Interim Order in the matter of Index manipulation by Jane Street Group

UNDER SECTIONS 11(1), 11(4), 11B(1) and 11D OF THE SECURITIES AND EXCHANGE BOARD OF INDIA ACT, 1992

In respect of: S. No. Name of the Entity PAN 1. JSI Investments Private Ltd. AAFCJ0285L 2. JSI2 Investments Private Ltd. AAGCJ5786R 3. Jane Street Singapore Pte. Ltd. AAGCJ1682G 4. Jane Street Asia Trading Ltd. AAECJ7368M (The aforesaid entities are hereinafter collectively referred to as “Entities/ Jane Street Group/ JS Group”)

In the matter of Index manipulation by Jane Street Group

TABLE OF CONTENTS BACKGROUND: ........................................................................................................ 2 ENTITIES INVOLVED IN THE MATTER ................................................................... 3 EXPLAINER ON CASH AND F&O MARKETS AND THEIR INTERPLAY................ 5 I. Prices of derivatives and their underlying stocks are interrelated ............ 5 II. On expiry day, volumes and participation in index options is far higher than in the underlying constituent stocks and futures ..................................... 6 III. Influencing underlying stock and index to profit from index options .... 8 METHODOLOGY FOR ANALYSIS ........................................................................... 9 Methodology for Identification of impugned trading days ................................ 9 MANIPULATIVE STRATEGIES .............................................................................. 12

Interim Order in the matter of Index manipulation by Jane Street Group “Intra-day Index Manipulation” Strategy – Analysis of trading on January 17, 2024 as a sample........................................................................................ 12 “Extended Marking The Close” Strategy ....................................................... 51 CONTINUING VIOLATION & DISREGARD FOR REGULATORY CAUTION ........ 68 ALLEGED VIOLATIONS of SEBI ACT AND PFUTP REGULATIONS ................... 87 COMPUTATION OF ILLEGAL GAINS .................................................................... 94 NEED FOR INTERIM DIRECTIONS ........................................................................ 96 ORDER: ................................................................................................................. 103

A. BACKGROUND: 1. Based on media reports titled ‘Jane Street-Millennium Suit: ‘Secret’ Strategy Concerns India, Hearing Reveals’ and ‘Ex-Jane Street trader pillories claims he stole trade secrets’, published during April 2024 wherein it was inter-alia mentioned that Jane Street and its associated entities alleged unauthorised use of their proprietary trading strategies in Indian options markets, SEBI initiated preliminary examination into trading activity of Jane Street and associated entities (collectively referred to as “Jane Street Group” or “JS group”) to ascertain any market abuse. The chronology of some of the subsequent events is given in the following Table. Table 1 Date Event April 2024 SEBI carried out an analysis based on media reports referencing a legal dispute involving Jane Street Group for alleged unauthorised use of their proprietary trading strategies in Indian markets. July 23, 2024 NSE was asked to examine the trading activity of the JS Group to ascertain if there was any market abuse involved. August 2024 SEBI interacted with JS Group on August 20, 2024 and JS Group provided its written submission dated August 30, 2024 to SEBI explaining their trades.

October 1, 2024 Separately, SEBI issued a circular announcing a series of policy steps in order to address what was seen as overtrading in index options on expiry day. November 13, NSE examination report on JS Group’s trading activity was 2024 submitted December 2024 SEBI observed what appeared to be abnormally high or low volatility on weekly index options expiry days. Further, SEBI noted that there were certain entities consistently running what appeared to be by Date Event far the largest risks in ‘cash equivalent’ terms in F&O particularly on expiry days. SEBI constituted a team of officials to further examine the issue in a more detailed and comprehensive manner. February 04, The team of officials noted that prima facie, JS Group appeared to 2025 be engaging in activities in violation of SEBI PFUTP regulations. February 6, 2025 While the detailed examination was ongoing, with a view to ensure that JS Group desisted from undertaking trading patterns that were prima facie fraudulent and manipulative, on SEBI’s instructions, NSE as a first line regulator issued a caution letter to Jane Street Singapore Pte Limited and its related entity, JSI Investments Pvt Ltd. advising them to refrain from taking large (cash-equivalent) positions and to refrain from undertaking certain trading patterns.

February 2025 JS Group sent their replies to the caution letter on February 6th and 21st, 2025. May 15, 2025 In disregard of the caution letter from the Exchange issued in February 2025, and JS Group’s own commitments to the Exchange, Jane Street Group was observed to continue to run very large ‘cash-equivalent’ positions in index options.

B. ENTITIES INVOLVED IN THE MATTER 2. Jane Street Group LLC is a global proprietary trading firm in the financial services industry. Jane Street employs more than 2,600 people in five offices across the United States, Europe, and Asia and trades in 45 countries.1 Jane Street Group LLC was established in the year 2000. Services are provided in the U.S. by Jane Street Capital, LLC and Jane Street Execution Services, LLC, each of which is a SEC-registered broker dealer and member of Financial Industry Regulatory Authority, USA (“FINRA”). Regulated activities are undertaken in Europe by Jane Street Financial Limited, an investment firm authorized and regulated by the U.K. Financial Conduct Authority, and Jane Street Netherlands B.V., an investment firm authorized and regulated by the Netherlands Authority for the Financial Markets (Autoriteit Financiële Markten), and in Hong Kong by Jane Street Hong Kong

1 See complaint filed by Jane Street Group LLC against Millenium Management LLC before the United States District Court Southern District of New York available at https://www.sewkis.com/wp-content/uploads/Jane-Street_amended-complaint.pdf

Limited, a regulated entity under the Hong Kong Securities and Futures Commission. Each of these entities is a wholly owned subsidiary of Jane Street Group, LLC.2

3. Upon examination of the audited financial statements of JSI Investments Private Limited (Entity No. 1 in this Order), and the related party disclosures contained therein, it was observed that Jane Street Europe Limited and Jane Street Group, LLC (supra) were disclosed as the holding company and ultimate holding company of JSI Investments Private Limited, respectively. As per the Memorandum of Association of JSI2 Investments Private Ltd. (Entity No. 2 in this Order), it is wholly owned by JSI Investments Private Limited. Additionally, Jane Street Singapore Pte. Limited (Entity No. 3 in this Order) was also described in the aforesaid financial statements as a fellow subsidiary of JSI Investments Private Limited, indicating their common control under the Jane Street Group umbrella, along with other affiliated entities. In a ‘BrokerCheck Report’ of Jane Street Capital LLC (also referred to in the previous paragraph), available on the website of FINRA based on filings by the said broker it discloses itself as a subsidiary of Jane Street Group LLC. Importantly, it also discloses Jane Street Asia Trading Ltd. (Entity No. 4 in this Order) as being under common control with the LLC and that it is an indirectly wholly owned subsidiary of Jane Street Group LLC.3

4. In the submission filed by Jane Street Group on August 30th, 2024 in response to the preliminary enquiries made by SEBI, the Group made submissions on behalf of the Group’s companies trading in the Indian market. These submissions were with reference to trades done by all three Entities to this Order.

5. The Jane Street Group LLC’s associate entities operating in India were initially identified based on the domain (i.e. janestreet.com ) provided at the time of opening of trading accounts. This domain association adds to the aforesaid conclusion that all the Entities form part of the global operations of the Jane Street Group.

2 https://www.janestreet.com/who-we-are/ 3 https://files.brokercheck.finra.org/firm/firm_103782.pdf

6. Considering the above, the activities and trades of the Entities have been viewed as group and not as individual entities, for the purpose of this Order.

C. EXPLAINER ON CASH AND F&O MARKETS AND THEIR INTERPLAY

I. Prices of derivatives and their underlying stocks are interrelated

7. Derivatives are instruments whose value is derived from underlying reference securities. There is a strong interrelationship between prices of derivative instruments and the prices of their underlying stocks or indices. Annexure 1 of this Order provides a basic primer around indices, and around Futures and Options on single stocks and indices such as BANKNIFTY. The following illustrations explain how some of these interrelationships come about:

7.1. If the price of a stock futures or index futures contract were to be significantly higher than the underlying stock or index price, arbitrageurs can sell the futures at a high price, buy the stock or index components in cash markets at a low price, and lock into an assured profit on expiry of the futures contract. Similarly, if the price of a stock futures or index futures contract were to be significantly lower than the underlying stock or index price, an opposite side arbitrage opportunity would arise. As a result of these arbitrage guardrails, the price of a stock futures or index futures contract generally moves in tandem with the price of the underlying stock or index.

7.2. Stock prices and stock option prices are also bound by arbitrages. 7.2.1. The payoff from buying a call option and selling a put option on a stock or index simultaneously at the same strike price is equivalent to buying a forward contract on that stock or index at that strike price. This is the principle of “put-call-parity” in options that connects the prices of options with the underlying spot and forward prices. Deviations from this parity would lead to arbitrage opportunities for market participants.

7.2.2. Similarly, if arbitrageurs could buy In-The-Money (ITM calls) of a stock or index such that strike price of the call option + premium of the option is less than the current market price of the stock or index, they could buy such ITM calls, sell stocks in the cash market and lock into a profit. 7.2.2.1. As an example, if a stock (or index) is at INR 100, and the cost of an ITM call option at INR 90 (i.e., the cost of acquiring the right to buy the stock or index at INR 90) is just INR 6, then a participant could purchase this option, immediately sell the stock (or index) at 100, and lock into an assured profit of INR 4 at maturity. 7.2.3. If arbitrageurs could buy ITM puts such that strike less the premium of the option is greater than the current market price of the stock or index, they would buy such ITM puts, buy stocks in the cash market, and lock into a profit. 7.2.3.1. As an example, if a stock (or index) is at INR 100, and the cost of an ITM put option at INR 110 (i.e., the cost of acquiring the right to sell the stock or index at INR 110) is just INR 6, then a participant could purchase the put option, immediately buy the stock (or index) at 100, and lock into an assured profit of INR 4 at maturity. 7.2.4. There are transaction costs around arbitrage, such as brokerage, STT, exchange fees, and cost of margin and funding, that can introduce some inefficiencies. Nevertheless, arbitrage avenues provide tight guardrails linking the prices of F&O derivatives and the underlying cash markets. The knowledge that such arbitrage-driven guardrails exist itself ensures a strong and desired nexus between cash and F&O markets.

II. On expiry day, volumes and participation in index options is far higher than in the underlying constituent stocks and futures

8. It is pertinent to note the difference in the level of liquidity and participation across cash markets and F&O. On weekly index options expiry day, the comparable cash equivalent traded volumes in index options markets is several times the combined cash equivalent volumes traded in the associated futures and cash markets. For example, on 17 Jan 2024, an expiry day in BANKNIFTY index options where prima facie manipulative activity of Jane Street Group was observed, the following is noted: Table 2 Cash market total traded turnover in the 12 BANKNIFTY INR 29,225 crores stock constituents (A) Futures market total traded turnover in the 12 BANKNIFTY INR 43,589 crores stock constituents (B) Futures market traded turnover in BANKNIFTY index (C) INR 32,607 crores BANKNIFTY options cash equivalent (or Futures INR 1,03,17,127 equivalent or delta equivalent) traded turnover (D) crores Relative size of BANKNIFTY options market to cash 353 times market of its 12 constituent stocks, based on cash equivalent traded turnover (=D/A) Relative size of BANKNIFTY options market to the total of 98 times cash and futures market of its 12 constituent stocks, and BANKNIFTY index futures, based on cash equivalent traded turnover =D/(A+B+C)

9. As a corollary to the above, on weekly index option expiry day, many more entities and individuals trade in index options than do entities and individuals in the associated cash and futures markets. In other words, given the interrelationship between prices of derivative instruments and the prices of their underlying stocks or indices, many that trade in index options look for signals in the underlying index (determined by the smaller volumes and less number of participants in the underlying cash and futures markets), without themselves participating in these markets. For example, on 17 Jan 2024, the following was observed. Table 3 No. of unique entities that traded in the cash market of 4,675 all of the top three BANKNIFTY constituent stocks No. of unique entities that traded in the futures contracts 26,593 of BANKNIFTY index

No. of unique entities that traded in the options contracts 16,15,011 of BANKNIFTY index

10. A core reason for this phenomenon is likely that market participants enjoy enormous ‘leverage’ from options. As an example, to take delivery of a stock priced at INR 100 in the cash market, one needs to put up cash to the extent of INR 100. To buy a futures contract on the same underlying stock, one needs to put up adequate margin, say of INR 20. To that extent, there is an effective leverage of five times available to the participant, in taking up the same cash-equivalent exposure via futures markets, as opposed to via cash markets. Of course, the leverage also implies higher risk for the participant. In the options market, on the other hand, if one were to buy a call option at a strike price of INR 100 (At-The- Money or ATM strike) on two shares of the same underlying stock, with just one day to expiry and assuming 25% implied volatility, the option may only cost around INR 1. The underlying cash-equivalent economic exposure of this long-call ATM option position on two shares, at the time of trading, would be equivalent to being long one underlying share (the ‘cash equivalent’ or ‘future equivalent’ or ‘delta equivalent’ risk). This position has been put up with an outlay of just INR 1, representing a 100-times leverage over taking the same position directly in the cash market, or a 20-times leverage over taking the same position via futures markets.

11. This leveraged payoff from buying options close to expiry, where one can take on enormous exposure in relation to the size of the capital outlay, with a known and limited downside (to the extent of option premium paid) but with the prospects of high gains if the prices were to move sharply and favourably, appears to attract traders who only trade in index options, and not in the underlying cash markets.

III. Influencing underlying stock and index to profit from index options

12. Given the above, on weekly index option expiry day, by aggressively influencing the underlying cash and futures market with significant volumes (relative to those markets), a group of entities acting in concert with adequate funds and capital at their disposal, can influence and manipulate the index levels. This in turn can allow them to put on significantly larger and profitable positions in the highly liquid index options market by misleading and enticing large number of smaller individual traders. It could also be used to engineer the closing of the market on expiry day in a manner that benefits enormous index option positions that they may be running to expiry. Such activities would prima facie be in violation of PFUTP regulations.

D. METHODOLOGY FOR ANALYSIS 13. For the reasons earlier recorded in this Order, for the purpose of the examination, dealings in securities by the Entities have been viewed as a collective group (‘JS Group’) and not as individual entities. As noted earlier, SEBI had observed that the JS Group was consistently running what appeared to be by far the largest risks in ‘cash equivalent’ terms in F&O particularly on index option expiry days. While trading patterns constitute the subject matter of examination to assess illegality (if any), profits/ losses made can be a useful alert to prepare a sample set of days and contracts for deeper analysis of the underlying risks and trading patterns. However, it must be emphasised that trading profits by themselves are certainly not an indication of any illegality. The scale of profits made do not form the basis of the examination’s ultimate conclusions/ findings – only the underlying trading patterns observed do.

14. Methodology for Identification of impugned trading days Step 1: Profit-Loss mapping across all segments 14.1. The aggregate profit/loss made by the Jane Street Group during the examination period i.e. from January 1, 2023 to March 31, 2025, across all product categories and segments of NSE are summarised in the following Table:

Table 4 Profit/ (Loss) Summary (in ₹ crore) Total Total Total Total Total profit in Total profit in profit in profit in profit in Name PAN ‘Stocks’ profit ‘Index ‘Index ‘Stock ‘Stock i.e. cash Options’ Futures’ Options’ Futures’ segment Jane Street Asia Trading AAECJ7368M 6,929.56 7,650.34 (85.62) 34.82 (668.87) (1.12) Limited JSI2 (168.67) (168.67) Investments AAGCJ5786R - - - - Private Limited JSI Investments AAFCJ0285L 4,104.61 4,392.03 0.00 (0.37) 0.00 (287.05) Private Limited Jane Street Singapore Pte AAGCJ1682G 25,636.62 31,415.63 (105.19) 865.54 (6,539.36) 0.00 Limited Total 36,502.12 43,289.33 (190.81) 899.99 (7,208.23) (288.17) Source: NSE 14.2. The data in the above table reveals that profits from Index Options alone accounted for over INR 43,289.33 Crore whereas losses in stock futures, index futures and cash cumulatively amounts to INR 7,687.21 crore.

Step 2: Disaggregated Analysis of Index Options Instruments 14.3. Within the “Index Options” category, the data for the Examination Period was further split across four indices: BANKNIFTY, NIFTY, FINNIFTY, and MIDCPNIFTY. It was found that BANKNIFTY options alone contributed INR 17,319.26 Cr, amounting to 40% of the total Index Options profits.

Step 3: Day-Wise profit calculation vis-à-vis BANKNIFTY options and further filtering process 14.4. To identify concentrated profitability periods, a daily profit computation for BANKNIFTY options trades was conducted for the examination period. Thereafter, all the trading days were ranked by profits in BANKNIFTY options contracts. From this list, the top 30 most profitable days were shortlisted for analysis.

14.5. From the top 30 profit-ranked days, 19 number of derivative expiry days (weekly or monthly) were specifically listed.4

14.6. Out of the aforementioned 19 number of days, a granular intraday (at minute level) analysis of trading activity was carried out for the said days5 and accordingly 17 days were shortlisted for detailed analysis. Additionally, one day from the preliminary review phase was also selected for in-depth examination. Accordingly, a total of 18 trading days during the Examination Period were analysed.

Step 4: Assessing volume and/ or price manipulation in BANKNIFTY index and its constituents 14.7. The most profitable trading day January 17, 2024 (with profit to the tune of INR 734.93 crore) was selected for detailed scrutiny. In this context, a comprehensive examination of all trades executed by the Group on this day across cash, futures, and options segments was undertaken to understand the nature, timing, and potential interlinkages of such activity. The detailed analysis of the trades of this day revealed the existence of a strategy (“Intraday Index Manipulation” Strategy) which appears to have been similarly deployed by the JS Group in 15 days out of 18 days covered in this Order. A different strategy (“Extended Marking the Close” Strategy) was observed on the other 3 days. The latter strategy was also seen to have been deployed on 3 other days post the examination period in NIFTY index options, during May 2025.

4 It was observed that Jane Street Group’s activity was heavily concentrated around expiry days, both in terms of GTV and options positioning. On such days, the index closing value has direct bearing on options payoff, thereby creating both the motive and the opportunity for influencing settlement outcomes. This filter ensured analytical focus on those days where the potential for derivative manipulation was structurally the highest. 5 The review involved minute-wise data parsing and graphical visualization of multiple variables to identify potential instances of market manipulation or sentiment distortion. The graphs were then also analysed to assess whether the trading behaviour was manipulative in nature.

E. MANIPULATIVE STRATEGIES 15. “Intra-day Index Manipulation” Strategy – Analysis of trading on January 17, 2024 as a sample

15.1. January 17, 2024 saw a sharp drop in BANKNIFTY index at open, from previous close of 48,125.10 to an open of 46,573.95. Media reports claimed that this fall may be attributed to the market’s apparent disappointment with the results announced by HDFC Bank after market close on January 16, 2024. Table 5 below summarises the broad movement in BANKNIFTY index on the day.

Table 5 - Data pertaining to BANKNIFTY Index Previous Day Close (Jan 16, 2024) 48,125.10 Open (Jan 17, 2024) 46,573.95 High (Jan 17, 2024) 47,212.75 Low (Jan 17, 2024) 45,979.60 Close (Jan 17, 2024) 46,064.45

15.2. The JS Group’s trading pattern on January 17, 2024 constituting “Intra-day Index Manipulation” is summarised below:

Table 6 - Tabular Flowchart – Intraday Strategy Executed by Jane Street Group Time Impact on Index Step Action Impact on Market Window Options In an otherwise falling market, JS As BANKNIFTY Group net purchases INR 4,370.03 This action Index is supported/ crores of BANKNIFTY constituents supports or pushes rises from the lows, in cash and futures markets, which up the prices of Patch I: Put options on the 1 are significant quantities in relation BANKNIFTY 09:15 AM index become to the trading volumes in these constituents and – 11:46:59 cheaper, while Call markets. The purchases are hence the index AM options become aggressive, in a manner that tends itself. expensive. to push up prices. Simultaneously, at a time when JS Group builds participants in index options large short

Time Impact on Index Step Action Impact on Market Window Options markets are misled by the above BANKNIFTY support for BANKNIFTY, JS Group positions, 7.3 times builds effectively INR 32,114.96 the size of the long crores of bearish positions in the cash/ futures much more liquid BANKNIFTY positions index options by buying cheap Put options and selling expensive Call options. JS Group reverses and sells practically all of the net cash/ futures positions in BANKNIFTY constituent stocks that were bought Put options now rise in Patch I. The sizes are large, Creates downward in value, Call options compared to market trading pressure in drop in value – 2 volumes in these segments. The BANKNIFTY reversing the sales are aggressive, in a manner component stocks artificial moves in Patch II: that pushes down prices in the and hence index the first patch 11:49 AM component stocks and hence – 15:30 index. JS Group books losses in PM intraday cash/ futures market trading. JS Group now profits from the Profits in index much larger BANKNIFTY index options more than options positions (long puts and compensate for the short calls) including those built JS Group’s losses in during Patch I. It unwinds some of intraday cash / the positions, and allows the others futures trading, to expire at a profit.

The patches are now examined in detail below.

(I) Patch I: Aggressive cash and futures buying of BANKNIFTY components

15.3. During the underlying buying patch (Patch I, between 09:15:00 to 11:46:59), Jane Street Group aggressively accumulated significant long positions of INR 4,370.03 crores in BANKNIFTY constituents across both the cash and stock futures markets. They were the single largest net buyer across BANKNIFTY components during this patch, by far.

