
194IPAPPM2.5753.76
195IPCALAB17.11926.71
196IRB73.84691.98
197ITC130.9557364.51
198J&KBANK13.18584.14
199JAGRAN1.05328.08
200JAICORPLTD9.2381.72
201JBCHEPHARM5.12162.19
202JETAIRWAYS18.32152.73
203JINDALPOLY7.0163.13
204JINDALSAW8.08336.13
205JINDALSTEL74.551026.13
206JISLJALEQS33.79525.79
207JKCEMENT6.03281.99
208JKLAKSHMI12.83491.37
209JKTYRE33.84275.19
210JMFINANCIL5.78247.60
211JPASSOCIAT171.74857.09
212JPINFRATEC12.47166.63
213JPPOWER51.05283.38
214JSWENERGY16.89763.45
215JSWSTEEL45.113506.69
216JUBILANT3.16196.62
217JUBLFOOD21.26955.99
218JUSTDIAL34.151474.12
219JYOTHYLAB4.38277.98
220KAJARIACER5.05405.68
221KALPATPOWR3.92229.68
222KANSAINER1.25656.96
223KARURVYSYA8.041236.43
224KEC3.78259.22
225KITEX7.55232.95
226KOLTEPATIL5.1675.35
227KOTAKBANK39.3710680.14
228KPIT9.54523.05
229KRBL4.34188.55
230KSCL11.97506.78
231KTKBANK30.23538.75
232L&TFH29.74602.59
233LAKSHVILAS7.11267.19
234LAOPALA2.46151.92
235LAXMIMACH3.71687.45
236LICHSGFIN60.752445.52
237LT173.1125769.92
238LUPIN36.506935.13
239M&M58.2611066.44
240M&MFIN21.761649.44
241MAGMA1.93268.22
242MAHINDCIE4.0290.01
243MAHINDUGIN3.90166.45
244MAHSEAMLES5.00167.84
245MANAPPURAM14.66407.25
246MARICO5.421686.27
247MARKSANS20.12221.43
248MARUTI70.938634.54
249MAX9.011207.05
250MCLEODRUSS9.04294.32
251MERCK2.91125.38
252MHRIL2.44111.46
253MINDTREE13.411683.13
254MMTC8.28122.89
255MOIL3.94213.70
256MONSANTO14.58275.35
257MOTHERSUMI32.272577.23
258MPHASIS4.31672.49
259MRF43.992044.35
260MRPL4.29206.69
261MTNL9.23146.08
262MUTHOOTFIN3.30374.03
263NATIONALUM13.61595.64
264NAUKRI5.611273.55
265NBCC40.22191.23
266NCC12.53270.57
267NFL1.7337.09
268NHPC51.39621.78
269NIITTECH4.86316.72
270NITINFIRE2.7443.75
271NMDC36.822222.13
272NRBBEARING1.84102.08
273NTPC51.275829.07
274OBEROIRLTY4.27429.49
275OFSS11.871426.68
276OIL14.922367.89
277OMAXE0.66116.35
278ONGC121.7620321.00
279ORIENTBANK39.42701.29
280ORIENTCEM2.23372.08
281PAGEIND8.101015.10
282PCJEWELLER10.68252.76
283PEL5.161315.72
284PERSISTENT5.81696.07
285PETRONET14.751484.63
286PFC71.402143.74
287PFIZER3.37314.85
288PFS22.66248.44
289PGHH2.671076.02
290PHOENIXLTD1.27373.52
291PIDILITIND7.121330.41
292PIIND4.65502.49
293PNB74.152972.97
294POWERGRID30.156200.75
295PRAJIND5.85161.39
296PRAKASH5.6282.76
297PRESTIGE4.38561.38
298PSB2.8462.30
299PTC25.41479.90
300PURVA2.23107.78
301PVR6.68409.83
302RADICO3.60128.16
303RAIN2.58193.51
304RAJESHEXPO5.31442.00
305RALLIS6.56418.97
306RAMCOCEM3.58933.27
307RANBAXY42.941840.14
308RASOYPR1.1338.16
309RAYMOND13.45359.41
310RCF12.50142.99
311RCOM45.602126.37
312RECLTD46.562241.02
313REDINGTON3.34744.95
314RELCAPITAL107.951183.45
315RELIANCE131.2932889.15
316RELINFRA86.001582.77
317RENUKA15.92139.87
318REPCOHOME4.32427.61
319ROLTA10.33167.23
320RPOWER49.34957.75
321SADBHAV3.79392.72
322SAIL46.231480.62
323SANOFI2.24671.97
324SBBJ3.88207.22
325SBIN353.4017936.86
326SBT3.42119.79
327SCI6.28204.15
328SHASUNPHAR8.82149.51
329SHOPERSTOP1.77265.76
330SHREECEM5.862183.05
331SHRIRAMCIT1.601251.23
332SIEMENS25.341607.35
333SIMPLEXINF2.36145.45
334SINTEX37.41408.38
335SJVN3.30197.54
336SKFINDIA3.43668.05
337SKSMICRO22.39793.67
338SOBHA7.94371.01
339SOUTHBANK14.60733.49
340SPARC7.61287.36
341SREINFRA6.73236.29
342SRF13.72491.75
343SRTRANSFIN25.033481.09
344SSLT74.904696.24
345STAR18.97677.80
346STCINDIA2.6923.25
347SUNDARMFIN3.511753.62
348SUNDRMFAST4.05409.33
349SUNPHARMA73.5512676.69
350SUNTV17.19627.38
351SUPREMEIND2.98785.67
352SUVEN17.36167.16
353SWANENERGY0.3769.14
354SYMPHONY3.15328.68
355SYNDIBANK34.65500.40
356TATACHEM19.961513.41
357TATACOFFEE7.57160.35
358TATACOMM18.59653.16
359TATAELXSI16.59213.38
360TATAGLOBAL30.281258.11
361TATAINVEST2.69171.88
362TATAMOTORS118.1712639.80
363TATAMTRDVR39.233129.14
364TATAPOWER46.433340.37
365TATASPONGE38.9194.13
366TATASTEEL169.405976.49
367TBZ3.0252.52
368TCI4.34128.73
369TCS144.7827133.01
370TECHM62.427976.57
371TECHNO1.13166.97
372TEXRAIL10.81163.37
373THERMAX4.85965.18
374THOMASCOOK5.26233.60
375TIDEWATER3.55225.17
376TIMETECHNO1.4682.17
377TIMKEN7.55162.28
378TITAN34.303036.65
379TORNTPHARM4.69984.76
380TORNTPOWER9.72698.46
381TREEHOUSE2.16234.95
382TRENT2.08645.22
383TTKPRESTIG8.00254.12
384TTML7.4485.87
385TUBEINVEST2.74611.69
386TVSMOTOR46.34937.54
387TVTODAY9.77109.68
388UBL7.10992.50
389UCOBANK35.44384.08
390UFLEX5.52114.70
391ULTRACEMCO43.154964.73
392UNICHEMLAB2.52203.10
393UNIONBANK69.861028.21
394UNITECH223.40530.37
395UNITEDBNK4.2754.59
396UPL32.542034.85
397USHAMART2.6672.10
398VAIBHAVGBL3.42130.49
399VAKRANGEE5.32825.33
400VGUARD5.68226.18
401VIDEOIND2.87238.40
402VIJAYABANK4.98223.54
403VIPIND6.57139.48
404VOLTAS51.491261.09
405VSTIND2.65379.25
406VTL4.70203.80
407WABCOINDIA2.88411.29
408WELCORP2.31209.55
409WHEELS3.0958.00
410WIPRO52.237075.14
411WOCKPHARMA71.00461.36
412WONDERLA8.7286.57
413YESBANK104.954491.69
414ZEEL32.864070.22
415ZENSARTECH3.33271.65
416ZYDUSWELL1.77152.36