15.4. JS Group purchases in the BANKNIFTY constituent stocks (cash market) during Patch I are detailed below:

Table 7 JS’s buy traded Buy Buy side value side No. of TV in INR relative to No. of TV7 in Buy Buy trade buy Buy trade Crs. – market- Scrip6 Buy end buy INR start Open High Low Close quantity - trades – quantity – Market-wide time trades Crs. – time JS Market- Market-wide wide traded - JS JS wide value (in (B) %) (A) (A/B) HDFCBANK 09:15:43 11:06:05 1586.2 1596.8 1570.1 1574.6 22,283 19,99,785 316.41 7,50,562 3,47,95,972 5,506.76 5.75% ICICIBANK 09:15:45 11:20:15 994.2 1007.8 985.05 987.75 34,673 44,62,505 445.03 2,63,502 1,91,31,083 1,907.26 23.33% AXISBANK 09:15:43 11:20:12 1094.1 1115 1091.9 1100.3 34,343 25,10,272 277.13 1,93,128 1,04,51,176 1,153.12 24.03% SBIN 09:15:45 11:20:11 627.1 636.8 626.5 628.7 27,894 34,45,606 217.67 1,75,825 1,36,62,409 862.53 25.24% KOTAKBANK 09:15:43 11:20:09 1819.15 1834.7 1795 1799.9 35,815 10,48,868 190.26 1,44,328 45,20,879 819.78 23.21% INDUSINDBK 09:15:43 11:19:54 1647.15 1677.1 1645.3 1653.4 21,172 7,20,721 119.66 92,866 28,84,264 478.48 25.01% FEDERALBNK 09:15:47 11:07:41 146.75 149.5 146.25 147 16,363 39,16,350 57.94 1,22,840 1,81,73,024 268.48 21.58% BANKBARODA 09:15:47 11:08:00 227.45 232.35 227.25 230.55 13,767 31,54,397 72.64 71,584 1,28,09,188 294.70 24.65% IDFCFIRSTB 09:15:50 11:07:40 87.05 89.65 86.8 87.2 5,515 67,54,912 59.56 82,395 4,27,89,694 376.65 15.81% AUBANK 09:15:45 11:20:08 763.55 783.95 747.85 758.2 18,274 5,73,988 43.76 79,577 23,03,461 175.45 24.94% PNB 09:15:57 11:07:28 97 98.9 96.8 97.95 4,940 52,38,342 51.53 74,739 3,17,55,556 311.79 16.53%

It is pertinent to note that during this Patch I, JS only undertook purchase trades in these constituent stocks (cash markets).

15.5. JS Group purchases in the BANKNIFTY constituent stock futures during Patch I are detailed below:

6 All the data points (for respective scrips) fall between JS’s buy trade start time and buy trade end time 7 Traded Value

Table 8 JS’s traded Buy Buy side value side TV No. of TV in INR relative to No. of Buy Buy trade in INR buy Buy trade Crs. – market- Scrip Buy end buy Expiry start Open High Low Close quantity - Crs. – trades – quantity – Market-wide time trades time JS JS Market- Market-wide wide traded - JS wide value (in (A) (B) %) (A/B) HDFCBANK 25-Jan-24 09:57:43 09:58:05 1587.7 1589.1 1587.1 1589 52 42,350 6.73 152 1,11,650 17.73 37.93% ICICIBANK 25-Jan-24 09:15:05 11:46:50 990 1008.7 982 983.2 6,751 64,82,000 646.09 33,274 2,78,70,500 2,777.55 23.26% AXISBANK 25-Jan-24 09:15:08 11:46:55 1097.8 1115.7 1094.2 1094.8 4,051 31,53,125 348.26 19,070 1,35,62,500 1,496.74 23.27% SBIN 25-Jan-24 09:15:07 11:46:18 630.6 637.2 626.7 628.85 3,116 57,97,500 366.75 15,173 2,64,58,500 1,672.65 21.93% KOTAKBANK 25-Jan-24 09:15:05 11:46:59 1820 1837.5 1789.3 1791.9 3,685 19,20,400 349.02 16,879 79,68,800 1,448.38 24.10% INDUSINDBK 25-Jan-24 09:15:08 11:46:55 1649.35 1678 1644.3 1650.2 2,206 12,51,000 208.02 9,629 52,62,000 874.01 23.80% FEDERALBNK 25-Jan-24 09:15:05 11:46:28 146.85 149.7 145.65 146.35 1,215 71,35,000 105.51 6,476 3,61,90,000 534.59 19.74% BANKBARODA 25-Jan-24 09:15:06 11:46:47 228.6 233.95 226.95 232.15 1,798 61,60,050 142.49 7,892 2,68,25,175 619.89 22.99% IDFCFIRSTB 25-Jan-24 09:15:05 11:46:50 87.3 89.8 86.75 86.9 1,293 1,29,45,000 113.95 8,667 7,84,05,000 689.96 16.52% AUBANK 25-Jan-24 09:15:16 11:46:56 758 777 747 751.8 1,196 15,85,000 120.52 5,647 67,66,000 513.98 23.45% PNB 25-Jan-24 09:15:06 11:41:32 96.85 100.25 96.3 99.3 977 1,12,72,000 111.13 6,560 6,56,16,000 647.31 17.17%

15.6. Jane Street Group aggressively bought shares and futures of all BANKNIFTY constituents (except BANDHANBANK) during this patch. Their net Traded Value (TV) in the cash segment was INR 1,851.57 Cr and in the futures segment was INR 2,518.46 Cr. For context, the next highest participant’s net TV in cash and stock futures segment was INR 1,042.93 Cr and INR 159.15 Cr respectively, during the general underlying buy patch (i.e. 09:15:00 to 11:46:59). Further, in all the scrips (except HDFCBANK), JS contributed 15–25% of the entire market's traded value — a remarkably dominant share/ concentration. For perspective, the next highest participant’s concentration in any of these scrips was much smaller (e.g. the next highest participant concentration in KOTAKBANK cash segment during the aforementioned general buy patch was only 8.09%, as opposed to 23.21% for JS Group), underscoring the disproportionate footprint of JS Group’s activity.

15.7. Clearly, the JS Group accounted for a significant portion of the net buying in the 12 BANKNIFTY component stocks and their futures across all market participants during this Patch I. It was by far the single biggest net buyer of these stocks put together during this patch. This burst of buying clearly would have supported the prices of these securities. In addition, we examined Last Traded Price (LTP) based impact analysis — i.e., whether the orders and trades were placed or dealt above or below prevailing market prices by JS Group, thereby tending to push the price up or down. This transition from volume-based analysis to price-impact assessment is critical in further evaluating whether the activity was benign or aggressive. The result of the said analysis, capturing both order-level and trade-level LTP, is placed below.

15.8. LTP analysis of JS Group purchases in the BANKNIFTY constituent stocks (cash market) during Patch I is detailed below:

Table 9 - Order level LTP-based analysis8 Order price Order price Order price based LTP based LTP based LTP Order price impact for impact for impact for No. of No. of based net Buy No. of No. of orders orders orders Buy buy buy LTP impact* order buy buy placed above placed at placed Scrip order orders orders start orders orders LTP* LTP* below LTP* end time above below (in INR) time entered at LTP LTP LTP (in INR) (in INR) (in INR) (A)+(B)+(C) (A) (B) (C) HDFCBANK 09:15:43 11:06:05 7184 1607 4677 900 282.35 - -152.05 130.30 ICICIBANK 09:15:45 11:20:15 15316 7368 6318 1630 1,847.45 - -177.75 1,669.70 AXISBANK 09:15:43 11:20:12 18743 9344 7295 2104 2,224.85 - -260.00 1,964.85 SBIN 09:15:45 11:20:11 12692 6042 5608 1042 912.75 - -84.10 828.65 KOTAKBANK 09:15:43 11:20:09 20274 7862 10337 2075 2,929.70 - -276.65 2,653.05 INDUSINDBK 09:15:43 11:19:54 13601 8112 4252 1237 3,147.50 - -186.70 2,960.80 FEDERALBNK 09:15:47 11:07:41 6118 2468 3145 505 133.80 - -25.85 107.95 BANKBARODA 09:15:47 11:08:00 6990 3146 3295 549 215.45 - -31.25 184.20 IDFCFIRSTB 09:15:50 11:07:40 774 327 403 44 17.40 - -2.25 15.15 AUBANK 09:15:45 11:20:08 11161 5521 4430 1210 1,278.15 - -127.15 1,151.00 PNB 09:15:57 11:07:28 613 279 304 30 14.90 - -1.55 13.35 *The figures are an aggregation of the difference between the “Order Limit Price” and the “Last Traded Price” at the time of order entry/ modification.

8 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.

Table 10 - Trade level LTP-based analysis Trade price Trade price Trade price Trade price based LTP based LTP based LTP based net Trade price impact for impact for impact for No. of No. of LTP impact based net Buy No. of trades trades trades Buy No. of buy buy buy created by LTP impact trade buy executed executed at executed Scrip trade trades trades trades JS* created by start trades above LTP* LTP* below LTP* end time executed above below rest of the time at LTP LTP LTP (in INR) market (in INR) (in INR) (in INR) participants9 (A)+(B)+(C) (A) (B) (C) HDFCBANK 09:15:43 11:06:05 22283 1618 19737 928 279.40 - -156.10 123.30 -134.9 ICICIBANK 09:15:45 11:20:15 34673 7512 25456 1705 1,838.15 - -185.30 1,652.85 -1659.3 AXISBANK 09:15:43 11:20:12 34343 9326 22880 2137 2,197.20 - -262.70 1,934.50 -1928.3 SBIN 09:15:45 11:20:11 27894 6036 20798 1060 905.10 - -85.20 819.90 -818.3 KOTAKBANK 09:15:43 11:20:09 35815 7850 25830 2135 2,885.95 - -282.75 2,603.20 -2622.45 INDUSINDBK 09:15:43 11:19:54 21172 8147 11759 1266 3,113.40 - -189.65 2,923.75 -2917.5 FEDERALBNK 09:15:47 11:07:41 16363 2464 13394 505 133.60 - -25.85 107.75 -107.5 BANKBARODA 09:15:47 11:08:00 13767 3144 10054 569 214.05 - -32.80 181.25 -178.15 IDFCFIRSTB 09:15:50 11:07:40 5515 327 5144 44 17.40 - -2.25 15.15 -15 AUBANK 09:15:45 11:20:08 18274 5590 11423 1261 1,266.25 - -131.35 1,134.90 -1140.25 PNB 09:15:57 11:07:28 4940 279 4631 30 14.90 - -1.55 13.35 -12.4 *The figures are an aggregation of the difference between the “Trade Price” and the “Last Traded Price”

9 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip), for the impact created by Jane Street’s trades.

15.9. LTP analysis of JS Group purchases in the BANKNIFTY constituent stock futures during Patch I is detailed below: Table 11 - Order level LTP-based analysis10 Order Order Order price price price based based based LTP LTP Order price LTP No. of No. of impact for impact for based net Buy No. of No. of impact for Buy buy buy orders orders LTP impact* order buy buy orders Scrip Expiry order orders orders placed placed start orders orders placed at end time above below above below (in INR) time entered at LTP LTP* LTP LTP LTP* LTP* (A)+(B)+(C) (in INR) (in INR) (in INR) (B) (A) (C) HDFCBANK 25-Jan-24 09:57:43 09:58:05 30 20 4 6 4.30 - -0.65 3.65 ICICIBANK 25-Jan-24 09:15:05 11:46:50 4574 2977 1086 511 437.35 - -50.65 386.70 AXISBANK 25-Jan-24 09:15:08 11:46:55 3222 2368 421 433 432.30 - -51.10 381.20 SBIN 25-Jan-24 09:15:07 11:46:18 2052 1332 445 275 160.85 - -22.45 138.40 KOTAKBANK 25-Jan-24 09:15:05 11:46:59 2730 1913 401 416 507.40 - -75.90 431.50 INDUSINDBK 25-Jan-24 09:15:08 11:46:55 1916 1445 162 309 461.35 - -69.55 391.80 FEDERALBNK 25-Jan-24 09:15:05 11:46:28 599 291 246 62 19.55 - -3.60 15.95 BANKBARODA 25-Jan-24 09:15:06 11:46:47 1037 688 272 77 59.45 - -4.85 54.60 IDFCFIRSTB 25-Jan-24 09:15:05 11:46:50 439 140 275 24 7.45 - -1.20 6.25 AUBANK 25-Jan-24 09:15:16 11:46:56 1068 782 121 165 242.20 - -28.80 213.40 PNB 25-Jan-24 09:15:06 11:41:32 404 154 231 19 8.35 - -0.95 7.40 *The figures are an aggregation of the difference between the “Order Limit Price” and the “Last Traded Price” at the time of order entry/ modification.

10 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.

Table 12 - Trade level LTP-based analysis

Trade Trade Trade price price price based based based Trade price LTP LTP Trade price LTP based net No. of No. of impact for impact for based net Buy Buy No. of No. of impact for LTP buy buy trades trades LTP impact trade trade buy buy trades impact* Scrip Expiry trades trades executed executed created by start end trades trades executed above below above below rest of the time time executed at LTP at LTP* (in INR) LTP LTP LTP* LTP* market participants11 (in INR) (A)+(B)+(C) (in INR) (in INR) (B) (A) (C) HDFCBANK 25-Jan-24 09:57:43 09:58:05 52 21 25 6 4.25 - -0.65 3.60 -2.3 ICICIBANK 25-Jan-24 09:15:05 11:46:50 6751 2996 3237 518 436.30 - -51.30 385.00 -391.8 AXISBANK 25-Jan-24 09:15:08 11:46:55 4051 2378 1236 437 430.20 - -51.80 378.40 -381.4 SBIN 25-Jan-24 09:15:07 11:46:18 3116 1340 1500 276 160.45 - -23.05 137.40 -139.15 KOTAKBANK 25-Jan-24 09:15:05 11:46:59 3685 1927 1338 420 505.80 - -76.40 429.40 -457.5 INDUSINDBK 25-Jan-24 09:15:08 11:46:55 2206 1454 438 314 459.20 - -70.55 388.65 -387.8 FEDERALBNK 25-Jan-24 09:15:05 11:46:28 1215 290 863 62 19.50 - -3.60 15.90 -16.4 BANKBARODA 25-Jan-24 09:15:06 11:46:47 1798 687 1034 77 59.35 - -4.85 54.50 -50.95 IDFCFIRSTB 25-Jan-24 09:15:05 11:46:50 1293 140 1129 24 7.40 - -1.20 6.20 -6.6 AUBANK 25-Jan-24 09:15:16 11:46:56 1196 787 239 170 240.90 - -29.45 211.45 -217.65 PNB 25-Jan-24 09:15:06 11:41:32 977 154 804 19 8.35 - -0.95 7.40 -4.95 *The figures are an aggregation of the difference between the “Trade Price” and the “Last Traded Price

11 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip) for the impact created by Jane Street’s trades.

15.10. The above data reveals that during Patch I, JS group placed a disproportionately high number of buy orders at or above the LTP in BANKNIFTY constituent stocks (in both cash as well as futures segment) thereby either aggressively attempting to push up or support the price rise in the stocks. 15.11. Further, for instance, in the case of ICICIBANK during Patch I, the stock opened at INR 994.20 and closed at INR 987.75, reflecting a net decline of INR 6.45 during the patch. However, a granular trade-level analysis revealed that Jane Street Group’s trades alone accounted for a positive LTP impact of INR 1,652.85, implying that its trading activity was actively contributing to trying to push the stock price upward. Given that the stock nevertheless declined during the day, it follows that the LTP impact attributable to the rest of the market was negative INR 1,659.30. 15.12. The actual execution of these buy orders at elevated prices contributed to supporting or pushing up the price of the individual stocks. Given that BANKNIFTY is a market-cap weighted index, this support or price elevation in its constituents directly resulted in the support or rise of the BANKNIFTY index. Through the aforesaid trades in constituents of BANKNIFTY in cash market through Patch I, the price impact of JS entities on the index after adjusting for weights of the constituents was +49,047.61, whereas that by all the other participants put together was -49,194.31. This is indicative of strong upward price push created by JS Group.

15.13. This data-driven decomposition of price movement prima facie shows that Jane Street Group was exerting considerable upward pressure on the price of key index constituents during Patch I. 15.14. Specifically, during the 8-minute patch from 09:15:00 to 09:22:59 on January 17, 2024, a more microscopic level trade-level LTP analysis was carried out for the top six BANKNIFTY constituent stocks, namely HDFC Bank, Kotak Bank, ICICI Bank, Axis Bank, SBI, and IndusInd Bank, which collectively represented 87.67% of the index weight. 15.15. The analysis reinforces that the Jane Street Group persistently executed buy-side trades in these stocks, and the net LTP contribution from JS trades was consistently positive across all six constituents. In contrast, the rest of the market exhibited a predominantly negative LTP contribution in the same period. This divergence suggests that while the broader market was exhibiting a bearish sentiment, JS Group was exerting upward price pressure across key index stocks. Overall, JS group purchased a significant INR 572 crores of stocks and futures in these six major BANKNIFTY component stocks during these 8 minutes.

15.16. Such activity, particularly in the opening minutes of the trading session, appears to have had a meaningful impact on the index level. The BANKNIFTY index moved significantly from 46,573.93 to 47,176.97 during this patch, a rise of over 600 points. The size, timing, alignment, and aggressive nature of JS Group’s buy-side trades across high-weight constituents during this window supports the inference that the Group’s actions contributed materially to this upward movement. 15.17. As will be shown below when considering the trading of JS Group in index options during this period, JS Group utilized this spike up in the index, which had been triggered largely by their own aggressive buying in BANKNIFTY component stocks and futures, to sell BANKNIFTY calls and buy BANKNIFTY puts and therefore put on significant larger short side positions in BANKNIFTY. BANKNIFTY 5 min OHLC 47400 47200 47000 46800 46600 46400 46200 46000 45800 45600 45400 45200 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 :5 :0 :5 :0 :5 :0 :5 :0 :5 :0 :5 :0 :5 :0 :5 :0 :5 :0 :5 :0 :5 :0 :5 :0 :5 :0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 4 0 1 3 :9 :9 :9 :0 :0 :0 :0 :1 :1 :1 :1 :2 :2 :2 :2 :3 :3 :3 :3 :4 :4 :4 :4 :5 :5 :5 0 0 0 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

15.18. For detailed LTP contributions and comparative analysis during this 8-minute interval, refer to the table below. The table clearly shows that during the first 8 minutes, the JS Group was singlehandedly pushing the prices up in all of these major BANKNIFTY component stocks, eclipsing the sell side pressure from the rest of the market. Table 13 HDFC Bank Kotak Bank ICICI Bank Axis Bank SBI Bank INDUSIND Bank LTP LTP LTP LTP LTP LTP Diff- LTP Diff- LTP Diff- LTP Diff- LTP Diff- LTP Diff- LTP Other Time Diff – Other Diff - Other Diff - Other Diff - Other Diff - Other Diff - than (HH:MM) JS than JS JS than JS JS than JS JS than JS JS than JS JS JS 09:15 1.15 16.6 14.8 -13.65 2.25 7.85 10.6 3.9 4.2 0.35 7.8 -5.45 09:16 5.1 -3.7 54.95 -53.2 35.85 -31.95 31.25 -30.6 21.75 -20.05 61.6 -63.9 09:17 19.55 -14.3 49 -48.85 24.75 -25.2 35.9 -35.7 27.8 -26.9 40.65 -39.85 09:18 2.3 -1.5 8.4 -7.05 2.2 -3.65 2.65 1.65 2 -1.65 4.65 -2.7 09:19 0.5 -1.7 0.05 3.6 0.75 2.8 0.4 1.4 0.1 0.25 0.05 09:20 -1.15 -7.35 -0.1 2 -1.05 2.2 8.8 -0.05 3.75 11.55 09:21 14 -13.5 10.9 -15.7 8.05 -8.65 24.15 -26.85 11.3 -11.45 26.05 -22.75 09:22 10.4 -14.65 35.25 -31.6 29.25 -31.5 53.9 -49.05 39.8 -38.65 131.35 -125.75 Total 51.85 -40.1 173.25 -164.45 102.05 -88.1 158.85 -126.45 106.9 -94.35 272.1 -248.8 (II) Patch I: Building very large short BANKNIFTY positions via index options

15.19. The artificial support to index constituents by aggressive and large buying in cash and futures during Patch I coincided with JS Group simultaneously effectively selling BANKNIFTY via the index options segment. Specifically, it was observed that the Group took large short positions in At- The-Money (ATM) BANKNIFTY call options and long positions in ATM put options during the same patch. Note that by supporting the BANKNIFTY index through large and aggressive cash and futures market purchases during the patch, JS Group created conditions that misled BANKNIFTY index option participants with artificially inflated call option premiums and subdued put option premiums, allowing JS Group to enter into these options trades at very favourable pricing. 15.20. To reiterate and as discussed earlier, there are several more participants, including small retail participants, in the BANKNIFTY index options markets than in the underlying cash and futures markets. The vast majority of BANKNIFTY options participants that do not participate in the underlying cash or futures markets look to the index, determined by the cash market levels, to price and take a view on index options. In that sense, the aggressive and large intervention by the JS Group in Patch I lulled and induced the many participants in the BANKNIFTY index options to deal at prices that were heavily influenced by the intervention of JS Group in the component stocks and futures. 15.21. To further understand the underlying intent and design of the Jane Street Group’s options strategy in granular detail, it is particularly instructive to examine how the Group built its exposure in Bank Nifty options during the first 8 minutes of the trading day. Accordingly, trades in select Put and Call Option contracts during the patch from 09:15:00 to 09:22:59 – during the time when the group was notably aggressive in its cash/ futures purchases, as noted earlier - were analysed. 15.22. The opening and closing premiums of the selected Put and Call Option contracts during the identified patch, along with their respective closing prices at the end of the trading day and BANKNIFTY Index values, are tabulated below:

Table 14

LTP - Premium of PE option at various strikes at close of BANKNIFTY Index Value 46573.93 46814.02 46879.13 47014.53 47060.41 47106.62 47143.73 47169.09 47176.97 46072.42 Trade Date SYMBOL EXPIRY_DATE CONTRACT Open 09:15 09:16 09:17 09:18 09:19 09:20 09:21 09:22 15:29 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_46800 229.6 123.55 131.05 131.45 104.25 82.6 65.25 72 70.05 734.75 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_46900 494.85 133.85 154.4 159 128.65 104.15 85.15 93.8 92.1 835 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_47000 349.95 144.9 182.1 193.3 157.9 131.7 111 122 121.55 935.8 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_47100 562.9 155 212.05 233.05 192.25 163.95 142.2 156.5 156.25 1038.95 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_47200 499.95 171.35 250.3 279.9 234.45 204.15 181.3 199.95 200.25 1135.1 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_47300 700 189.95 292.85 334.5 283.3 251.5 226.25 250.95 251.5 1234.75 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_47400 790 224 346.8 396.95 340.15 307.75 283.1 311.85 312.35 1338 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_47500 588 272.55 408.4 465.7 406.15 373.65 349 380.95 382.4 1435.55 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_47600 817.35 333.2 481.7 544.95 478.85 445.95 420.7 457.55 458.6 1539 BANKNIFTY_PE_2024-01- 17/01/2024 BANKNIFTY 17/01/2024 17_47700 535.75 410.75 561.8 627.7 560.5 527.35 502.55 538.5 543.2 1380 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_46800 198.7 653.45 511.15 440.3 481.15 491.9 501.45 469 458.15 0.65 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_46900 157.35 565.45 432.25 370.45 407.1 412.85 421.75 391.35 380.2 0.20 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_47000 84 479.9 361.65 302.7 336.25 340.5 347.9 318.85 308.05 0.3 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_47100 77.05 389.05 290.35 243.95 271.1 274.7 278.8 253.4 242.65 0.5 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_47200 146.75 303.65 229.95 190.6 212.95 214.35 217.75 196.35 186 0.35 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_47300 98.4 223.8 174.35 145.1 161.4 161.95 164.85 147.2 138.8 0.9 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_47400 26.75 157.45 126.9 107.45 118.4 119.05 120.75 107.9 99.6 0.3 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_47500 21.25 106.5 89.65 77.5 85.1 84.75 86.5 77.7 70.75 0.45 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_47600 15 70.4 62.5 54.8 58.8 58.25 59.85 53.75 48.1 0.2 BANKNIFTY_CE_2024-01- 17/01/2024 BANKNIFTY 2024-01-17 17_47700 15 48.35 43.5 38.45 39.8 39.05 40.55 36.5 32.25 0.2

15.23. The trading pattern of JS Group in both BANKNIFTY Call and Put options reflects a clear bearish sentiment in cash-equivalent terms. In the call options segment, JS Group net cash-equivalent short exposure on BANKNIFTY during these eight minutes increased by INR 3,661.16 Cr. 15.24. Similarly, in the BANKNIFTY Put options segment during these eight minutes, the resulting net delta exposure was even more bearish, amounting to negative INR 5,089.84 Cr. 15.25. In effect, in the top 6 BANKNIFTY component stocks and futures, in the first 8 minutes, JS Group had net bought INR 572 crores worth aggressively, witness the LTP data around these purchases as described earlier. At the same time, across buying BANKNIFTY Puts and selling BANKNIFTY Calls at favourable Index levels engineered by their intervention in the cash and futures markets, JS Group had also managed to put up effective cash equivalent short BANKNIFTY exposure of INR 8,751 crores. In absolute terms, this was over 15 times the INR 572 crores of position put up in the component cash and futures market in that time. 15.26. The relevant details have been tabulated below:

Table 15

Call Option PUT Option Strike Call long (09:15 to 09:22) Call short (09:15 to 09:22) Delta Exposure Strike Put long(09:15 to 09:22) Put short(09:15 to 09:22) Delta Exposure Premium Premium Premium Premium Min Max Qty Min Max Qty Min Max Qty Min Max Qty 44500 - - - 39500 - 0.55 1.15 1,82,340 - 45700 - - - 40000 - 0.75 1.10 34,920 - 45800 - - - 40500 - 0.65 1.25 17,400 - 46000 1225 1225 570 - 2,66,81,135 41000 - 0.70 1.10 16,425 - 46100 - - - 41500 0.95 0.95 900 0.85 1.65 1,29,705 - 46200 - - - 42000 0.9 0.9 6,300 0.85 1.80 1,23,690 - 46300 - - - 42500 1.05 1.15 13,500 0.75 1.75 1,06,575 - 46400 - 750 800 960 -4,17,79,323 43000 1.05 1.05 5,400 0.85 2.00 1,33,230 - 46500 730 770 4,425 700 722 2,250 9,99,05,552 43500 1.2 1.35 5,400 1.10 2.65 69,105 - 46600 593.55 677.5 1,005 591 861 3,420 -9,53,84,440 44000 1.8 1.8 4,500 1.25 3.15 1,39,050 - 46700 508.65 585 3,330 500 781 4,920 -5,95,22,805 44200 - 1.60 2.65 47,925 - 46800 429.65 527.9 15,825 427 690 31,995 -50,48,16,880 44300 - 1.50 2.85 1,02,420 - 46900 357.55 477.3 24,735 362 600 38,265 -37,13,47,831 44400 - 1.65 2.95 82,080 - 47000 287.5 606.3 69,210 287 660 2,11,710 -3,43,82,45,169 44500 2.1 2.35 8,100 1.70 2.80 1,39,020 - 47100 229.8 421 40,140 228 417 4,31,280 -9,21,87,45,105 44600 2.3 2.3 900 1.90 3.00 55,995 - 47200 146.9 422.95 50,055 177 328 7,90,050 -14,68,92,82,417 44700 - 2.00 2.95 1,18,980 - 47300 136.05 313 32,940 131 249 4,24,620 -6,36,15,71,301 44800 2.55 2.55 900 2.20 3.00 79,770 - 47400 98.05 275.7 17,670 96 253 2,32,995 -1,56,62,44,094 44900 - 2.15 2.55 1,20,330 - 47500 69 235.3 40,950 61 193 97,710 -60,45,18,616 45000 - 2.65 3.15 1,68,210 - 47600 47.95 152.7 12,780 47 134 30,960 -15,81,54,968 45100 - 3.00 3.35 21,750 - 47700 32.15 92 10,665 31 82 25,200 -8,92,97,401 45200 - - -

Call Option PUT Option Strike Call long (09:15 to 09:22) Call short (09:15 to 09:22) Delta Exposure Strike Put long(09:15 to 09:22) Put short(09:15 to 09:22) Delta Exposure Premium Premium Premium Premium Min Max Qty Min Max Qty Min Max Qty Min Max Qty 47800 21.55 44.25 28,050 21 43 15,135 3,84,59,253 45300 - - - 47900 15.4 23.4 12,660 17 33 6,180 1,69,83,757 45400 - - - 48000 12 16.75 36,180 14 17 5,355 5,59,55,527 45500 - 4.25 4.95 1,72,290 19,40,671 48100 4.3 14.5 24,510 10 15 4,185 2,30,22,245 45600 - 5.90 6.95 92,025 26,00,992 48200 9.8 12 40,935 11 13 1,740 2,52,97,750 45700 - 5.80 6.20 23,175 14,19,205 48300 2.1 12 2,94,990 - 13,17,67,178 45800 - - - 48400 1.65 9.1 4,05,510 - 11,22,84,731 45900 44.6 44.8 900 - -10,57,529 48500 2.15 7.15 3,15,690 - 4,06,94,634 46000 16.4 72.85 4,095 16.95 24.00 6,105 14,33,894 48600 2 6.2 1,11,975 - 73,35,299 46100 14.5 29.1 7,425 27.55 32.45 465 -61,15,749 48700 2 5.45 1,14,150 - 37,64,471 46200 12.7 34.95 8,250 20.00 38.00 7,050 18,18,323 48800 1.8 6.15 1,58,700 - 29,87,458 46300 14.5 86.65 11,925 16.60 48.70 1,875 -1,73,22,677 48900 2.75 6.35 2,59,860 - 21,25,892 46400 18.95 60.35 11,265 24.15 60.00 7,800 -11,18,168 49000 2.25 4.8 5,040 - - 46500 25.15 90.2 31,260 28.45 76.60 76,890 24,55,07,410 49100 - - - 46600 33.25 93.05 38,205 33.15 94.00 62,295 17,46,06,081 49200 - - - 46700 43.75 118.5 56,385 43.95 113.30 75,645 22,84,86,317 49300 - - - 46800 57.8 155.1 52,515 58.10 135.80 94,665 51,49,86,836 49400 - - - 46900 76.25 209.1 41,070 76.65 218.55 71,070 48,01,59,801 49500 - - - 47000 100.75 241.75 2,46,195 101.00 199.20 1,62,300 -2,26,56,00,282 49600 - - - 47100 131.45 262.2 4,70,610 131.45 262.15 92,595 -9,04,41,62,846 49700 2.55 2.9 4,740 - - 47200 158.55 290 9,21,255 151.45 287.90 78,045 -24,17,29,92,687 49800 2.55 2.8 1,665 - - 47300 179.9 344.55 3,83,520 216.90 341.75 62,565 -9,95,98,83,243 49900 2.55 3.2 1,27,380 - - 47400 208.85 400 1,69,980 273.45 404.40 25,260 -5,71,55,84,334 50000 2.5 2.85 18,570 3 3 3,600 - 47500 219.05 472.55 60,075 201.55 471.95 42,540 -69,06,65,853

Call Option PUT Option Strike Call long (09:15 to 09:22) Call short (09:15 to 09:22) Delta Exposure Strike Put long(09:15 to 09:22) Put short(09:15 to 09:22) Delta Exposure Premium Premium Premium Premium Min Max Qty Min Max Qty Min Max Qty Min Max Qty 50100 2.35 3 31,125 3 3 9,000 - 47600 311.4 555 21,780 228.75 500.00 5,580 -65,67,66,281 50200 2.3 3.1 46,695 3 3 1,800 - 47700 220.45 630 7,320 493.95 608.60 1,665 -23,61,13,773 50300 2.35 3.15 42,900 3 3 1,800 - 47800 604.55 680 2,805 352.05 690.00 2,280 -2,16,95,752 50400 2.25 3.15 85,395 2 3 6,300 - 47900 740 759.15 1,590 713.35 815.25 8,055 28,81,84,338 50500 2.15 2.9 80,880 3 3 1,800 - 48000 830 900 6,075 791.80 905.75 5,970 -57,50,522 50600 2.15 3.2 92,610 2 2 8,040 - 48100 925 1000 4,080 868.30 974.35 2,655 -6,62,90,669 50700 2.2 3.15 92,520 2 2 2,370 - 48200 1050 1100 2,775 998.00 1,055.65 570 -10,27,00,477 50800 2.1 3.1 45,030 2 2 4,500 - 48300 1115 1150 465 - -2,17,26,730 50900 1.9 3.15 1,36,770 - - 48400 1269.9 1269.9 30 - -14,07,192 51000 1.6 2.9 2,16,555 - - 48500 - 1,261.20 1,333.40 3,135 14,73,20,646 51100 1.75 3 66,795 2 2 3,600 - 48600 - - - 51200 1.7 3.05 42,150 - - 48700 - - - 51500 1.5 2.7 64,770 1 1 15 - 48800 - - - 52000 1.55 2.45 55,890 - - 48900 - - - 52500 1.65 2.3 21,645 - - 49000 - - - 53000 1.45 2.2 21,345 - - 49100 - - - 53500 1.25 2.1 17,355 - - 49200 - - - 54000 1.25 1.8 11,520 - - 49300 - - - 54500 1 1.7 10,455 - - 49400 - - - 55000 0.9 1.4 43,440 - - 49500 - - - 55500 0.9 1.3 35,100 - - 49600 - - - 49700 - - - 49800 - - -

Call Option PUT Option Strike Call long (09:15 to 09:22) Call short (09:15 to 09:22) Delta Exposure Strike Put long(09:15 to 09:22) Put short(09:15 to 09:22) Delta Exposure Premium Premium Premium Premium Min Max Qty Min Max Qty Min Max Qty Min Max Qty 49900 - - - 50000 - - - 50500 - - - Grand Grand Total 35,45,850 24,01,755 -36,61,16,45,465 Total 26,07,750 30,73,485 -50,89,84,90,248

15.27. In the context of the full Patch I, the Group was seen buying BANKNIFTY Put options and selling BANKNIFTY Call options. During this patch, the delta position rose from the day’s open of negative INR 7,311.19 Crores to negative INR 39,426.15 Crores by 11:47 AM, indicating an increase in bearish sentiment to the tune of INR 32,114.96 Crores. This was a substantial increase of 384% from the opening levels. Note that this net increase of cash-equivalent INR 32,114.96 crores in short positions in BANKNIFTY via index options, in absolute terms, was 7.3 times the INR 4,370.03 crores long position built by the group aggressively in the component cash/ futures markets

15.28. On further examining the trading behaviour of Jane Street Group on 17 January 2024, it is observed that a significant number of their BANKNIFTY option derivative trades were in and around At-the-Money (“ATM”) strike contracts. Note that trader interest and liquidity in ATM contracts tends to be highest, allowing the JS Group to accumulate large sized BANKNIFTY index options exposures in the manner that they did.

Patch II: Aggressive cash and futures selling of BANKNIFTY components, reversing the aggressive purchases of patch I

15.29. Once the BANKNIFTY index option positions were in place through Patch I, the JS Group began systematically squaring off and dumping its holdings in the underlying constituents (through cash as well as futures segment) during Patch II spread across the rest of the day, i.e. between 11:49:00 and 15:30:00. During this Patch II, BANKNIFTY Index futures were also separately sold by the Group. 15.30. The nature and extent of selling by JS Group in the cash and futures market of BANKNIFTY component stocks, and in BANKNIFTY futures, is captured in the tables that follow:

15.31. In the stock futures market:

Table 16 JS’s traded Sell Sell value side side TV relative No. of No. of Sell TV in Sell trade in INR to Sell sell Scrip Sell end sell trade INR quantity – Crs. – market-start Open High Low Close trades – time trades quantity Crs. – Market- Market-wide time Market- - JS - JS JS wide wide traded wide value (in (A) (B) %) (A/B) HDFCBANK 11:49:59 15:28:41 1561.7 1568 1528.4 1541.4 42,769 21,17,418 330.29 10,64,168 3,79,33,287 5,875.44 5.62% ICICIBANK 11:50:12 15:22:49 981.8 988.55 978.6 980 37,817 44,63,170 438.84 2,45,447 1,76,98,802 1,740.55 25.21% AXISBANK 11:50:01 15:12:04 1093 1097 1080.9 1082.7 48,465 25,11,466 273.58 2,77,040 1,04,76,341 1,141.31 23.97% SBIN 11:49:59 15:29:22 626.4 629.6 623.4 626.35 35,956 34,48,238 215.88 2,21,753 1,38,70,654 868.51 24.86% KOTAKBANK 11:50:09 15:28:49 1788.05 1789.2 1776.1 1777.6 29,263 11,34,123 202.07 1,94,508 54,62,480 973.25 20.76% INDUSINDBK 11:50:13 15:29:08 1642.05 1651.5 1631.9 1642.8 16,021 6,97,721 114.48 1,25,051 32,62,605 535.68 21.37% FEDERALBNK 11:50:34 13:54:05 145.95 146.9 143.85 146.45 7,931 39,16,350 56.84 81,092 1,53,81,092 223.29 25.45% BANKBARODA 11:50:06 14:38:07 230.55 231.15 225.1 225.9 7,354 31,54,523 71.81 55,521 1,23,84,340 282.06 25.46% IDFCFIRSTB 11:50:25 14:19:11 86.6 86.75 85.55 85.9 8,104 67,54,912 58.08 60,654 2,63,66,766 226.78 25.61% AUBANK 11:50:15 15:28:48 750.4 760.75 744.2 755.05 20,810 6,05,639 45.69 87,139 27,42,704 206.96 22.08% PNB 11:50:14 13:14:50 99 99.1 97 97.55 3,663 52,38,342 51.15 37,282 2,04,63,561 199.93 25.58% BANDHANBNK 11:51:39 11:51:39 224.65 224.65 224.65 224.65 3 3,025 0.07 3 3,025 0.07 100.00%

15.32. In the stock futures market:

Table 17 JS’s traded Sell Sell side value side TV No. of TV in INR relative to Sell No. of Sell end Sell trade in INR sell Sell trade Crs. – market- Scrip Expiry start sell time Open High Low Close quantity - Crs. – trades – quantity – Market-wide time trades JS JS Market- Market-wide wide traded - JS wide value (in (A) (B) %) (A/B) HDFCBANK 25-Jan-24 12:19:16 15:29:58 1570.95 1571.3 1531.7 1547 8,118 61,55,600 956.30 42,843 2,79,93,350 4,344.02 22.01% ICICIBANK 25-Jan-24 11:49:22 15:29:51 983.15 988.85 976.75 978.85 8,129 67,23,500 661.15 33,471 2,68,02,300 2,635.67 25.08% AXISBANK 25-Jan-24 11:50:26 15:29:53 1094.6 1097.3 1080 1081 3,861 29,70,000 323.10 16,611 1,17,85,625 1,282.23 25.20% SBIN 25-Jan-24 11:55:54 15:29:54 627.6 631.45 624.7 626.4 3,776 66,88,500 419.67 15,564 2,63,55,000 1,653.75 25.38% KOTAKBANK 25-Jan-24 11:49:15 15:29:54 1793.65 1794.1 1775.9 1778.3 3,556 18,41,600 328.53 15,490 72,12,000 1,286.77 25.53% INDUSINDBK 25-Jan-24 11:51:58 15:29:50 1648.55 1656 1636 1645 2,354 13,71,500 225.58 9,100 51,06,000 839.92 26.86% FEDERALBNK 25-Jan-24 11:56:52 15:28:27 146 147.25 144.3 146.2 1,319 74,00,000 107.83 5,905 3,50,40,000 510.79 21.11% BANKBARODA 25-Jan-24 11:56:28 15:29:52 230.65 230.65 225.1 226.15 1,656 62,27,325 141.81 11,059 3,84,14,025 873.36 16.24% IDFCFIRSTB 25-Jan-24 11:56:50 15:29:54 86.8 86.9 85 85.4 1,581 1,39,27,500 119.76 8,880 7,65,15,000 657.82 18.21% AUBANK 25-Jan-24 11:57:18 15:29:45 748.4 760.7 744.2 750.3 1,380 14,55,000 109.37 5,292 57,83,000 434.75 25.16% PNB 25-Jan-24 11:56:41 15:29:01 98.55 98.6 96.85 97.55 1,016 1,07,68,000 105.12 5,792 5,72,00,000 558.52 18.82%

15.33. In the BANKNIFTY Index futures market: Table 18 JS’s traded Sell side value Sell side TV in INR relative to Sell No. of TV in No. of sell Sell trade Sell end Sell trade Crs. – market- Scrip Expiry start sell INR Crs. trades – quantity – time Open High Low Close quantity - Market-wide time trades - – JS Market- Market- JS wide traded JS wide wide value (in (A) (B) %) (A/B) BANKNIFTY 25-Jan-24 14:46:14 15:08:45 46314.8 46337.9 46051 46081.6 2,203 92,850 428.81 16,486 4,82,760 2,229.85 19.23%

15.34. As can be seen from In the stock futures market:

15.35. Table 16 to Table 18, JS Group sold substantial amount of shares and futures of all 12 BANKNIFTY constituents during this Patch II, i.e. between 11:49:00 to 15:30:00. Their TV in the cash segment was INR 1,858.78 Cr and in the futures segment INR 3,513.34 Cr. They were by far the single largest net seller across BANKNIFTY component stocks and futures during this patch. For context, the next highest participant’s net TV in cash and stock futures segment was INR 626.63 Cr and INR 649.97 Cr respectively, during the general underlying sell patch (i.e. 11:49:00 to 15:30:00).

15.36. Further, in all the heavy-weight scrips (except HDFCBANK), JS contributed 15–25% of the entire market's traded value. For context, the next highest participant’s concentration in any of these scrips was much lower. For example, in KOTAKBANK

– cash segment, during the aforementioned general sell patch the next highest participant’s concentration was only 12.22%, compared to 24.86% for JS Group.

LTP contribution during Selling phase of BANKNIFTY constituents in cash and futures segment

15.37. In continuation of the concentration analysis undertaken in paragraphs above, a LTP-based analysis was also carried out to further examine the potential price impact of trades executed by JS. The said analysis (pertaining to all of cash, stock futures, and BANKNIFTY Index futures), capturing both order-level and trade-level dimensions, is placed in the following paragraphs.

15.38. In the cash market:

Table 19 - Order level LTP-based analysis12

Order price Order price Order price based LTP based LTP based LTP Order price impact for impact for No. of No. of impact for based net Sell No. of No. of orders orders Sell sell sell orders placed LTP impact* order sell sell placed placed at Scrip order orders orders below LTP* start orders orders above LTP* LTP* end time above below (in INR) time entered at LTP LTP LTP (in INR) (in INR) (in INR) (A)+(B)+(C) (C) (A) (B) HDFCBANK 11:49:59 15:28:40 11389 835 1859 8780 190.95 - -2,043.50 -1,852.55 ICICIBANK 11:50:12 15:22:49 14262 772 5279 8211 73.80 - -1,399.80 -1,326.00 AXISBANK 11:50:01 15:12:04 23221 1566 8315 13340 164.50 - -3,005.30 -2,840.80 SBIN 11:49:59 15:29:22 14470 1238 5542 7690 102.60 - -743.90 -641.30 KOTAKBANK 11:50:09 15:28:49 13744 1609 4321 7964 361.60 - -2,581.55 -2,219.95 INDUSINDBK 11:50:13 15:29:08 10006 1650 3409 5066 338.20 - -1,280.90 -942.70 FEDERALBNK 11:50:34 13:54:05 1181 37 304 840 1.85 - -46.75 -44.90 BANKBARODA 11:50:06 14:38:07 2554 232 851 1471 14.35 - -107.80 -93.45 IDFCFIRSTB 11:50:25 14:19:11 382 17 130 235 0.85 - -12.70 -11.85 AUBANK 11:50:15 15:28:45 10920 1233 4915 4924 163.45 - -1,045.00 -881.55 PNB 11:50:14 13:14:50 465 20 189 256 1.00 - -13.85 -12.85 *The figures are an aggregation of the difference between the “Order Limit Price” and the “Last Traded Price” at the time of order entry/ modification.