Quarter Sigma Order Size is the order size (price x Volume) required for the stock price movement of 1/4th of Standard deviation of the stock price and it should be greater than Rs10 lakh. Higher the Quarter Sigma order Size means higher the liquidity and tougher for stock operators to manipulate the stock price movements to some extent. For Example Aban has an Quarter Sigma Order Size of Rs56 lakhs. Anyone one want to move the stock price by 1/4th of standard deviation of stock price his order size should be around Rs56 lakh.

SEBI longback had setup an Advisory Committee on Derivatives headed by Prof. J. R Varma to inter alia review the eligibility criteria of stocks on which stock options and single stock futures could be introduced. You can read the brief report on Development and Regulation of Derivative Markets in India. And time to time the eligibility criteria will be reviewed by the committee to maintain market integrity and to protect investors.

 
ICICIDirect in its newsletter stated that “In the last two occasions, the NSE has announced the inclusion of new stocks in F&O on November 19 (six stocks) and September 8 (five stocks). We expect a new list to come out in January, 2015 where stocks may be picked from the below given stocks”. Newsletter mentioned the list of stocks likely to be included in the F&O segment in the next round of review, which is expected in January 2015. The list follows.

1. Aban Offshore
2. Dewan Housing Finance
3. Jammu and Kashmir Bank
4. Oil India
5. Sintex Industries
6. South Indian Bank
7. Bharat Electronics
8. Ipca Labs
9. Kaveri Seeds
10. National Aluminium
11. JK Lakshmi Cement

Read the Full Report here

Rajandran R Founder of Marketcalls and Co-Founder Algomojo. Full-Time Derivative Trader. Expert in Designing Trading Systems (Amibroker, Ninjatrader, Metatrader, Python, Pinescript). Trading the markets since 2006. Mentoring Traders on Trading System Designing, Market Profile, Orderflow and Trade Automation.

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