12 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.

Table 20 - Trade level LTP-based analysis

Trade price Trade price Trade price based LTP based LTP based LTP Trade price Trade price impact for impact for impact for No. of No. of based net based net Sell No. of trades trades trades Sell No. of sell sell sell LTP impact* LTP impact trade sell executed executed at executed Scrip trade trades trades trades created by start trades above LTP* LTP* below LTP* end time executed above below (in INR) rest of the time at LTP LTP LTP market (in INR) (in INR) (in INR) (A)+(B)+(C) participants13 (A) (B) (C) HDFCBANK 11:49:59 15:28:41 42769 1204 32767 8798 231.00 - -2,037.75 -1,806.75 1,786.45 ICICIBANK 11:50:12 15:22:49 37817 812 28672 8333 77.35 - -1,387.90 -1,310.55 1,308.75 AXISBANK 11:50:01 15:12:04 48465 1610 33513 13342 167.80 - -2,973.50 -2,805.70 2,795.40 SBIN 11:49:59 15:29:22 35956 1259 27029 7668 104.05 - -739.45 -635.40 635.35 KOTAKBANK 11:50:09 15:28:49 29263 2024 19240 7999 420.05 - -2,550.60 -2,130.55 2,120.10 INDUSINDBK 11:50:13 15:29:08 16021 1730 9203 5088 300.50 - -1,251.40 -950.90 951.65 FEDERALBNK 11:50:34 13:54:05 7931 38 7058 835 1.90 - -46.35 -44.45 44.95 BANKBARODA 11:50:06 14:38:07 7354 237 5647 1470 14.80 - -107.05 -92.25 87.60 IDFCFIRSTB 11:50:25 14:19:11 8104 17 7851 236 0.85 - -12.65 -11.80 11.10 AUBANK 11:50:15 15:28:48 20810 1369 14396 5045 145.70 - -1,027.15 -881.45 886.10 PNB 11:50:14 13:14:50 3663 20 3387 256 1.00 - -13.85 -12.85 11.40 BANDHANBNK 11:51:39 11:51:39 3 0 3 0 - - - - 0.00 *The figures are an aggregation of the difference between the “Trade Price” and the “Last Traded Price”

13 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip), for the impact created by Jane Street’s trades.

15.39. In the stock futures market: Table 21 - Order level LTP-based analysis14 Order Order Order price price price based based based LTP LTP Order price LTP impact for No. of No. of impact for based net Sell No. of No. of impact for orders Sell sell sell orders LTP impact* order sell sell orders placed Scrip Expiry order orders orders placed start orders orders placed at below end time above below above (in INR) time entered at LTP LTP* LTP* LTP LTP LTP* (A)+(B)+(C) (in INR) (in INR) (in INR) (B) (C) (A) HDFCBANK 25-Jan-24 12:19:16 15:29:58 5581 678 1108 3795 82.60 - -747.10 -664.50 ICICIBANK 25-Jan-24 11:49:22 15:29:51 5640 556 1354 3730 49.55 - -482.00 -432.45 AXISBANK 25-Jan-24 11:50:26 15:29:53 2952 351 458 2143 42.20 - -401.70 -359.50 SBIN 25-Jan-24 11:55:54 15:29:54 2525 300 539 1686 22.80 - -195.45 -172.65 KOTAKBANK 25-Jan-24 11:49:15 15:29:54 2905 432 387 2086 77.65 - -521.30 -443.65 INDUSINDBK 25-Jan-24 11:51:58 15:29:50 1914 214 201 1499 37.05 - -455.50 -418.45 FEDERALBNK 25-Jan-24 11:56:52 15:28:27 531 34 215 282 1.85 - -18.45 -16.60 BANKBARODA 25-Jan-24 11:56:28 15:29:52 861 67 253 541 4.15 - -42.05 -37.90 IDFCFIRSTB 25-Jan-24 11:56:50 15:29:54 453 21 281 151 1.05 - -7.95 -6.90 AUBANK 25-Jan-24 11:57:18 15:29:45 1099 155 108 836 25.60 - -218.60 -193.00 PNB 25-Jan-24 11:56:41 15:29:01 428 20 213 195 1.30 - -11.25 -9.95 BANDHANBNK 25-Jan-24 13:55:44 15:28:55 175 131 65 100 54.60 - -29.75 24.85 *The figures are an aggregation of the difference between the “Order Limit Price” and the “Last Traded Price” at the time of order entry/ modification.

14 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.

Table 22 - Trade level LTP-based analysis Trade Trade Trade price price price based LTP based LTP Trade price based LTP Trade price impact for impact for based net No. of No. of impact for based net Sell Sell No. of No. of trades trades LTP sell sell trades LTP impact trade trade sell sell executed executed impact* Scrip Expiry trades trades executed created by start end trades trades above below above below at LTP* rest of the time time executed at LTP LTP* LTP* (in INR) LTP LTP market (in INR) participants15 (in INR) (in INR) (A)+(B)+(C) (B) (A) (C) HDFCBANK 25-Jan-24 12:19:16 15:29:58 8118 693 3592 3833 84.20 - -740.40 -656.20 632.25 ICICIBANK 25-Jan-24 11:49:22 15:29:51 8129 595 3748 3786 52.15 - -477.90 -425.75 421.45 AXISBANK 25-Jan-24 11:50:26 15:29:53 3861 354 1346 2161 42.95 - -395.40 -352.45 338.85 SBIN 25-Jan-24 11:55:54 15:29:54 3776 306 1773 1697 23.25 - -193.70 -170.45 169.25 KOTAKBANK 25-Jan-24 11:49:15 15:29:54 3556 441 1006 2109 73.75 - -515.95 -442.20 426.85 INDUSINDBK 25-Jan-24 11:51:58 15:29:50 2354 222 596 1536 37.95 - -447.20 -409.25 405.7 FEDERALBNK 25-Jan-24 11:56:52 15:28:27 1319 34 1004 281 1.85 - -18.35 -16.50 16.7 BANKBARODA 25-Jan-24 11:56:28 15:29:52 1656 67 1048 541 4.15 - -42.05 -37.90 33.4 IDFCFIRSTB 25-Jan-24 11:56:50 15:29:54 1581 21 1410 150 1.05 - -7.90 -6.85 5.45 AUBANK 25-Jan-24 11:57:18 15:29:45 1380 159 379 842 26.20 - -217.35 -191.15 193.05 PNB 25-Jan-24 11:56:41 15:29:01 1016 20 801 195 1.00 - -11.25 -10.25 9.25 BANDHANBNK 25-Jan-24 13:55:57 15:28:55 244 29 111 104 5.95 - -21.40 -15.45 15.45 *The figures are an aggregation of the difference between the “Trade Price” and the “Last Traded Price”

15.40. In the BANKNIFTY Index futures market:

15 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip), for the impact created by Jane Street’s trades.

Table 23 - Order level LTP-based analysis16 Order Order price price Order price based LTP based based LTP Order price impact for LTP impact for No. of No. of based net Sell No. of No. of orders impact for orders Sell sell sell LTP impact* order sell sell placed orders placed Scrip Expiry order orders orders start orders orders above placed at below LTP* end time above below (in INR) time entered at LTP LTP* LTP* LTP LTP (in INR) (A)+(B)+(C) (in INR) (in INR) (C) (A) (B) BANKNIFTY 25-Jan-24 14:46:14 15:08:45 1702 366 177 1159 594.00 - -4,374.55 -3,780.55 Table 24 - Trade level LTP-based analysis Trade Trade Trade price Trade price price based net price based LTP based LTP Trade price LTP impact based LTP impact for impact for based net created by No. of No. of impact for Sell Sell No. of No. of trades trades LTP rest of the sell sell trades trade trade sell sell executed executed impact* market Scrip Expiry trades trades executed start end trades trades above below participants17 above below at LTP* time time executed at LTP LTP* LTP* (in INR) LTP LTP (in INR) (in INR) (in INR) (A)+(B)+(C) (B) (A) (C) BANKNIFTY 25-Jan-24 14:46:14 15:08:45 2203 376 654 1173 609.10 - -4,339.70 -3,730.60 3,497.40

16 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data. 17 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip), for the impact created by Jane Street’s trades.

15.41. As can be seen from Table 19 through Table 24 above, during the latter part of the trading day in Patch 2, JS Group placed a disproportionately high number of sell orders at or below the LTP in BANKNIFTY constituent stocks (in both cash as well as futures segments), where thousands of such orders were placed. Similar orders were placed for BANKNIFTY Index futures too. The actual execution of these sell orders at sunken prices contributed incrementally to the downward price movement of the individual stocks. The large negative LTP, relative to the market LTP, has the effect of pushing down the prices of the BANKNIFTY constituent stocks. Given that BANKNIFTY is a market-cap weighted index, the downward pressure on price in its constituents directly resulted in the deflation of the BANKNIFTY index. The price impact in terms on the index after adjusting for weights of the constituents was - 55,713.56 (i.e., on the downside) by JS Group entities, whereas that by all the other participants put together is +55,400.71 on the upside. This is indicative of strong downward price push created by JS entities.

15.42. As the BANKNIFTY index began to decline during the latter part of the trading session on January 17, 2024, there was a corresponding surge in the value of Put options and a depreciation in the value of Call options - a movement that perfectly aligned with the Jane Street Group’s options positioning. Recall that the Group had built a substantial negative cash-equivalent or delta exposure during the first half of the session, in Phase I. 15.43. Between 14:15:00 and 15:30:00, the MTM profit on expiry-day options positions saw a sharp and sustained rise. The MTM profit curve, when plotted minute-by-minute, shows an steep upward incline, particularly as the index accelerated its fall. Jane Street Group capitalised on this setup by selling the Puts purchased earlier and Buying back the Calls sold earlier, effectively locking in substantial gains across both legs of the trade.

To illustrate:

The expiry-day delta exposure transitioned from negative INR 7,311.19 Crore at around 09:30:00 to negative INR 46,620.79 Crore at peak around 13:53:00, and finally back to INR 24,884.63 Crore by close, indicating that the positions were not only directionally structured but also unwound within the same session as BANKNIFTY declined over the course of Phase II.

The total profit on expiry-day contracts is estimated at INR 662.48 Cr, out of which INR 168.60 Crore (approximately 25% of day’s profit) was generated during the 14:15–15:30 window alone.

Note that in the intraday trading undertaken by JS Group in BANKNIFTY constituent stocks and futures, i.e., the aggressive and large buying in Patch I, followed by the aggressive and large selling in Patch II, the JS Group booked an intraday loss of INR 61.6 crores on the day. Given the aggressive and large nature of trading reversal, this is not especially a surprising outcome. This in fact indicates that standalone, such intraday trading may not have any meaningful economic rationale. There is every indication that these were not in fact standalone trades, but trades that were part of a deliberate strategy to manipulate indices to the advantage of the trading and positions of JS Group in BANKNIFTY Index Options.

Such precision in timing, where reversal of Patch I index constituent stock and futures purchases, significant LTP impact downwards, significant profit in BANKNIFTY options that more than compensate for the intraday losses in bother BANKMIFTY constituents and segments, and position unwinding in BANKNIFTY options converge with maximization of profitability, suggests a pre-mediated and carefully executed trade design. The Group’s actions in the underlying segments (cash, stock futures, and index futures), which had a tangible LTP impact, contributed to pushing down the BANKNIFTY index towards the close. This was then monetised through options positions that generated increasing returns as the market moved in the direction.

II. Comparison with previous day and subsequent day 15.44. An essential parameter to assess whether a trading day reflects ordinary execution or anomalous activity is the GTV18 generated by Jane Street Group across the equity and derivative segments. A spike in GTV on a particular day, especially when accompanied by directional price movement and high-impact execution, may suggest targeted, non-routine strategy deployment, often expiry-driven. 15.45. Accordingly, the GTV figures for Jane Street Group were compared across T–1 (previous trading day), T (event/expiry day), and T+1 (next trading day) for January 17, 2024. Table 25 GTV in INR Crores Cash Stock Futures BANKNIFTY Day Dates (A) (B) Total GTV Index Futures (12 (A)+(B)+(C) (12 Constituents) (C) Constituents) T-1 16-Jan-2024 214.41 1,935.77 - 2,150.18 T 17-Jan-2024 3,710.42 6,102.58 844.33 10,657.33 T+1 18-Jan-2024 626.24 1,956.86 - 2,583.10

15.46. On January 17, 2024, the total GTV of Jane Street Group was approximately 5 times higher than on the previous day and 4 times higher than the subsequent day. 15.47. The surge in volumes was particularly sharp during two distinct intraday patches — the underlying buy patch and the underlying sell patch. 15.48. The sharp reversal of GTV trend post-expiry (on January 18) confirms that the heightened activity on the expiry day was event-specific and not part of regular trading behaviour.

Why is the “Intra Day Index manipulation strategy” as described above considered manipulative? 15.49. As described above, on January 17, 2024, JS Group traded in an “Intra Day Index Manipulation pattern”. Dealing in multiple segments across cash equities, stock futures, index futures, and index options simultaneously is certainly not by itself a breach of any regulation. However, what sets apart the 18 Gross Traded Value trading pattern of the JS Group as described above as prima facie being manipulative, is the intensity and sheer scale of their intervention in the underlying component stock and futures markets, the rapid reversal of these large and aggressive trading in cash and futures without any plausible economic rationale, other than the concurrent activity in and impact on their positions in the BANKNIFTY index options markets. 15.49.1. In the morning (Patch I), JS Group were by the single largest and aggressive buyer in BANKNIFTY component stocks and futures markets, to the tune of INR 4,370.03 crores. 15.49.2. Simultaneously, in the same morning Patch I, at a time when market participants were misled by the artificial support provided to BANKNIFTY index levels by JS Group’s large and aggressive intervention in constituent stocks and futures, JS Group net sold a significantly higher cash equivalent of INR 32,114.96 crores via BANKNIFTY options, by buying BANKNIFTY puts and selling BANKNIFTY calls in the much more liquid index options market.

15.49.3. In Patch II through the rest of the day, JS Group reversed and dumped the morning’s purchases, and net sold BANKNIFTY component stocks, stock/ index futures to the tune of INR 5,372.12 crores. They were by far the single largest net seller across these segments. The LTP analysis further shows that they did so in an aggressive manner designed to push down the underlying stock prices and hence BANKNIFTY index levels. Note that this intraday trading of aggressively buying large of BANKNIFTY component stocks and futures in Patch I, followed by aggressive reversal and selling them in Patch II, resulted in Jane Street Group booking a net intraday trading loss of INR 61.6 crores. 15.49.4. The resultant downward pressure on BANKNIFTY at expiry, allowed JS Group to profit immensely from their outstanding net short cash equivalent positions in the BANKNIFTY index options segment. They made a profit of INR 734.93 on the day, across BANKNIFTY Index options.

15.50. In summary, the specific pattern of trading undertaken by the JS Group on January 17, 2024, exhibits the following characteristics that single it out to be of manipulative intent: 15.50.1. In Patch I, JS Group is seen buying BANKNIFTY component stocks and futures aggressively, and in large sizes, to move up BANKNIFTY index. In Patch II through the rest of the day, it is seen reversing and aggressively selling all of its large purchased positions (and more), thereby pushing down BANKNIFTY Index. Unsurprisingly, given the sheer volumes involved as a percentage of total market trading volumes, it booked a significant trading loss of INR 61.6 crores in the cash and futures segment in the process. There is no economic rationale possible to justify such trading activity on a standalone basis; in fact, given the sheer sizes, manner of trading and transaction costs involved, such activities would invariably tend to end with net trading losses. 15.50.2. Note that the intraday reversal of positions in the cash market was conducted by JS Group in its India entities viz. JSI Investments Private Limited.

Note further that SEBI (Foreign Portfolio Investors) Regulations, 2019 do not allow FPIs to undertake intraday trades, instead, all of their trades must be settled. 15.50.3. By preponderance of probability, the sharp buying in BANKNIFTY component shares and futures in Patch I was designed to artificially push up BANKNIFTY Index, and thereby to push up the prices of BANKNIFTY calls and push down the prices of BANKNIFTY puts. JS Group certainly exploited this to the hilt, and they simultaneously purchased BANKNIFTY puts and sold BANKNIFTY calls in size, at very advantageous prices. 15.50.4. Note that JS Group was, by preponderance of probability, fully aware that they would reverse all of the significant purchases of BANKNIFTY stocks and futures of the morning by the end of the day. There were aware, therefore, that the stock and BANKNIFTY prices were being held artificially up for a short period of time by their own aggressive actions in the underlying cash and futures markets. They were also aware that BANKNIFTY was almost certainly likely to fall again by the end of the day, given their intent to aggressively sell back all of their morning purchases (and more).

As has been described above, the many entities that trade solely in the BANKNIFTY index options markets and look to the current BANKNIFTY level to price their options, were unaware of all this, and were hence enticed to deal at a time that the BANKNIFTY itself was being artificially and temporarily propped up. 15.50.5. Finally, the significant and aggressive dumping of BANKNIFTY component stocks and futures in Patch II (in sharp reversal of the heavy and aggressive pumping purchases done in the morning) was immensely profitable for the extremely large BANKNIFTY option positions being run by the JS Group, and to the detriment of all those that had traded in the morning against JS Group at artificial prices. This was a classic case of ‘marking-the-close’, where an entity with huge options exposures that are expiring shortly, is moving the underlying market aggressively in its favour.

15.51. In light of the above, by preponderance of probability, the “intraday index manipulation strategy” is indicative of the following fraudulent and manipulative behaviour: 15.51.1. JS Group was exploiting its size and sheer volume to move the underlying BANKNIFTY index level, so as to benefit from its much larger actions or positions in the BANKNIFTY index options segment 15.51.2. By moving the BANKNIFTY index with large and aggressive buying followed then by large and aggressive selling, JS group was creating a false or misleading appearance of market activity. In the bargain, it was enticing unsuspecting entities trading in BANKNIFTY index options to trade at interim levels that were artificial and temporary. 15.51.3. JS Group was undertaking these large (by percentage GTV) and aggressive (by LTP) trades in the underlying BANKNIFTY component stocks and futures, not for investment or for any other standalone economic rationale. In fact, given the sheer size and aggressive nature of the intervention in cash and futures markets and the immediate reversal the same day, the standalone trades in the cash and futures were more likely to end up showing a large net loss. By preponderance of probability, these trades were undertaken only to distort BANKNIFTY index option prices in the interim and entice market participants in BANKNIFTY index options to trade at such distorted levels, while JS Group would take advantage of this and run much larger opposite side positions in the index options market. 15.51.4. JS, vide its letter to SEBI dated August 30, 2024, has suggested that these trades were to “remove unwanted delta” or to “manage overall delta”. These bland statements do not take away from any of the arguments made above. By preponderance of probability, and given the arguments and data presented above, JS Group was undertaking an intentional, well-planned, and sinister scheme and artifice to manipulate cash & futures markets and hence manipulate the BANKNIFTY index level, to entice small investors to trade at unfavourable and misleading prices, and to the advantage of the JS Group.

GRAPHICAL ANALYSIS 15.52. For reference, graphical analysis of trading and delta build-up for January 17, 2024 (weekly expiry of BANKNIFTY option contracts) is given below.

15.53. The graph above can be accessed through the QR code given below:

15.54. The graphical representation captures the following:

Value Label Color and chart Reference (Bottom to Meaning used (Right or Top) Left) Net Buy/ Sell value in Stock Futures Segment of Green and Red bar FUTSTK Left BANKNIFTY Index constituents graph – for each time segment Net Buy/ Sell value in Cash Segment of BANKNIFTY Index Green and Red bar CM Left constituents-for each time graph Segment Blue bar graph – Net Buy/Sell value in Index Call Option Buy/sell Option Net Options segment for Left Buy BANKNIFTY - for each time Orange bar graph – segment Put Option Buy/Sell Cumulative Purple line graph – Cumulative Net Buy/Sell value Option Net Cumulative Put Right in Index Options segment for Buy Option Buy/Sell

Value Label Color and chart Reference (Bottom to Meaning used (Right or Top) Left) BANKNIFTY - upto each time segment from begin of day Black line graph – Cumulative Call Option Buy/Sell Net Buy/Sell value in the Index FUTIDX Futures Segment – for each Green bar graph Left time segment Profit/loss in Index Options Segment for BANKNIFTY – for Pink colored bar Profit Left each time period (details in graph Annex-4) Cumulative profit/loss in the Index Options Segment for Blue colored line Cum. Profit Right BANKNIFTY – up to each time graph segment from begin of day Index Spot BANKNIFTY Spot Index Light Purple colored Price Left Movement line graph Net Delta exposure value for Delta Index Options Position in Red colored line Right Exposure BANKNIFTY (Details in Annex-graph 4)

15.55. Besides January 17, 2024, this “intraday index manipulation” pattern of trading in BANKNIFTY shares/ futures/ options was observed on 14 other days. The details of the other 14 days, in terms of an overall graphical representation of the JS Group activity, and tables detailing the quantum of their intervention in cash and futures markets during different patches (including as a percentage of Gross Traded Volume), the level of aggression of their intervention (as evidenced by order and trade LTP), and their trading activity and cash-equivalent positions in the index options segment are presented in Annexure 2. 15.56. The day-wise profits for the 15 days wherein the aforesaid “Intraday Index manipulation” strategy was employed by JS Group has been recorded in Table 44 of this Order. The total profit made by the JS Group in BANKNIFTY index options across the 15 days was INR 3,914 crores. Across these 15 days, in intraday trading in BANKNIFTY constituent stocks and futures, the JS Group incurred a loss of INR 199.7 crores.

16. “Extended Marking The Close” Strategy 16.1. The JS Group’s trading pattern constituting “extended marking the close strategy” is tabulated and summarized below, for ease of reference: Table 26 - Extended Marking the Close Strategy Time Segment Observed Activity Market Segment Low-volume, non-directional or 09:15 – 14:30 All segments passive trading Accumulation/ holding of significant 14:30 – 15:30 cash-equivalent positions in Index Index Options Options Aggressive and large directional intervention in Index constituent Cash + Stock Futures + 14:30 – 15:30 stocks and futures, to move the Index Futures market in a direction favourable to the large open positions in Index options Index closes at a level favourable for 15:30 Close the large positions of JS group in Index index options Post-Market Profits booked in Index Index Options

16.2. During the course of the extended examination, a different pattern from the earlier “Intraday Index manipulation pattern” was observed on July 10, 2024 and two other days, all of which also happened to be a BANKNIFTY expiry day. Unlike the January 17, 2024 pattern, which involved two distinct and opposite side trading patches in underlying BANKNIFTY stocks and futures, the trading activity on July 10, 2024 in BANKNIFTY constituent stocks and futures was concentrated almost entirely in the final phase of the trading session. This showed all characteristics of an extended “marking-the-close” strategy. This deviation prompted a closer examination of the said day and a further review of other dates with similar trading patterns. 16.3. ‘Extended marking the close’ refers to a manipulative trading practice where an entity aggressively places large buy or sell orders in the final moments of a trading session, with the specific intent of influencing the closing price of a security or index to its advantage. This practice is particularly concerning on derivative expiry days, as the closing price directly affects the settlement value of index-based contracts, thereby impacting payoffs for all market participants.

Typically, extended marking the close involves aggressive and large buying (or selling) of securities just before market close to push the price up (or down), to ensure the reference stock or the index sets at a level more favourable for even larger derivative positions that are being settled on that day. 16.4. Subsequent analysis revealed that JS Group engaged in sharply timed buy-side or sell-side activity in futures and stock segments during the closing window, when they held pre-existing large positions in weekly expiring index options. 16.5. In the context of July 10, 2024, data indicates that the BANKNIFTY index experienced a sharp decline in the final 45–60 minutes of the trading session, suggestive of aggressive sell orders in index constituents and their futures executed during that period. This downward price pressure appears to have been artificially induced by JS Group, with the objective of pushing down the expiry settlement price of the BANKNIFTY index. 16.6. Given that BANKNIFTY options expire based on the index's closing value, any last-minute price distortion including a push-down in Index value can yield significant economic advantage to entities holding enormous short Call or long Put positions.

Thus, the pattern seen on July 10, 2024 may represent a case of downward "extended marking the close". 16.7. Prima facie, Jane Street Group strategically built or retained short Call or long Put positions in BANKNIFTY options expiring the same day, and subsequently executed large and aggressive sell-side trades in underlying index constituents in stocks and futures in order to depress the BANKNIFTY index in the closing minutes. The resultant lower expiry value directly increased the profitability of their disproportionately large outstanding BANKNIFTY index options positions. 16.8. During the patch 14:30:00 to 15:30:00, Jane Street Group significantly sold off positions in BANKNIFTY constituent stocks in both the cash and stock futures markets. Further, significant sell-off activity was also observed in BANKNIFTY Index futures. The relevant data has been captured in succeeding paragraphs.

16.9. JS Group activities in the cash market of the BANKNIFTY constituent stocks Table 27 Jane Street Sell Group’s side Sell traded No. of TV in No. of side TV value Sell trade sell INR sell Sell trade in INR relative Sell quantity - Scrip Sell end trades Crs. – trades quantity – Crs. – to start Open High Low Close Jane time - Jane Jane – Market- Market-market-time Street Street Street Market-wide wide wide Group Group Group wide traded (B) value (in (A) %) (A/B) HDFCBANK 14:30:03 14:50:58 1623.6 1627.3 1623.3 1624.9 1,392 98,980 16.09 21,467 12,46,309 202.54 7.94% ICICIBANK 14:30:14 15:25:58 1245.15 1246.9 1240.4 1242.9 4,296 3,63,299 45.17 60,934 81,76,334 1,016.58 4.44% AXISBANK 14:31:00 14:52:23 1293.1 1293.8 1287.4 1289.5 399 24,506 3.16 11,978 5,86,743 75.77 4.18% SBIN 14:30:18 15:24:14 848 850.9 847.05 850.85 3,005 2,33,208 19.79 56,848 50,83,244 431.43 4.59% KOTAKBANK 14:30:12 15:27:17 1825.65 1837.9 1825 1834 2,572 1,59,133 29.11 45,830 23,49,128 429.71 6.77% INDUSINDBK 14:30:54 14:56:39 1421.9 1425.8 1421.5 1424.9 356 6,475 0.92 12,878 2,57,024 36.59 2.52% AUBANK 14:42:25 15:19:44 631.3 631.75 627.45 628.45 4,260 1,70,809 10.76 29,504 14,36,646 90.48 11.89% PNB 14:30:21 15:27:14 119.18 119.59 118.89 119.04 9,349 32,15,867 38.33 51,546 1,29,87,680 154.85 24.75%

16.10. JS Group activities in the stock futures market of the BANKNIFTY constituent stocks

Table 28 Jane Street Sell Group’s side Sell traded No. of Sell TV in No. of side TV value Sell sell trade INR sell Sell trade in INR relative Sell end Scrip Expiry start trades quantity Crs. – trades quantity – Crs. – to time Open High Low Close time - Jane - Jane Jane – Market- Market-market- Street Street Street Market-wide wide wide Group Group Group wide traded (B) value (in (A) %) (A/B) HDFCBANK 25-Jul-24 14:30:14 15:27:12 1630.85 1634.8 1630.8 1633.9 2,752 24,54,100 400.75 9,101 65,62,600 1,071.71 37.39% ICICIBANK 25-Jul-24 14:30:05 15:27:14 1245.55 1247.4 1242.6 1245.3 2,639 29,56,800 368.13 8,339 77,60,200 966.29 38.10% AXISBANK 25-Jul-24 14:30:07 15:26:48 1292.3 1294.6 1288.3 1290 2,099 16,97,500 219.27 5,755 43,90,000 567.16 38.66% SBIN 25-Jul-24 14:30:00 15:27:14 849.3 852.95 849 852.2 2,759 29,21,250 248.58 7,972 76,59,000 651.78 38.14% KOTAKBANK 25-Jul-24 14:30:03 15:27:15 1831.55 1840.8 1830.9 1837.6 1,395 7,54,000 138.32 4,159 20,02,400 367.36 37.65% INDUSINDBK 25-Jul-24 14:30:00 15:27:15 1422.85 1431 1422.7 1429.1 1,227 7,13,000 101.83 3,296 18,64,000 266.23 38.25% FEDERALBNK 25-Jul-24 14:30:29 15:27:03 188.87 190.18 188.7 189.01 993 55,70,000 105.40 2,606 1,46,50,000 277.28 38.01% BANKBARODA 25-Jul-24 14:30:29 15:27:11 256.85 258.15 256.45 257.4 1,233 41,12,550 105.81 3,200 1,04,77,350 269.64 39.24% IDFCFIRSTB 25-Jul-24 14:31:17 15:27:14 78.19 78.54 78.05 78.4 794 71,32,500 55.86 2,151 1,83,75,000 143.93 38.81% AUBANK 25-Jul-24 14:30:15 15:27:15 631.2 633.1 628.6 630.9 942 11,17,000 70.48 2,510 28,36,000 178.98 39.38% PNB 25-Jul-24 14:30:39 15:27:09 119.52 119.96 119.25 119.54 816 72,00,000 86.14 2,242 1,92,56,000 230.42 37.38%

16.11. JS Group activities in the BANKNIFTY index futures market:

Table 29 Jane Street Sell Group’s side Sell side traded No. of Sell TV in No. of Sell TV in value Sell sell trade INR sell trade INR Crs. relative Sell end Scrip Expiry start trades quantity Crs. – trades quantity – to time Open High Low Close time - Jane - Jane Jane – – Market-market- Street Street Street Market- Market-wide wide Group Group Group wide wide traded (B) value (in (A) %) (A/B) BANKNIFTY 31-Jul-24 14:30:23 15:29:54 52282.95 52371.8 52252 52311.5 2,526 1,40,655 735.86 15,787 5,63,940 2,950.42 24.94%

16.12. An examination of the Traded Volume (TV) data for July 10, 2024, reveals that Jane Street Group exhibited highly concentrated trading behaviour during the final leg of the trading session, in the BANKNIFTY constituent stocks – directly via both the cash and stock futures segments and indirectly via BANKNIFTY Index Futures. Specifically, during the impugned patch, the Group sold INR 163.33 Cr worth of shares in the cash segment, INR 1,900.57 Cr in single stock futures of Bank Nifty constituents, and INR 735.86 Cr in Bank Nifty index futures. Prima facie, as will be shown below, this cumulative INR 2,800 crore of large and aggressive intervention in BANKNIFTY related stocks and futures were with an intent to engineer a soft close in BANKNIFTY index on this expiry day, so as to benefit the much larger INR 44,153.87 crores of effective bearish cash-equivalent positions that JS Group was holding in the BANKNIFTY index options market at close. 16.13. During the first five hours of the trading day (09:15 to 14:30), the Group’s activity remained relatively muted in constituent stocks, with modest participation rates and no disproportionate footprint in any specific stock.

However, starting around 14:30 and intensifying sharply post 15:00, the Group's activity spiked dramatically. This was visible especially in the stock futures segment – where the Group's traded volume in all constituent stocks in the last 60 minutes accounted for more than 35% of the market-wide total traded value. Note that the Volume Weighted Average Price in the last 30 minutes of trading (between 15:00 and 15:30) is used to compute settlement prices. 16.14. The concentration in TV during the final 60 minutes, especially relative to the Group's own activity earlier in the day and to the total market volume strongly suggests a time-bound strategic execution plan. The disproportionate footprint in this narrow window of trading implies that these trades were not incidental or part of a normal liquidity-providing role, but rather carefully timed and scaled to exert impact on the price discovery process at a crucial closing time. 16.15. Moreover, the concentration was not random — it was targeted across most of the constituents of the BANKNIFTY index, which directly influence the BANKNIFTY index value as evident from Table 28 and Table 29. The selection of these scrips, along with the volume deployment in each, appears designed to maximize index-level influence with minimum capital outlay, a hallmark of structured index-level manipulation.

16.16. Such spike in market share, limited to a very specific time frame near market close, raises red flags when viewed in the context of derivative settlement mechanics, as the BANKNIFTY expiry is based on the last 30 minutes’ volume weighted average price (the closing price) of its constituents. The high GTV concentration at close, in scrips that determine the index, implies that the Jane Street Group may have attempted to steer the index closing value through targeted constituent-level trades.

16.17. The LTP analysis (pertaining to cash, stock futures and BANKNIFTY Index futures), capturing both order-level and trade-level dimensions, is placed in the following paragraphs for detailed reference.

16.18. In the cash market:

Table 30 - Order level LTP-based analysis19

Order Order price Order price price based LTP based LTP based LTP Order price impact for impact for No. of No. of impact for based net No. of No. of orders orders sell sell orders LTP impact* Sell order Sell order sell sell placed placed Scrip orders orders placed at start time end time orders orders above below LTP* above below LTP* (in INR) entered at LTP LTP* LTP LTP (in INR) (in INR) (A)+(B)+(C) (in INR) (C) (B) (A) HDFCBANK 14:30:03 14:50:58 992 107 535 350 13.75 - -45.40 -31.65 ICICIBANK 14:30:14 15:25:58 3132 410 1692 1030 51.20 - -140.70 -89.50 AXISBANK 14:31:00 14:52:23 284 24 192 68 3.85 - -9.05 -5.20 SBIN 14:30:18 15:24:14 1532 226 879 427 29.40 - -30.20 -0.80 KOTAKBANK 14:30:12 15:26:59 1448 137 913 398 22.15 - -75.40 -53.25 INDUSINDBK 14:30:54 14:56:39 225 20 139 66 4.30 - -8.00 -3.70 AUBANK 14:42:25 15:19:44 3376 715 1803 858 52.35 - -80.70 -28.35 PNB 14:30:21 15:27:14 4215 423 1411 2381 10.33 - -72.34 -62.01 *The figures are an aggregation of the difference between the “Order Limit Price” and the “Last Traded Price” at the time of order entry/ modification.

19 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.

Table 31 - Trade level LTP-based analysis

Trade price Trade price Trade price based LTP based LTP based LTP Trade price Trade price impact for impact for impact for No. of No. of based net based net No. of No. of trades trades trades sell sell LTP impact* LTP impact Sell trade Sell trade sell sell executed executed executed Scrip trades trades created by start time end time trades trades above LTP* at LTP* below LTP* above below (in INR) rest of the executed at LTP LTP LTP market (in INR) (in INR) (in INR) (A)+(B)+(C) participants20 (A) (B) (C) HDFCBANK 14:30:03 14:50:58 1392 107 936 349 13.90 - -45.05 -31.15 32.45 ICICIBANK 14:30:14 15:25:58 4296 418 2852 1026 52.25 - -139.30 -87.05 84.8 AXISBANK 14:31:00 14:52:23 399 24 306 69 3.90 - -9.10 -5.20 1.6 SBIN 14:30:18 15:24:14 3005 884 1696 425 134.15 - -30.05 104.10 -101.25 KOTAKBANK 14:30:12 15:27:17 2572 443 1718 411 82.15 - -75.60 6.55 1.8 INDUSINDBK 14:30:54 14:56:39 356 20 270 66 4.40 - -7.95 -3.55 6.55 AUBANK 14:42:25 15:19:44 4260 735 2652 873 56.15 - -79.80 -23.65 20.8 PNB 14:30:21 15:27:14 9349 458 6453 2438 11.17 - -72.31 -61.14 61 *The figures are an aggregation of the difference between the “Trade Price” and the “Last Traded Price.

20 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip), for the impact created by Jane Street’s trades.

16.19. In the stock futures market: Table 32 - Order level LTP-based analysis21 Order Order Order price price price based LTP based based LTP Order price impact for LTP impact for No. of No. of based net Sell No. of No. of orders impact for orders Sell sell sell LTP impact* order sell sell placed orders placed Scrip Expiry order orders orders start orders orders above placed at below end time above below (in INR) time entered at LTP LTP* LTP* LTP* LTP LTP (A)+(B)+(C) (in INR) (in INR) (in INR) (A) (B) (C) HDFCBANK 25-Jul-24 14:30:14 15:27:12 1860 191 429 1240 19.80 - -238.90 -219.10 ICICIBANK 25-Jul-24 14:30:05 15:27:14 1966 170 509 1287 16.20 - -202.65 -186.45 AXISBANK 25-Jul-24 14:30:07 15:26:48 1580 144 357 1079 15.10 - -213.05 -197.95 SBIN 25-Jul-24 14:30:00 15:27:14 1680 136 414 1130 9.90 - -151.80 -141.90 KOTAKBANK 25-Jul-24 14:30:03 15:27:15 1140 154 173 813 22.50 - -196.30 -173.80 INDUSINDBK 25-Jul-24 14:30:00 15:27:15 1006 88 150 768 10.85 - -164.15 -153.30 FEDERALBNK 25-Jul-24 14:30:29 15:27:03 703 79 120 504 2.12 - -21.72 -19.60 BANKBARODA 25-Jul-24 14:30:29 15:27:11 638 40 256 342 2.05 - -27.30 -25.25 IDFCFIRSTB 25-Jul-24 14:31:17 15:27:14 522 39 186 297 0.54 - -6.38 -5.84 AUBANK 25-Jul-24 14:30:15 15:27:15 701 70 158 473 6.15 - -63.65 -57.50 PNB 25-Jul-24 14:30:39 15:27:09 541 57 104 380 1.39 - -11.69 -10.30 *The figures are an aggregation of the difference between the “Order Limit Price” and the “Last Traded Price” at the time of order entry/ modification.

21 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.

Table 33 - Trade level LTP-based analysis Trade Trade Trade price price price based LTP based LTP Trade price based LTP Trade price impact for impact for based net No. of No. of impact for based net Sell Sell No. of No. of trades trades LTP sell sell trades LTP impact trade trade sell sell executed executed impact* Scrip Expiry trades trades executed created by start end trades trades above below above below at LTP* rest of the time time executed at LTP LTP* LTP* (in INR) LTP LTP market (in INR) participants22 (in INR) (in INR) (A)+(B)+(C) (B) (A) (C) HDFCBANK 25-Jul-24 14:30:14 15:27:12 2752 198 1307 1247 20.55 - -237.05 -216.50 219.55 ICICIBANK 25-Jul-24 14:30:05 15:27:14 2639 172 1183 1284 16.40 - -200.30 -183.90 183.65 AXISBANK 25-Jul-24 14:30:07 15:26:48 2099 146 861 1092 15.45 - -210.10 -194.65 192.35 SBIN 25-Jul-24 14:30:00 15:27:14 2759 140 1482 1137 10.10 - -150.90 -140.80 143.7 KOTAKBANK 25-Jul-24 14:30:03 15:27:15 1395 157 410 828 23.30 - -194.10 -170.80 176.85 INDUSINDBK 25-Jul-24 14:30:00 15:27:15 1227 92 363 772 11.40 - -162.60 -151.20 157.45 FEDERALBNK 25-Jul-24 14:30:29 15:27:03 993 81 405 507 2.15 - -21.47 -19.32 19.46 BANKBARODA 25-Jul-24 14:30:29 15:27:11 1233 41 845 347 2.10 - -27.20 -25.10 25.65 IDFCFIRSTB 25-Jul-24 14:31:17 15:27:14 794 39 456 299 0.54 - -6.35 -5.81 6.02 AUBANK 25-Jul-24 14:30:15 15:27:15 942 72 389 481 6.25 - -62.50 -56.25 55.95 PNB 25-Jul-24 14:30:39 15:27:09 816 62 368 386 1.44 - -11.56 -10.12 10.14 *The figures are an aggregation of the difference between the “Trade Price” and the “Last Traded Price” During this sell patch, the price impact in terms on the index after adjusting for weights of the constituents has been – 1,108.92 on the downside by JS entities and by all the other participants put together it was 1,182.71 on the upside, viz. indicative of strong downward price push created by JS entities.

22 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip), for the impact created by Jane Street’s trades.

16.20. In the BANKNIFTY Index futures market: Table 34- Order level LTP-based analysis23 Order Order Order price price price based LTP based based LTP Order price impact for LTP impact for No. of No. of based net Sell No. of No. of orders impact for orders Sell sell sell LTP impact* order sell sell placed orders placed Scrip Expiry order orders orders start orders orders above LTP* placed at below end time above below (in INR) time entered at LTP LTP* LTP* LTP LTP (in INR) (A)+(B)+(C) (in INR) (in INR) (A) (B) (C) BANKNIFTY 31-Jul-24 14:30:23 15:29:54 1856 366 331 1159 -2,273.25 427.00 - -2,700.25 Table 35 - Trade level LTP-based analysis Trade price Trade price Trade price Trade price based LTP based LTP based LTP based net Trade price impact for impact for impact for LTP impact No. of No. of based net Sell No. of No. of trades trades trades created by Sell sell sell LTP impact* trade sell sell executed executed executed rest of the Scrip Expiry trade trades trades start trades trades above LTP* at LTP* below LTP* market end time above below (in INR) time executed at LTP participants24 LTP LTP (in INR) (in INR) (in INR) (A)+(B)+(C) (A) (B) (C) BANKNIFTY 31-Jul-24 14:30:23 15:29:54 2526 383 952 1191 -2,200.55 443.95 - -2,644.50 2673.05

23 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data. 24 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip), for the impact created by Jane Street’s trades.

16.21. In this case, data indicates a clear pattern of aggressive selling below LTP by Jane Street Group across multiple heavy-weight stocks (in both cash and stock futures segment) in the BANKNIFTY index during the last 60 minutes of the session, notably from 14:30:00 onwards.

In stocks like ICICIBANK, HDFCBANK, SBIN, and AXISBANK, which carry substantial weight in the index, Jane Street was seen:  Executing a disproportionately high number of marketable sell orders, often at prices lower than the last traded price, and  Repeating this pattern across both the cash and futures segments, thereby magnifying the price impact.

For instance, (with respect to the aforementioned time segment i.e. 14:30:00 to 15:30:00):

In HDFCBANK (cash segment), Jane Street Group had executed approximately 92% of its total trades at prices below or at LTP, with a cumulative negative LTP impact of INR 45.05.

In HDFCBANK futures, Jane Street Group had executed approximately 93% of its total trades at prices below or at LTP, with a cumulative negative LTP impact of INR 237.05.

16.22. While significant focus has been placed on Jane Street Group's trading in BANKNIFTY constituent stocks (cash and stock futures), a parallel and equally important leg of the strategy was its execution in BANKNIFTY index futures. These trades, particularly during the final 60 minutes of trading on July 10, 2024, were executed well below the prevailing LTP and contributed directly to pushing down the index, thereby lowering the expiry settlement price, to favour their options position.

16.23. BANKNIFTY index futures are a highly liquid instrument, and trades in them can exert sentiment-driven influence on the index, especially when executed in large volumes near expiry. Moreover, futures prices tend to lead or reinforce movements in the underlying index. Therefore, deploying index futures aggressively on the sell side becomes an effective tool to amplify pressure on the benchmark level, especially when used in tandem with selling in constituent stocks.

16.24. Given the interrelationships, the combined effect of all these trades led to a sharp dip in the BANKNIFTY index, thereby pulling down its closing settlement value — the precise reference point used for the expiry of BANKNIFTY options. 16.25. Importantly, this LTP-impacting behaviour was not visible earlier in the day, where the Group’s trades were either marginal or non-influential in terms of LTP. The sudden emergence of directional, high-intensity sell-side activity in the final minutes to settlement points to a deliberate strategy intended to manipulate the closing price of the index, rather than to meet genuine liquidity or hedging objectives. 16.26. While the LTP analysis captures how Jane Street Group impacted prices in the underlying segment, it is equally important to understand why i.e., what positions they were trying to benefit. This necessitates examining the Jane Street Group’s options activity, specifically the rise of its delta exposure in BANKNIFTY options. 16.27. Data suggests that Jane Street Group maintained a relatively neutral delta position throughout most of the trading session, with no strong directional bias in either Calls or Puts. However, as it began to aggressively sell in the cash and futures segments of BANKNIFTY constituents, a corresponding build-up in negative delta was observed, indicating a bearish stance through either long Put or short Call positions. 16.28. Graphical analysis of trading and delta build-up for July 10, 2024 is placed below:

16.29. The graph above can be accessed through QR code given below:

16.30. On July 10, 2024, Jane Street Group’s delta profile exhibited a distinct two-phase structure:

Phase 1: Passive/Neutral Delta Throughout the Day (09:15 to ~14:45)

For most of the trading session, the Group’s delta exposure remained largely neutral, suggesting a non-directional or low-risk stance in BANKNIFTY options.

Phase 2: Sharp Build-Up in Negative Delta in Final 45–60 Minutes

Starting around 2:45 PM, coinciding precisely with the period when Jane Street Group began executing aggressive sell orders in BANKNIFTY index futures and constituent stocks, a sharp transition in delta was observed.

The Group accumulated significant negative delta exposure, predominantly through:  Buying Put options (which carry negative delta), and  Selling Call options (which also result in net negative delta).

This directional bet aligns seamlessly with Jane Street Group’s simultaneous activity in the underlying segment, where trades were placed at or below LTP in heavy-weight BANKNIFTY constituents, thereby reinforcing the bearish outlook.

16.31. The net negative delta exposure increased from INR 27,225.22 Cr at 14:30 to INR 44,153.87 Cr by market close. This INR 16,928.64 Cr shift in net delta took place within an hour, sharply contrasting with the stability seen earlier in the day. The timing of this delta shift was not coincidental. It perfectly overlapped with:  The initiation of aggressive sell-side trades in stocks and futures to the tune of INR 2,800 crores across segments,  A sharp decline in the BANKNIFTY index, and  The lead-up to expiry-time index settlement, which directly determines options settlement and payoff.

16.32. In summary, prima facie, JS Group undertook premeditated large and aggressive selling of INR 2,800 crores worth of BANKNIFTY constituent and related stocks and futures, to engineer a soft closing of BANKNIFTY on that expiry day, thereby helping them enjoy a benefit on the INR 44,153.87 crores of effective cash-equivalent short positions that JS Group held in BANKNIFTY index options expiring the same day.

16.33. On July 10, 2024, the Group’s GTV witnessed a spike similar to that of January 17, 2024, with total traded value being approximately 4 times that of the previous and 1.5 times that of the next day Table 36 GTV in INR Crores Cash Stock Futures BANKNIFTY Day Dates (A) (B) Index Total GTV (12 Futures (A)+(B)+(C) (12 Constituents) Constituents) (C) 1, 6 9 3. 0 1 T-1 09-Jul-24 103.20 1,589.81 - T 10-Jul-24 487.99 5,099.03 735.86 6,322.88 4, 0 5 1. 6 8 T+1 11-Jul-24 150.15 3,901.53 -

However, unlike January 17, the concentration of volumes was tightly clustered near market close, particularly between 14:30 and 15:30, reinforcing the prima facie conclusion of a single-patch expiry-close marking-the-close manipulation.

The steep fall (across segments) in activity on T+1 again indicates the expiry-centric nature of the activity.

16.34. The same pattern of ‘extended marking the close’ characterised by concentrated end-of-day activity in cash, stock futures, and index futures segments, coupled with aligned options positioning—was observed on 2 other Bank Nifty expiry days. The details of the other 2 days, in terms of an overall graphical representation of the JS Group activity, and tables detailing the quantum of their intervention in cash and futures markets during relevant patches around index expiry (including as a percentage of Gross Traded Volume), the level of aggression of their intervention (as evidenced by order and trade LTP), and their trading activity and cash-equivalent positions in the index options segment are presented in Annexure 3. 16.35. The day-wise profits for the 3 days wherein the aforesaid “Extended Marking the Close” strategy was employed by JS Group has been recorded in Table 44 of this Order. The total profit made by the JS Group in BANKNIFTY index options across the 3 days was INR 560 crores.

16.36. It is important to note, however, that this examination has so far been limited to select high-profit expiry days in the Bank Nifty index. There may exist similar patterns in other indices or trading behaviours reflecting alternate strategies which have not yet been analysed. Accordingly, many more trading days may merit detailed investigation to assess the full scope and recurrence of such conduct.

F. CONTINUING VIOLATION & DISREGARD FOR REGULATORY CAUTION 17. Recent instance of extended marking-the-close (as observed on May 15, 2025 - being weekly expiry of NIFTY option contracts) 17.1. As indicated earlier, as advised by SEBI, on February 6, 2025, the National Stock Exchange (“NSE”) issued a cautionary letter to Jane Street Singapore Pte Limited and its related entity, Jane Street Group Investments Pvt Ltd. The letter noted that the Group had been consistently engaging in trading patterns that raised serious concerns over market integrity, particularly around the expiry of index derivatives.

Relevant excerpts from the communication are reproduced below: “It was observed that you along with your related entity, Jane Street GroupI Investments Pvt Ltd, were running abnormally high delta positions in the index derivatives segment and correspondingly small net sentimental OI. Such large directional OI (delta) can cause risk to market stability and raises concern for market integrity especially around expiry of contracts wherein your related entity has traded in cash market to favour large open positions in options.

Such trading activity, prima-facie, raises concerns for market integrity on account of large delta positions in index derivatives, combined with concurrent act of taking and then reducing positions in the top constituents of the index through cash market / derivatives over a short period, to artificially influence the price of the index. It also creates an information asymmetry for other investors / traders in those constituents or derivatives contracts on index, who are not aware about such artifice and repeated occurrences of such instances cannot be considered as coincidence.

The above trading activity prima facie appears to be fraudulent and manipulative in terms of dealing in top constituents of index in cash market / futures segment and taking relatively large size contra position in options expiring on that day on the same index. In this connection, it is advised to exercise caution and refrain from taking large open positions (delta). It is further advised to refrain from aforementioned trading pattern and unwind such positions in a non-disruptive manner and report on a daily basis to us till further notice.” (emphasis supplied)

17.2. Despite the said letter, JS group has been seen to be running very large net cash-equivalent positions in Index Options. Disturbingly, on days such as on May 15, 2025 (an expiry day for NIFTY weekly options), JS group was seen not only running very large effective cash-equivalent long positions via NIFTY index options, it was also seen to be intervening heavily in NIFTY futures and NIFTY constituent stock futures at close to expiry.

17.3. The timing, scale, and construction of Jane Street Group’s positions and the trading on May 15, 2025, suggest that it continued deploying a weekly expiry-centric extended marking-the-close strategy even after all the regulatory red flags that had been shown prominently to them.

17.4. While the trading activity of Jane Street Group on May 15, 2025, an expiry day for weekly NIFTY index options, bears a structural resemblance to the strategy observed on July 10, 2024, there is a directional distinction. While July 10 involved a bearish “extended marking the close” strategy (and the trading activity of JS Group pushed the index pushed downward at close), the pattern on May 15 suggests a bullish variant, where Jane Street Group undertook trades in NIFTY and constituent futures to push the NIFTY index upward during the final 116 minutes of trading.

Table 37 - Tabular Flowchart – Intraday Strategy Executed by Jane Street Group Time Segment Observed Activity Market Segment Non-directional or passive 09:15 – 13:26 All segments trading Accumulation/ holding of long Calls and short Puts, resulting 13:26 – 15:25 in large effective long cash NIFTY Options equivalent positions in NIFTY Options Aggressive and relatively large scale buying in NIFTY index NIFTY Futures + 13:26 – 15:25 and constituent stock futures Stock Futures at or above LTP 15:30 Close NIFTY closes at a higher level Index Profit realised on even larger Post-Market Options bullish options positions

17.5. During the patch 13:26:00 to 15:30:00, Jane Street Group significantly bought positions in NIFTY constituent stocks in stock futures segment. Further, significant buy activity was also observed in NIFTY Index futures. The relevant data has been captured in succeeding paragraphs.

17.6. In the stock futures market: Table 38 Jane Street Buy Group’s side Buy side traded No. of TV in TV in Buy trade No. of value Buy buy INR INR Crs. Buy end quantity - buy Buy trade relative to Scrip Expiry start trades Crs. – – time Open High Low Close Jane trades – quantity – market-time - Jane Jane Market- Street Market- Market-wide wide Street Street wide Group wide traded Group Group value (in (B) %) (A) (A/B) ADANIENT 29-May-25 13:36:00 15:29:39 2,508.50 2,530.90 2,506.60 2,526.00 377 1,73,400 43.72 2,801 10,41,600 262.47 16.66% ADANIPORTS 29-May-25 13:26:09 15:29:52 1,398.40 1,411.60 1,396.60 1,402.70 669 4,20,800 59.16 4,673 23,30,000 327.53 18.06% APOLLOHOSP 29-May-25 13:35:51 15:27:00 7,000.00 7,110.50 7,000.00 7,109.00 357 62,750 44.33 2,350 3,32,375 234.84 18.87% ASIANPAINT 29-May-25 13:26:09 15:25:40 2,312.60 2,334.00 2,312.10 2,331.50 852 2,45,200 57.02 5,103 12,41,800 288.56 19.76% AXISBANK 29-May-25 13:26:22 15:29:34 1,208.00 1,218.90 1,207.50 1,210.60 1,140 11,20,000 135.78 6,893 50,96,250 617.82 21.98% BAJAJ-AUTO 29-May-25 13:26:57 15:26:09 8,225.00 8,395.00 8,220.50 8,352.00 508 68,850 57.41 4,352 4,35,225 362.55 15.83% BAJAJFINSV 29-May-25 13:26:13 15:27:00 2,035.70 2,058.00 2,033.90 2,052.10 419 2,80,000 57.43 2,359 13,02,000 266.97 21.51% BAJFINANCE 29-May-25 13:26:13 15:25:44 9,159.50 9,239.00 9,148.00 9,220.00 709 1,30,750 120.49 4,389 6,62,625 610.18 19.75% BEL 29-May-25 13:26:09 15:29:23 348.40 351.90 348.00 350.65 448 21,46,050 75.22 4,564 1,59,08,700 557.27 13.50% BHARTIARTL 29-May-25 13:26:08 15:25:37 1,851.20 1,871.30 1,850.00 1,871.00 1,548 10,60,200 197.64 8,577 45,92,775 855.97 23.09% CIPLA 29-May-25 13:26:44 15:24:58 1,492.70 1,518.30 1,492.20 1,507.70 664 2,79,825 42.21 3,722 13,73,125 207.04 20.39% COALINDIA 29-May-25 13:26:15 15:25:30 403.30 407.55 402.90 404.95 671 11,77,050 47.80 3,936 52,99,350 215.13 22.22% DRREDDY 29-May-25 13:26:30 15:28:57 1,222.70 1,236.50 1,222.50 1,230.30 352 3,29,375 40.59 2,453 17,34,375 213.59 19.00% EICHERMOT 29-May-25 13:26:42 15:26:09 5,479.00 5,563.50 5,443.00 5,495.00 384 96,775 53.38 4,721 9,16,475 505.29 10.57% ETERNAL 29-May-25 13:26:10 15:26:10 240.67 246.10 240.00 242.59 1,185 38,24,000 93.09 7,919 1,98,68,000 483.45 19.26% GRASIM 29-May-25 13:26:45 15:25:25 2,777.00 2,832.90 2,776.10 2,825.30 424 2,07,500 58.49 3,549 10,95,750 308.62 18.95% HCLTECH 29-May-25 13:26:06 15:29:49 1,680.50 1,704.70 1,680.00 1,692.40 971 6,14,600 104.34 9,337 38,09,400 646.16 16.15% HDFCBANK 29-May-25 13:26:09 15:29:34 1,931.00 1,947.10 1,930.80 1,938.20 2,624 21,14,200 410.27 14,187 93,19,750 1,808.43 22.69% HDFCLIFE 29-May-25 13:26:06 15:29:00 747.10 754.30 746.45 751.40 334 5,41,200 40.71 2,324 29,17,200 219.29 18.56% HEROMOTOCO 29-May-25 13:35:59 15:25:38 4,294.00 4,324.40 4,284.70 4,321.70 375 83,400 35.96 5,980 10,53,450 454.25 7.92% HINDALCO 29-May-25 13:26:15 15:25:53 659.90 664.40 659.05 661.00 326 8,35,800 55.35 3,709 61,64,200 408.14 13.56%

Jane Street Buy Group’s side Buy side traded No. of TV in TV in Buy trade No. of value Buy buy INR INR Crs. Buy end quantity - buy Buy trade relative to Scrip Expiry start trades Crs. – – time Open High Low Close Jane trades – quantity – market-time - Jane Jane Market- Street Market- Market-wide wide Street Street wide Group wide traded Group Group value (in (B) %) (A) (A/B) HINDUNILVR 29-May-25 13:26:06 15:29:33 2,363.30 2,377.00 2,361.60 2,364.00 717 2,93,700 69.54 3,731 12,73,800 301.59 23.06% ICICIBANK 29-May-25 13:26:06 15:28:44 1,442.00 1,458.20 1,441.50 1,453.50 2,466 28,58,100 415.21 15,873 1,32,04,800 1,917.42 21.65% INDUSINDBK 29-May-25 13:51:20 15:25:31 780.20 783.30 777.20 780.95 340 2,77,500 21.66 4,206 25,79,500 201.26 10.76% INFY 29-May-25 13:26:10 15:27:16 1,598.40 1,620.60 1,596.90 1,612.50 2,085 15,25,200 246.10 13,958 69,30,800 1,117.61 22.02% ITC 29-May-25 13:26:06 15:29:53 431.15 434.30 430.75 432.30 812 20,75,200 89.79 4,965 96,57,600 417.80 21.49% JIOFIN 29-May-25 13:26:36 15:25:51 271.00 274.70 271.00 274.25 527 14,48,700 39.57 3,882 78,45,750 214.33 18.46% JSWSTEEL 29-May-25 13:26:40 15:26:05 1,025.70 1,041.50 1,025.70 1,039.50 496 5,62,950 58.36 3,653 29,56,500 306.34 19.05% KOTAKBANK 29-May-25 13:26:10 15:25:49 2,094.10 2,114.20 2,093.50 2,107.20 908 5,40,000 113.85 5,268 24,05,200 506.98 22.46% LT 29-May-25 13:26:40 15:29:46 3,605.60 3,654.90 3,603.80 3,622.00 1,824 4,51,350 164.06 10,532 20,08,800 730.03 22.47% M&M 29-May-25 13:26:06 15:28:23 3,139.00 3,179.30 3,136.90 3,140.00 1,137 3,09,575 97.87 6,977 15,62,925 493.78 19.82% MARUTI 29-May-25 13:26:06 15:29:53 12,791.00 12,967.00 12,787.00 12,877.00 871 77,750 100.45 7,359 4,50,600 581.47 17.28% NESTLEIND 29-May-25 13:26:10 15:25:37 2,390.90 2,409.00 2,389.70 2,397.20 406 1,30,800 31.38 2,585 5,99,000 143.70 21.83% NTPC 29-May-25 13:26:31 15:29:07 338.00 344.85 338.00 342.60 809 20,14,500 69.07 5,280 94,12,500 322.40 21.42% ONGC 29-May-25 13:26:09 15:26:03 246.58 249.20 246.36 247.74 622 19,69,275 48.83 3,632 83,87,225 207.91 23.49% POWERGRID 29-May-25 13:26:27 15:26:04 295.70 301.40 295.70 299.95 664 20,08,800 60.25 4,410 96,13,800 288.05 20.92% RELIANCE 29-May-25 13:26:09 15:27:26 1,438.30 1,463.10 1,437.80 1,456.60 3,665 31,75,500 461.80 23,145 1,44,91,000 2,106.19 21.93% SBILIFE 29-May-25 13:26:15 15:25:27 1,771.90 1,790.20 1,771.50 1,783.40 388 2,24,625 40.10 2,615 10,95,750 195.50 20.51% SBIN 29-May-25 13:26:40 15:29:49 788.80 796.90 787.90 794.90 1,716 25,59,000 202.73 14,171 1,46,65,500 1,162.26 17.44% SHRIRAMFIN 29-May-25 13:26:30 15:25:56 671.65 680.85 671.25 675.55 559 6,96,000 47.08 4,504 40,38,000 273.01 17.24% SUNPHARMA 29-May-25 13:26:06 15:25:49 1,721.50 1,746.10 1,720.20 1,743.00 1,027 5,44,250 94.67 6,118 25,46,600 442.68 21.39% TATACONSUM 29-May-25 13:26:35 15:29:45 1,141.10 1,154.90 1,140.70 1,143.50 388 2,71,776 31.22 2,482 12,82,272 147.24 21.20% TATAMOTORS 29-May-25 13:26:34 15:17:40 726.75 731.15 725.05 731.05 1,114 10,23,550 74.49 10,802 74,58,000 543.04 13.72% TATASTEEL 29-May-25 13:26:22 15:25:28 157.15 158.03 157.12 157.48 501 46,36,500 73.07 4,040 2,80,55,500 442.00 16.53% TCS 29-May-25 13:26:06 15:29:34 3,568.00 3,604.40 3,564.20 3,585.80 1,283 3,75,900 134.98 7,709 16,81,400 603.60 22.36%

Jane Street Buy Group’s side Buy side traded No. of TV in TV in Buy trade No. of value Buy buy INR INR Crs. Buy end quantity - buy Buy trade relative to Scrip Expiry start trades Crs. – – time Open High Low Close Jane trades – quantity – market-time - Jane Jane Market- Street Market- Market-wide wide Street Street wide Group wide traded Group Group value (in (B) %) (A) (A/B) TECHM 29-May-25 13:26:24 15:23:15 1,627.30 1,638.10 1,624.00 1,630.10 410 3,78,600 61.84 2,566 17,52,000 286.05 21.62% TITAN 29-May-25 13:26:09 15:29:22 3,633.10 3,669.00 3,606.00 3,632.00 542 1,48,050 54.15 4,191 8,28,100 302.58 17.90% TRENT 29-May-25 13:26:10 15:25:48 5,478.00 5,652.00 5,475.50 5,588.00 827 1,33,300 74.28 9,731 12,05,500 672.19 11.05% ULTRACEMCO 29-May-25 13:26:10 15:25:27 11,859.00 11,949.00 11,839.00 11,915.00 536 50,200 59.82 3,753 2,32,800 277.30 21.57% WIPRO 29-May-25 13:35:52 15:25:34 255.19 257.74 255.19 256.80 385 17,28,000 44.36 2,442 86,16,000 221.15 20.06%

17.7. In the NIFTY Index futures market:

Table 39 Jane Street Group’s Buy Buy side traded side TV No. of Buy No. of Buy TV in value in INR Buy Buy buy trade buy trade INR Crs. relative Crs. – Scrip Expiry start end trades quantity trades quantity – to Open High Low Close Jane time time - Jane - Jane – – Market-market- Street Street Street Market- Market-wide wide Group Group Group wide wide traded (B) value (in (A) %) (A/B) NIFTY 29-May- 13:44:26 15:05:35 25,010.00 25,144.90 25,002.00 25,101.00 5,213 9,98,100 2,505.28 32,112 40,09,200 10,062.88 24.90% 25

17.8. An analysis of the Traded Value of Jane Street Group on May 15, 2025, reveals a pattern of highly concentrated activity during the final hours of trading, particularly in the futures segment of NIFTY constituent stocks. This pattern closely resembles a bullish expiry-day strategy, wherein the participant aggressively builds directional exposure in the latter half of the session to influence the index value at settlement.

17.9. Between 13:26:00 and 15:30:00, the Group’s stock futures trades surged to a total of INR 4,910.96 Cr, representing a disproportionately large share of the market-wide traded value in several key NIFTY stocks.

Key data points from this patch include:

 HDFCBANK (Futures): INR 410.27 Cr, constituting 22.69% of market-wide traded value  ICICIBANK (Futures): INR 415.21 Cr (21.65%)  RELIANCE (Futures): INR 461.80 Cr (21.93%)  INFY (Futures): INR 246.10 Cr (22.02%)  BHARTIARTL (Futures): INR 197.64 Cr (23.09%)

17.10. This spike in directional trading volume during the expiry-critical patch not only reflects an abnormal deviation from typical intraday volume curves, but also raises strong suspicion that the activity was designed to exert influence on index settlement, especially given its temporal alignment with Jane Street’s even larger derivative positions in expiring NIFTY options.

17.11. While the aforementioned data reveals where and when Jane Street concentrated its trading efforts, it is equally important to evaluate how these trades impacted market prices. Specifically, the placement of trades at, above, or below prevailing Last Traded Prices (LTP) determines whether the activity had a price-driving effect, thereby altering the index level itself.

17.12. Following the identification of high-volume, expiry-window trading activity by Jane Street Group across NIFTY constituents, it becomes imperative to assess the price impact of such trades. For this purpose, an LTP-based analysis was undertaken to evaluate whether Jane Street's trades exerted a directional influence on market prices, particularly in the expiry-determining window.

17.13. In the NIFTY constituent stock futures market:

Table 40- Order level LTP-based analysis25 Order Order price Order price price based LTP based LTP based LTP Order price impact for impact for No. of No. of impact for based net Buy Buy No. of No. of orders orders buy buy orders LTP impact* order order buy buy placed placed Scrip Expiry orders orders placed at start end orders orders above LTP* below LTP* above below LTP* (in INR) time time entered at LTP LTP LTP (in INR) (in INR) (in INR) (A)+(B)+(C) (A) (C) (B) ADANIENT 29-May-25 13:36:00 15:29:39 204 95 94 15 50.80 - -7.00 43.80 ADANIPORTS 29-May-25 13:26:09 15:29:37 341 127 191 23 37.20 - -10.20 27.00 APOLLOHOSP 29-May-25 13:35:51 15:27:00 194 81 98 15 144.50 - -12.50 132.00 ASIANPAINT 29-May-25 13:26:09 15:25:40 491 188 246 57 69.20 - -13.30 55.90 AXISBANK 29-May-25 13:26:22 15:29:34 553 157 284 112 38.70 - -25.70 13.00 BAJAJ-AUTO 29-May-25 13:26:57 15:26:09 296 117 154 25 184.50 - -38.00 146.50 BAJAJFINSV 29-May-25 13:26:13 15:27:00 225 92 86 47 46.10 - -24.40 21.70 BAJFINANCE 29-May-25 13:26:13 15:25:43 360 127 158 75 203.00 - -118.00 85.00 BEL 29-May-25 13:26:09 15:29:21 183 64 108 11 5.70 - -0.95 4.75 BHARTIARTL 29-May-25 13:26:08 15:25:37 703 179 341 183 38.00 - -48.60 -10.60 CIPLA 29-May-25 13:26:44 15:24:51 331 112 193 26 37.40 - -4.60 32.80 COALINDIA 29-May-25 13:26:15 15:25:25 278 90 167 21 7.75 - -1.35 6.40 DRREDDY 29-May-25 13:26:17 15:28:55 192 81 101 10 25.40 - -2.10 23.30 EICHERMOT 29-May-25 13:26:42 15:26:08 182 74 85 23 136.00 - -197.50 -61.50 ETERNAL 29-May-25 13:26:10 15:26:07 635 271 248 116 15.29 - -5.27 10.02 GRASIM 29-May-25 13:26:45 15:25:25 276 114 148 14 72.10 - -11.40 60.70 HCLTECH 29-May-25 13:26:06 15:29:49 504 185 281 38 48.20 - -8.50 39.70 HDFCBANK 29-May-25 13:26:09 15:29:34 1212 402 610 200 88.40 - -48.50 39.90

25 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data.

Order Order price Order price price based LTP based LTP based LTP Order price impact for impact for No. of No. of impact for based net Buy Buy No. of No. of orders orders buy buy orders LTP impact* order order buy buy placed placed Scrip Expiry orders orders placed at start end orders orders above LTP* below LTP* above below LTP* (in INR) time time entered at LTP LTP LTP (in INR) (in INR) (in INR) (A)+(B)+(C) (A) (C) (B) HDFCLIFE 29-May-25 13:26:06 15:29:00 168 67 89 12 10.95 - -1.30 9.65 HEROMOTOCO 29-May-25 13:35:59 15:25:38 178 72 90 16 41.10 - -6.50 34.60 HINDALCO 29-May-25 13:26:15 15:25:53 181 78 85 18 12.85 - -2.80 10.05 HINDUNILVR 29-May-25 13:26:06 15:29:31 320 128 173 19 50.00 - -4.70 45.30 ICICIBANK 29-May-25 13:26:06 15:28:44 987 270 637 80 43.80 - -10.90 32.90 INDUSINDBK 29-May-25 13:51:20 15:25:31 188 64 100 24 9.85 - -2.20 7.65 INFY 29-May-25 13:26:10 15:27:16 995 347 571 77 72.30 - -15.80 56.50 ITC 29-May-25 13:26:06 15:29:47 329 116 188 25 11.45 - -1.60 9.85 JIOFIN 29-May-25 13:26:36 15:25:44 217 56 147 14 4.95 - -0.75 4.20 JSWSTEEL 29-May-25 13:26:40 15:26:01 267 95 153 19 24.00 - -3.20 20.80 KOTAKBANK 29-May-25 13:26:10 15:25:49 449 181 231 37 61.70 - -8.90 52.80 LT 29-May-25 13:26:40 15:29:46 951 398 489 64 210.40 - -21.90 188.50 M&M 29-May-25 13:26:06 15:28:23 593 241 287 65 94.30 - -40.40 53.90 MARUTI 29-May-25 13:26:06 15:29:53 392 102 240 50 233.00 - -120.00 113.00 NESTLEIND 29-May-25 13:26:10 15:25:37 236 109 104 23 46.30 - -7.80 38.50 NTPC 29-May-25 13:26:31 15:29:07 327 105 198 24 9.55 - -1.65 7.90 ONGC 29-May-25 13:26:09 15:26:01 343 142 178 23 5.44 - -0.78 4.66 POWERGRID 29-May-25 13:26:27 15:26:04 328 100 200 28 8.40 - -2.20 6.20 RELIANCE 29-May-25 13:26:09 15:27:26 1183 363 728 92 56.90 - -13.90 43.00 SBILIFE 29-May-25 13:26:15 15:25:27 226 82 124 20 26.20 - -6.30 19.90 SBIN 29-May-25 13:26:40 15:29:49 822 266 491 65 32.35 - -5.20 27.15 SHRIRAMFIN 29-May-25 13:26:30 15:25:54 321 110 194 17 18.15 - -1.95 16.20 SUNPHARMA 29-May-25 13:26:06 15:25:47 498 220 242 36 57.70 - -7.30 50.40 TATACONSUM 29-May-25 13:26:35 15:29:45 220 86 124 10 23.90 - -2.90 21.00 TATAMOTORS 29-May-25 13:26:32 15:17:40 454 155 264 35 15.30 - -3.30 12.00 TATASTEEL 29-May-25 13:26:22 15:25:28 307 126 157 24 4.09 - -0.69 3.40

Order Order price Order price price based LTP based LTP based LTP Order price impact for impact for No. of No. of impact for based net Buy Buy No. of No. of orders orders buy buy orders LTP impact* order order buy buy placed placed Scrip Expiry orders orders placed at start end orders orders above LTP* below LTP* above below LTP* (in INR) time time entered at LTP LTP LTP (in INR) (in INR) (in INR) (A)+(B)+(C) (A) (C) (B) TCS 29-May-25 13:26:06 15:29:34 696 290 351 55 167.40 - -20.50 146.90 TECHM 29-May-25 13:26:24 15:23:15 257 110 124 23 38.20 - -4.10 34.10 TITAN 29-May-25 13:26:09 15:29:21 328 115 168 45 66.90 - -66.80 0.10 TRENT 29-May-25 13:26:10 15:25:48 404 136 232 36 176.50 - -39.00 137.50 ULTRACEMCO 29-May-25 13:26:10 15:25:27 258 77 157 24 205.00 - -43.00 162.00 WIPRO 29-May-25 13:35:52 15:25:33 241 112 107 22 5.75 - -0.52 5.23 *The figures are an aggregation of the difference between the “Order Limit Price” and the “Last Traded Price” at the time of order entry/ modification.

Table 41- Trade level LTP-based analysis Trade price Trade price Trade price based LTP based LTP based LTP Trade price Trade price impact for impact for impact for No. of No. of based net based net Buy No. of trades trades trades Buy No. of buy buy buy LTP impact* LTP impact trade buy executed executed at executed Scrip Expiry trade trades trades trades created by start trades above LTP* LTP* below LTP* end time executed above below (in INR) rest of the time at LTP LTP LTP market (in INR) (in INR) (in INR) (A)+(B)+(C) participants26 (A) (B) (C) ADANIENT 29-May-25 13:36:00 15:29:39 377 99 242 36 50.30 - -9.90 40.40 -22.9 ADANIPORTS 29-May-25 13:26:09 15:29:52 669 131 495 43 36.90 - -9.60 27.30 -23 APOLLOHOSP 29-May-25 13:35:51 15:27:00 357 79 256 22 138.00 - -18.50 119.50 -10.5 ASIANPAINT 29-May-25 13:26:09 15:25:40 852 185 566 101 67.10 - -23.60 43.50 -24.6 AXISBANK 29-May-25 13:26:22 15:29:34 1140 148 803 189 36.20 - -36.90 -0.70 3.3 BAJAJ-AUTO 29-May-25 13:26:57 15:26:09 508 119 334 55 186.50 - -95.00 91.50 35.5 BAJAJFINSV 29-May-25 13:26:13 15:27:00 419 84 268 67 41.40 - -24.50 16.90 -0.5 BAJFINANCE 29-May-25 13:26:13 15:25:44 709 117 470 122 190.00 - -168.00 22.00 38.5 BEL 29-May-25 13:26:09 15:29:23 448 62 341 45 5.60 - -3.90 1.70 0.55 BHARTIARTL 29-May-25 13:26:08 15:25:37 1548 166 1103 279 35.60 - -63.60 -28.00 47.8 CIPLA 29-May-25 13:26:44 15:24:58 664 115 494 55 37.30 - -10.30 27.00 -12 COALINDIA 29-May-25 13:26:15 15:25:30 671 88 524 59 7.55 - -4.20 3.35 -1.7 DRREDDY 29-May-25 13:26:30 15:28:57 352 80 239 33 25.00 - -8.70 16.30 -8.7 EICHERMOT 29-May-25 13:26:42 15:26:09 384 76 262 46 135.50 - -66.50 69.00 -53 ETERNAL 29-May-25 13:26:10 15:26:10 1185 266 715 204 13.70 - -5.96 7.74 -5.82 GRASIM 29-May-25 13:26:45 15:25:25 424 113 262 49 71.70 - -19.90 51.80 -3.5 HCLTECH 29-May-25 13:26:06 15:29:49 971 183 702 86 47.50 - -18.50 29.00 -17.1 HDFCBANK 29-May-25 13:26:09 15:29:34 2624 386 1927 311 83.40 - -66.80 16.60 -9.4 HDFCLIFE 29-May-25 13:26:06 15:29:00 334 67 245 22 10.60 - -2.40 8.20 -3.9 HEROMOTOC 13:35:59 15:25:38 375 73 265 37 41.20 - -14.60 26.60 1.1 O 29-May-25 HINDALCO 29-May-25 13:26:15 15:25:53 326 78 215 33 12.85 - -4.75 8.10 -7 HINDUNILVR 29-May-25 13:26:06 15:29:33 717 129 525 63 49.80 - -14.50 35.30 -34.6 26 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip), for the impact created by Jane Street’s trades.

Trade price Trade price Trade price based LTP based LTP based LTP Trade price Trade price impact for impact for impact for No. of No. of based net based net Buy No. of trades trades trades Buy No. of buy buy buy LTP impact* LTP impact trade buy executed executed at executed Scrip Expiry trade trades trades trades created by start trades above LTP* LTP* below LTP* end time executed above below (in INR) rest of the time at LTP LTP LTP market (in INR) (in INR) (in INR) (A)+(B)+(C) participants26 (A) (B) (C) ICICIBANK 29-May-25 13:26:06 15:28:44 2466 270 1920 276 43.70 - -40.90 2.80 8.7 INDUSINDBK 29-May-25 13:51:20 15:25:31 340 67 223 50 9.60 - -5.15 4.45 -3.7 INFY 29-May-25 13:26:10 15:27:16 2085 346 1510 229 71.00 - -42.70 28.30 -14.2 ITC 29-May-25 13:26:06 15:29:53 812 116 601 95 11.40 - -7.30 4.10 -2.95 JIOFIN 29-May-25 13:26:36 15:25:51 527 57 430 40 4.95 - -2.70 2.25 1 JSWSTEEL 29-May-25 13:26:40 15:26:05 496 97 348 51 23.80 - -10.70 13.10 0.7 KOTAKBANK 29-May-25 13:26:10 15:25:49 908 185 600 123 60.60 - -29.60 31.00 -17.9 LT 29-May-25 13:26:40 15:29:46 1824 401 1243 180 207.00 - -64.40 142.60 -126.2 M&M 29-May-25 13:26:06 15:28:23 1137 240 760 137 92.60 - -45.60 47.00 -46 MARUTI 29-May-25 13:26:06 15:29:53 871 104 659 108 233.00 - -186.00 47.00 39 NESTLEIND 29-May-25 13:26:10 15:25:37 406 112 256 38 45.10 - -12.70 32.40 -26.1 NTPC 29-May-25 13:26:31 15:29:07 809 106 638 65 9.55 - -4.50 5.05 -0.45 ONGC 29-May-25 13:26:09 15:26:03 622 143 431 48 5.38 - -1.46 3.92 -2.76 POWERGRID 29-May-25 13:26:27 15:26:04 664 100 487 77 8.40 - -5.85 2.55 1.7 RELIANCE 29-May-25 13:26:09 15:27:26 3665 360 2961 344 56.00 - -53.10 2.90 15.4 SBILIFE 29-May-25 13:26:15 15:25:27 388 82 269 37 26.00 - -14.80 11.20 0.3 SBIN 29-May-25 13:26:40 15:29:49 1716 269 1256 191 32.10 - -17.65 14.45 -8.35 SHRIRAMFIN 29-May-25 13:26:30 15:25:56 559 108 397 54 17.75 - -6.60 11.15 -7.25 SUNPHARMA 29-May-25 13:26:06 15:25:49 1027 221 730 76 56.90 - -14.80 42.10 -20.6 TATACONSU 13:26:35 15:29:45 388 83 282 23 23.60 - -5.20 18.40 -16 M 29-May-25 TATAMOTOR 13:26:34 15:17:40 1114 157 840 117 15.35 - -10.65 4.70 -0.4 S 29-May-25 TATASTEEL 29-May-25 13:26:22 15:25:28 501 125 328 48 3.99 - -1.23 2.76 -2.43 TCS 29-May-25 13:26:06 15:29:34 1283 293 849 141 165.20 - -50.30 114.90 -97.1 TECHM 29-May-25 13:26:24 15:23:15 410 110 253 47 37.20 - -9.80 27.40 -24.6 TITAN 29-May-25 13:26:09 15:29:22 542 113 347 82 63.60 - -39.60 24.00 -25.1 TRENT 29-May-25 13:26:10 15:25:48 827 137 590 100 168.50 - -90.50 78.00 32

Trade price Trade price Trade price based LTP based LTP based LTP Trade price Trade price impact for impact for impact for No. of No. of based net based net Buy No. of trades trades trades Buy No. of buy buy buy LTP impact* LTP impact trade buy executed executed at executed Scrip Expiry trade trades trades trades created by start trades above LTP* LTP* below LTP* end time executed above below (in INR) rest of the time at LTP LTP LTP market (in INR) (in INR) (in INR) (A)+(B)+(C) participants26 (A) (B) (C) ULTRACEMC 13:26:10 15:25:27 536 79 400 57 204.00 - -124.00 80.00 -24 O 29-May-25 WIPRO 29-May-25 13:35:52 15:25:34 385 112 238 35 5.73 - -0.94 4.79 -3.18 *The figures are an aggregation of the difference between the “Trade Price” and the “Last Traded Price” 17.14. In the NIFTY Index futures market:

Table 42 - Order level LTP-based analysis27 Order price Order price Order price based LTP based LTP based LTP Order price impact for impact for impact for No. of No. of based net Buy Buy No. of No. of orders orders orders buy buy LTP impact* order order buy buy placed placed at placed Scrip Expiry orders orders start end orders orders above LTP* LTP* below LTP* above below (in INR) time time entered at LTP LTP LTP (in INR) (in INR) (in INR) (A)+(B)+(C) (A) (B) (C) NIFTY 29-May-25 13:44:26 15:05:35 1926 669 1102 155 1,580.50 - -289.30 1,291.20 Table 43 - Trade level LTP-based analysis Trade price Trade price Trade price based LTP based LTP based LTP Trade price Trade price impact for impact for impact for based net No. of No. of based net Sell Sell No. of No. of trades trades trades LTP impact sell sell LTP impact* Scri trade trade sell sell executed executed at executed created by Expiry trades trades p start end trades trades above LTP* LTP* below LTP* rest of the above below (in INR) time time executed at LTP market LTP LTP (in INR) (in INR) (in INR) participants (A)+(B)+(C) 28 (A) (B) (C) NIFT 29-May- 13:44:26 15:05:35 5213 680 3742 791 1,578.00 - -1,239.80 338.20 Y 25

27 For this table, only orders that resulted in trades during the patch have been considered. Further, calendar spread orders have not been considered in aforementioned data. 28 The LTP impact attributable to the rest of the market was computed by adjusting the total price movement (vis-à-vis the respective scrip), for the impact created by Jane Street’s trades.

17.15. As can be seen from Table 40 to Table 43, in several key NIFTY constituents (futures segment), Jane Street’s trades were disproportionately skewed towards at or above LTP, consistent with an attempt to create upward price pressure. 17.16. This reveals a consistent behavioural pattern - Jane Street was not trading neutrally, but was placing trades in a manner that propped up the prices of index stocks during the final 2 hours of trading. 17.17. This pattern was not limited to constituent stock future alone. The Group was also observed to be actively trading in NIFTY index futures, particularly in the final hour of trading. Trading in index futures plays a strategic role in such expiry-day activity. Since index futures closely track the index and are highly liquid, they serve as an effective tool to amplify market sentiment, mirror or reinforce spot movement, and influence short-term index direction. Additionally, the settlement value of NIFTY options is ultimately tied to the closing index value, which itself is influenced by underlying constituent prices and index-linked futures sentiment. 17.18. JS Group’s trading in futures segment of all constituents in NIFTY with significant volume and LTP contribution suggests a deliberate approach to impact the broader index. Notably, this activity was absent in the cash segment, giving an impression of complying with regulatory caution (issued in February 2025) but actually manipulating the market through futures segment. 17.19. Thus, Jane Street's trading in index futures alongside its stock-level trades appears to be part of a coordinated approach to support the NIFTY index level near expiry. 17.20. While the LTP analysis captures how Jane Street potentially moved prices during the expiry window, it is necessary to understand why such price movement would be economically beneficial to the Group. This brings us to the delta profile of Jane Street’s derivative positions. 17.21. By analysing how Jane Street’s delta exposure evolved intraday, particularly in relation to its expiry positions, we can assess whether its underlying trades were coordinated to push the market in a direction that favoured its options payoff. A rising delta indicates a bullish exposure (long

Calls or short Puts), while a declining or negative delta suggests a bearish stance (long Puts or short Calls).

17.22. Graphical analysis of trading and delta build-up for May 15, 2025 is placed below:

17.23. The graph above can be accessed through the QR code given below:

17.24. The analysis of delta movement on May 15, 2025, reveals a clear two-phase structure in Jane Street’s exposure pattern:

Phase 1: Passive Delta Through Most of the Day (09:15 to 13:00)

During the majority of the trading session, the Group’s net delta position remained relatively low and passive, suggesting limited directional bias.

Phase 2: Aggressive Delta Build-Up in Bullish Direction (13:00 to 14:00)

Beginning around 13:00, Jane Street started to rapidly accumulate bullish delta exposure, aligned with its aggressive buying in index futures and stock futures.

The net NIFTY delta exposure moved from a negative level to a significantly positive value by close, supported by:

 Long NIFTY Calls, and  Short Puts.

Specifically, total NIFTY delta shifted from negative INR 17,125.75 Cr at open of trading session to positive INR 38,297.01 Cr at close, implying a directional swing of over INR 55,422.76 Cr.

For contracts expiring on May 15 itself, delta increased by INR 49,568.52 Cr intraday, with the steepest climb occurring during the last hour of trading.

17.25. This behaviour is particularly critical because it coincided precisely with the Group’s futures-led buying pressure in NIFTY constituents. By creating a scenario where the index rose into the close, and holding a long-cash equivalent position in short-dated options, Jane Street stood to gain substantially from the uplift in the index’s expiry value.

17.26. The temporal alignment between:  The sharp delta build-up in favour of a bullish market outcome,  The buying concentration in all constituent futures and index futures, and  The profit spike in the final leg of trading and at expiry, all point to a deliberately structured strategy. This was not passive hedging or opportunistic positioning. Rather, it appears to have been a planned trade design, wherein the underlying was influenced to suit the derivative exposure, reversing the natural price discovery flow.

17.27. Accordingly, the delta profile of May 15 reinforces the broader finding that Jane Street’s expiry-day conduct of aggressive and large purchases in NIFTY underlying stocks and index futures was intend to manipulate index levels higher at and around expiry, to maximise the profits from their much higher positions held in NIFTY index options. 17.28. The same pattern of ‘extended marking the close’ characterised by concentrated end-of-day activity in stock futures, and index futures segments, coupled with aligned options positioning—was observed on 2 other NIFTY options expiry days. The details of the other 2 days, in terms of an overall graphical representation of the JS Group activity, and tables detailing the quantum of their intervention in futures markets during relevant patches around index expiry (including as a percentage of Gross Traded Volume), the level of aggression of their intervention (as evidenced by order and trade LTP), and their trading activity and cash-equivalent positions in the index options segment are presented in Annexure 3. 17.29. The day-wise profits for the 3 days wherein the aforesaid “Extended Marking the Close” strategy was employed by JS Group in May 2025 has been recorded in Table 44 of this Order. The total profit made by the JS Group in NIFTY index options across the 3 days was INR 370 crores.

G. ALLEGED VIOLATIONS of SEBI ACT AND PFUTP REGULATIONS

18. Prima facie, the aforesaid trading patterns employed by the JS Group fall foul of regulation 4(2)(a) and 4(2)(e) of the PFUTP Regulations and the schemes as a whole are prima facie a fraudulent device prohibited by section 12A of the SEBI Act and regulations 3(a)-(d) and 4(1) of the PFUTP Regulations. The text of the said provisions is reproduced below:

SEBI Act: Prohibition of manipulative and deceptive devices, insider trading and substantial acquisition of securities or control

Section 12A. No person shall directly or indirectly— (a) use or employ, in connection with the issue, purchase or sale of any securities listed or proposed to be listed on a recognized stock exchange, any manipulative or deceptive device or contrivance in contravention of the provisions of this Act or the rules or the regulations made thereunder; (b)employ any device, scheme or artifice to defraud in connection with issue or dealing in securities which are listed or proposed to be listed on a recognised stock exchange; (c)engage in any act, practice, course of business which operates or would operate as fraud or deceit upon any person, in connection with the issue, dealing in securities which are listed or proposed to be listed on a recognised stock exchange, in contravention of the provisions of this Act or the rules or the regulations made thereunder. …. PFUTP Regulations: Prohibition of certain dealings in securities Regulation 3. No person shall directly or indirectly— (a) buy, sell or otherwise deal in securities in a fraudulent manner; (b) use or employ, in connection with issue, purchase or sale of any security listed or proposed to be listed in a recognized stock exchange, any manipulative or deceptive device or contrivance in contravention of the provisions of the Act or the rules or the regulations made thereunder; (c) employ any device, scheme or artifice to defraud in connection with dealing in or issue of securities which are listed or proposed to be listed on a recognized stock exchange; (d) engage in any act, practice, course of business which operates or would operate as fraud or deceit upon any person in connection with any dealing in or issue of securities which are listed or proposed to be listed on a recognized stock exchange in contravention of the provisions of the Act or the rules and the regulations made thereunder.

Prohibition of manipulative, fraudulent and unfair trade practices Regulation 4 (1) Without prejudice to the provisions of regulation 3, no person shall indulge in a fraudulent or an unfair trade practice in securities markets. Regulation 4 (2) Dealing in securities shall be deemed to be a fraudulent or an unfair trade practice if it involves any of the following– ... (a) knowingly indulging in an act which creates false or misleading appearance of trading in the securities market; (e) any act or omission amounting to manipulation of the price of a security including, influencing or manipulating the reference price or bench mark price of any securities; 19. Regulation 4(2)(a) deems any act to be manipulative or fraudulent if it creates false or misleading appearance of trading in the securities market. Regulation 4(2)(e) deems any act to be fraudulent or manipulative if it amounts to manipulation of the price of a security or manipulates the benchmark price of any securities. Indices reflect the price of a basket of securities, and price changes in the underlying securities concomitantly move the benchmark as well.

20. On 15 BANKNIFTY index option expiry days identified with ‘Intra-day Index Manipulation Strategy’ in this Order, in the first patch of the day, as has been clearly demonstrated by data and analysis, JS Group first aggressively bought significant quantities of BANKNIFTY underlying constituent stocks and futures, temporarily pushing up or lending considerable support to the BANKNIFTY index. In the second patch of the day, as has again been demonstrated by data and analysis, JS Group was seen to practically and effectively reverse all of this buying activity from the first patch, by aggressively selling large quantities of BANKNIFTY underlying constituent stocks and futures.

21. There is little or no economic rationale to justify such large and aggressive intraday trading activity in stocks and futures on a standalone basis. In fact, given the sheer size, aggression, manner of trading and transaction costs involved, standalone, such activities could more often than not end with net trading losses. Note that across the 15 days in question, JS Group booked a total intraday trading loss of INR 199.7 crores in their activities in the BANKNIFTY constituent cash stocks and futures markets.

22. By preponderance of probability, the only reasonable explanation for the sharp buying in BANKNIFTY constituent shares and futures in Patch I (with the effective impending reversal of all these trades in Patch 2 later in the day) is that it was designed to artificially manipulate the BANKNIFTY Index during Patch 1, and thereby artificially and temporarily moving the prices of BANKNIFTY calls and puts. JS Group certainly exploited this to the hilt, and as has been clearly demonstrated above in all 15 instances wherein they actively traded BANKNIFTY puts and BANKNIFTY calls during Patch I, at prices that were very advantageous to themselves, and to the detriment of other traders (including many small retail traders). During Patch I, JS Group effectively took on active opposite side positions in BANKNIFTY index that were significantly higher in magnitude than the quantum of their intervention in the underlying cash and futures markets.

23. Given the repetitive nature of this distinctive pattern over 15 days, by preponderance of probability, JS Group and its trading systems were clearly designed to reverse all of the significant and aggressive Patch I activity in BANKNIFTY stocks and futures during Patch 2, i.e., by the end of the day. Unlike other participants, the JS Group and its trading systems were aware, therefore, that the stock and BANKNIFTY prices were being influenced artificially for a short period of time by their own demonstrably large and aggressive actions in the underlying cash and futures markets. They were also aware that BANKNIFTY was very likely to reverse again by the end of the day, given the design to aggressively reverse all of their morning activity (and sometimes even more). However, other entities - including the many retail traders - who trade solely in BANKNIFTY index options and look to the extant BANKNIFTY level to price their options, were oblivious to this pattern unfolding. Consequently, they were induced to deal in options at a time during Patch I when the BANKNIFTY index and options markets were being artificially and temporarily influenced.

24. On the three other days during the examination period (i.e. on October 4, 2023, May 8, 2024, and July 10, 2024) that have been highlighted above, the data and analysis presented clearly shows that the JS Group pursuing an ‘extended marking the close strategy’. 'Extended Marking the close' refers to a manipulative trading practice where an entity aggressively places large buy or sell orders and trades towards the end of a trading session, with the specific intent of influencing the closing price of a security or index to its advantage. This practice is particularly concerning on derivative expiry days, as the closing price directly affects the settlement value of index-based contracts, thereby directly impacting payoffs for all market participants.

25. On all these three days, the JS Group was seen to be moving significant volumes (again, demonstrated clearly by percentage Gross Traded Volume, or GTV) in the underlying index constituent stocks and futures, very aggressively (as clearly demonstrated by the Last Traded Price or LTP analysis), to engineer a close in the index that was wholly favourable to their even larger effective positions in index options expiring the same day.

26. By preponderance of probability, there is no economic rationale that can account for this sudden burst of large and aggressive activity towards the close on expiry day, other than the intent to manipulate the price of securities and index benchmark, so as to engineer a favourable expiry for the even larger positions that the group was running in index options.

27. In addition, outside of the examination period on May 15, 2025, as has been highlighted and described above, JS Group was seen to be indulging prima facie in ‘extended marking the close’ of the NIFTY50 index, in order to benefit in the significant positions that they were carrying in the NIFTY50 index options market. As noted, this was in cynical defiance of the explicit Exchange communication to the JS Group in February 2025, and their own representations made to the Exchange in February 2025.

28. It is significant and worth noting that across all the 18 days identified in this order during the examination, JS Group booked profits of INR 4,474 crores in BANKNIFTY index options, while booking losses of INR 201 crores in their intraday trading in underlying BANKNIFTY constituent cash and futures segments. This further buttresses the argument that the demonstrably large and aggressive trading behaviour of JS Group in the BANKNIFTY constituent stocks and futures had little standalone economic rationale, other than to manipulate the prices of securities and benchmarks, to mislead, entice, or cause loss to the participants in the index options markets, so that the JS Group could in turn benefit immensely and illegally from the even larger positions that they were creating or carrying in index options. The immediate and proximate facts and circumstances, thus, lead to a logical and necessary inference that the large and aggressive trades were not executed in a vacuum or for ordinary hedging or arbitrage operations, but rather for an intricate and egregious manipulation of the prices of securities and benchmark indices for their own illegal gains, to the detriment of several lakhs of small market participants.

29. Note also that Regulation 20(4) of the FPI Regulations prohibits FPIs from netting of trades in the cash market which essentially means that they cannot sell shares before they are credited to their demat accounts or perform simultaneous buy and sell trades within the same day. The said regulation reads as follows: “(4) In respect of investments in the secondary market, the following additional conditions shall apply– (a)A foreign portfolio investor shall transact in the securities in India only on the basis of taking and giving delivery of securities purchased or sold; (b)Nothing contained in clause (a) shall apply to– (i)any transactions in derivatives on a recognized stock exchange; (ii)short selling transactions in accordance with the framework specified by the Board; ….”

30. JSI Investments Private Limited, the JS Group entity incorporated in India, executed intra-day trades in the cash segment during the examination period. The two FPIs forming part of the JS Group took large positions in futures and options segment. The intraday cash market transactions undertaken by the Indian entity consistently ended with large losses. It appears that the incorporation of the aforesaid company in India enabled the JS Group to get around the regulatory prohibition against cash market transactions which solely applied to FPIs, and thereby execute the manipulative scheme without specifically flouting the FPI Regulations.

31. Note further that during the entire examination period across all their trades, JS Group made a total profit of INR 36,502.12 crores across all segments. Within this, it is notable that the JS Group made profits of INR 43,289.33 crores in index and stock options, while they net lost INR 7,208 crores in stock futures, lost INR 191 crores in index futures, and lost INR 288 crores in trading in cash equities segment. The trading of the JS Group in BANKNIFTY and other indices on other days (i.e. other than the 18 days within the examination period and the recent instances of alleged manipulation on 3 days) during the examination period and beyond remain to be investigated.

32. Incurring losses in cash and futures market in a deliberate and systematic manner is itself unusual and indicative of fraud. The Hon’ble Supreme Court in the matter of SEBI vs. Rakhi Trading Pvt. Ltd. and other connected appeals decided on February 8, 2018 held the following: Judgement pronounced by Justice Kurian Joseph “35. Having regard to the fact that the dealings in the stock exchange are governed by the principles of fair play and transparency, one does not have to labour much on the meaning of unfair trade practices in securities. Contextually and in simple words, it means a practice which does not conform to the fair and transparent principles of trades in the stock market. In the instant case, one party booked gains and the other party booked a loss. Nobody intentionally trades for loss. An intentional trading for loss per se, is not a genuine dealing in securities. The platform of the stock exchange has been used for a non-genuine trade. Trading is always with the aim to make profits. But if one party consistently makes loss and that too in preplanned and rapid reverse trades, it is not genuine; it is an unfair trade practice. Securities market, as the 1956 Act provides in the preamble, does not permit 'undesirable transactions in securities'. … Orchestrated trades are a misuse of the market mechanism. It is playing the market and it affects the market integrity.” (emphasis supplied)

33. In the instant case, the series of trades executed by Jane Street Group demonstrate a pattern which, when viewed in its totality, indicates a prima facie intent to take unfair and undue advantage of the market structure and sentiments prevailing at the time.

34. In the Rakhi Trading case (supra), the Hon’ble Supreme Court has inter alia held as follows: “35. … Market manipulation is a deliberate attempt to interfere with the free and fair operation of the market and create artificial, false or misleading appearances with respect to the price, market, product, security and currency.” “36. … If the factum of manipulation is established, it will necessarily follow that the investors in the market have been induced to buy or sell and that no further proof in this regard is required.”

35. While one is not required to demonstrate ‘inducement’ to prove fraud once market manipulation is established, it is evident from the volumes and number of individual

PANs that have traded in index options for instance on January 17, 2024 (a BANKNIFTY expiry day) that by manipulating the index on expiry days, large number of participants are likely to have been induced to deal in index options at artificial prices. The massive profits by the JS Group in index options through these egregiously manipulative activities, to the detriment of other participants including many small retail traders, may well account for some part of the conclusions of SEBI’s earlier research report dated September 23, 2024 which revealed that 93% of over 1 crore individual F&O traders incurred losses during the three years from FY22 to FY24.

36. In view of all of the above, prima facie, I find that the Entities have violated section 12A (a), (b) and(c) of the SEBI Act, 1992; regulations 3(a), (b), (c), (d), 4(1) and 4(2)(a) and (e) of the PFUTP Regulations, 2003.

H. COMPUTATION OF ILLEGAL GAINS

37. The details of illegal gains made by the Entities in the index options segment on the impugned days is given in the Table below. The method of computation of illegal gains is explained in the Annexure 4. Table 44 Sr Manipulative Strategy No. Date Profit (in INR) Index adopted 1 31/08/2023 1,91,58,80,692 BANKNIFTY Intra-day Index Manipulation 2 13/09/2023 2,12,17,98,622 BANKNIFTY Strategy 3 20/09/2023 2,33,13,29,117 BANKNIFTY 4 28/09/2023 2,41,68,87,439 BANKNIFTY 5 04/10/2023 1,63,67,11,214 BANKNIFTY Extended marking the close 6 18/10/2023 3,17,32,61,362 BANKNIFTY Intra-day Index Manipulation 7 26/10/2023 2,59,12,21,492 BANKNIFTY Strategy 8 06/12/2023 1,50,90,17,742 BANKNIFTY 9 03/01/2024 1,64,65,18,393 BANKNIFTY 10 17/01/2024 7,34,92,69,578 BANKNIFTY 11 06/03/2024 1,97,04,91,842 BANKNIFTY 12 16/04/2024 1,70,27,29,601 BANKNIFTY 13 08/05/2024 1,71,00,78,602 BANKNIFTY Extended marking the close 14 15/05/2024 1,60,71,51,918 BANKNIFTY Intra-day Index Manipulation 15 29/05/2024 2,58,55,35,776 BANKNIFTY Strategy

Sr Manipulative Strategy No. Date Profit (in INR) Index adopted 16 19/06/2024 3,22,44,61,015 BANKNIFTY 17 03/07/2024 2,99,03,41,049 BANKNIFTY 18 10/07/2024 2,25,35,13,656 BANKNIFTY Extended marking the close 19 08/05/2025 3,06,65,621 NIFTY 20 15/05/2025 1,67,52,81,113 NIFTY 21 22/05/2025 1,99,36,24,324 NIFTY Grand Total 48,43,57,70,168

38. As noted earlier in this Order, on 15 BANKNIFTY index option expiry days identified with ‘Intra-day Index Manipulation Strategy’, in the first patch of the day JS Group first aggressively transacted significant quantities of BANKNIFTY underlying constituent stocks and futures, temporarily influencing the BANKNIFTY index. This was followed, in Patch 2, by an effective reversal of positions in BANKNIFTY underlying constituent stocks and futures. This resulted in, JS Group booking an intraday trading loss of a total of INR 199.7 crores across the aforesaid 15 days. This otherwise irrational loss was arising from trades that enabled JS Group to benefit immensely and illegally from the even larger positions that they were creating or carrying in index options. Clearly therefore, this ‘loss’ can only be viewed as a mala fide cost incurred by the JS Group to perpetrate their prima facie manipulative and fraudulent scheme.

39. In the case of Immix Trade Pvt Ltd. and Ors. v. SEBI (in the matter of Ruchi Soya Industries Ltd.), vide order dated November 10, 2023, the Hon’ble SAT held as follows: “Explanation to Section 11B of SEBI Act as inserted vide Securities Laws (Amendment) Act, 2014, clearly provides that :- “Explanation. - For the removal of doubts, it is hereby declared that the power to issue directions under this section shall include and always be deemed to have been included the power to direct any person, who made profit or averted loss by indulging in any transaction or activity in contravention of the provisions of this Act or regulations made thereunder, to disgorge an amount equivalent to the wrongful gain made or loss averted by such contravention.” 72. A reading of the aforesaid explanation shows that the law envisages disgorgement of profit / loss avoidance, made in violation of securities law, without any set-off of any expenses or loss suffered by the violator. Therefore, the contentions of the appellant that calculation of disgorgement amount should also take into consideration the amount of losses suffered by it is untenable.” (emphasis supplied)

40. Therefore, when computing illegal gains made by the JS Group, I find no reason to set off the losses made by the JS Group in the cash/futures market which were incurred as part of the manipulative device to influence the benchmark indices and profit from the positions taken in the index options.

I. NEED FOR INTERIM DIRECTIONS 41. I now proceed to determine whether any interim measures are warranted in the facts of this case. It is trite law that passing of interim directions require demonstrating the existence of a prima facie case, irreparable injury if interim directions are not passed, and a balance of convenience in favour of passing such directions.

Prima facie case 42. It has been shown above that at least on 21 days, the JS Group has prima facie engaged in illegal manipulation of the securities that comprise the BANKNIFTY and NIFTY indices, thereby vitiating market fairness and integrity, and illegally benefiting from their trading activities and positions in the index options markets.

43. I have already concluded above that that prima facie, the Entities have violated section 12A(a), (b) and(c) of the SEBI Act, 1992; regulations 3(a), (b), (c), (d), 4(1) and 4(2)(a) and (e) of the PFUTP Regulations, 2003. To that extent, I am satisfied that the first condition for passing interim directions has been satisfied.

Irreparable Injury Integrity of the Market: 44. Several decisions of the Hon’ble Supreme Court, High Courts and SAT have emphasized the need to maintain the integrity of the securities market. Some of the decisions with observations of the Hon’ble Supreme Court in this context and their extracts are reproduced below: (i) Subrata Roy Sahara vs. Union of India (UOI) and Ors. (06.05.2014 - SC)

Preservation of market integrity is extremely important for economic growth of this country and for national interest. Maintaining investors' confidence requires market integrity and control of market abuse. Market abuse is a serious financial crime which undermines the very financial structure of this country… (ii) N. Narayanan vs. Adjudicating Officer, SEBI (26.04.2013 - SC) Prevention of market abuse and preservation of market integrity is the hallmark of Securities Law... Securities market is based on free and open access to information, the integrity of the market is predicated on the quality and the manner on which it is made available to market… Message should go that our country will not tolerate "market abuse" and that we are governed by the "rule of law". Fraud, deceit, artificiality, SEBI should ensure, have no place in the securities market of this country and "market security" is our motto. (iii) Securities and Exchange Board of India vs. Kishore R. Ajmera (23.02.2016 - SC) The SEBI Act and the Regulations framed thereunder are intended to protect the interests of investors in the Securities Market which has seen substantial growth in tune with the parallel developments in the economy. Investors' confidence in the Capital/ Securities Market is a reflection of the effectiveness of the regulatory mechanism in force. All such measures are intended to pre-empt manipulative trading and check all kinds of impermissible conduct in order to boost the investors' confidence in the Capital market. The primary purpose of the statutory enactments is to provide an environment conductive to increased participation and investment in the securities market which is vital to the growth and development of the economy.

45. The prima facie finding is that that BANKNIFTY index- a major index of the securities market comprising 12 stocks of India’s major banks has prima facie been manipulated in a complex and illegal manner aided by the JS Group’s immense trading, financial and technological prowess. Thus there has been an egregious distortion of integrity and fairness in the securities market. Past instances of securities market violations have mostly involved individual stocks or segments. However, this is an unusual case where prima facie, multiple liquid stocks with high retail participation have together been manipulated to facilitate the manipulation of the index options market, resulting in massive profits for the manipulators, at the cost of other participants and retail traders.

46. The findings of an earlier research report by SEBI which inter alia states that 93% of retail investors made losses when trading in the options market now gains additional context. Such losses when juxtaposed with the abnormally high profits made by JS Group entities as a result of the prima facie manipulation of the cash, futures and options markets, is reflective of the deep damage that the group has inflicted through their illegal activities. Making profits while dealing in securities by itself is certainly not objectionable. Genuine trading strategies such as arbitraging or hedging or directional positioning are well accepted and cannot be found fault with. What is, however, unacceptable and illegal, is the use of egregious manipulative practices to create opportunities to manipulate markets, influence and manipulate indices, and artificially profiteer from such moves with their large trading and risk positions in index options markets.

Nature of entities, fund transfers and possibility of diversion of illegal gains:

47. Out of the 4 entities involved in this case, 2 entities – i.e. Jane Street Singapore Pte Ltd. And Jane Street Asia Trading Ltd. are registered FPIs, incorporated in Singapore and Hong Kong respectively. One entity, i.e. JSI Investments Private Limited is incorporated in India in December 2020 and located in Mumbai. It was wholly owned by Jane Street Europe Limited, a company incorporated in United Kingdom. JSI2 Investments Private Limited was incorporated in India in September 2024 and located in Mumbai. It was wholly owned by JSI Investments Private Limited. Note that the email sent by Jane Street to SEBI dated August 30, 2024, and the letter from Jane Street to NSE dated February 21, 2025, both indicate that all Jane Street Group entities dealing in Indian markets act collectively, and are overseen by senior personnel based overseas.

48. FPIs are permitted by law to deploy funds within specified limits and divest their holdings without any restrictions around repatriation. In the case of the JS Group entities, their core activity does not involve medium-term or long-term ‘investments’ as is generally understood. In fact, the average month end equity holdings of the FPIs in the JS Group, including from amongst the Entities, between January 2025 and May 2025 was INR 311 crores, which is a fraction of the quantum of enormous bursts of short-term equity-related risk that the JS Group is demonstrated to have taken on expiry days in index options. During the same period, the JS Group FPIs were instead holding on average INR 15,325 crores of India Government Securities, which served as necessary and essential cash-equivalent liquid margin for them to trade in F&O markets to the enormous extent that they did. In short, the small holdings in equity and the large holdings in cash-equivalent government bonds indicates that their business is to make profits from significant short-term High Frequency Trading (HFT) in the securities market. Nothing prevents these JS Group FPIs from liquidating these liquid assets and repatriating them from the country.

49. In addition, as has been argued before, during the examination period, the JS Group was seen to have profited heavily from their trading and positions in Index and Stock options, while they lost some money in their dealings in stock and index futures, and in cash equities. As has also been demonstrated in this order, JS Group appears to be most active on expiry days of index options. In short, unlike many FPIs that are investors primarily investing in the cash markets, JS Group is a short term trading entity, concentrating largely on index options trading rather than in equity investments.

50. For perspective, it would be useful to note as per data published in SEBI’s Analysis of Profits & Losses in the Equity Derivatives Segment (FY22-FY24)29 that out of 11,219 FPIs registered with SEBI as on March 31, 2024, only 2.50% of the FPIs are engaged in algorithmic trading. JS Group is part of this short term algorithmic trading community.

51. As noted earlier in this Order, it appears that the incorporation of the JSI Investments Private Limited in India enabled the JS Group to work around the regulatory prohibition in FPI Regulations against FPIs undertaking intraday cash market transactions, and thereby execute the manipulative scheme without specifically flouting the FPI Regulations.

52. Much of the enormous amount of trading and position taking in F&O by the JS Group have been undertaken by the FPIs in the JS group, and much of the profits arising from the prima facie manipulative schemes as identified in the 21 instances elaborated in this Order have also been booked by them. JS Group is a large multinational entity, controlled by managers residing outside of India. In fact, during the examination period, the net profits booked in the FPIs in the JS Group

29 https://www.sebi.gov.in/reports-and-statistics/research/sep-2024/study-analysis-of-profits-and-losses-in-the-equity-derivatives-segment-fy22-fy24-_86905.html amounted to INR 32,681 crores. The magnitude of this profit is significantly higher than the average quantum of assets held by these FPIs in India as of the month ends between January and May, 2025, indicating that these profits have been repatriated. The activities of the Indian entity JSI Investments Private Ltd has been shown to be – and are admitted to be, by the JS Group – to be an integral part of the whole of the JS Group activity. This Order has made the case that prima facie, the demonstrably large and aggressive intraday activities undertaken by the Indian entity in index constituent stocks have no economic rationale other than to manipulate the underlying indices, to benefit the significantly larger index options positions created or carried by the JS Group FPI entities. At least to the extent of this coordination across JS Group, the activities of the Indian entities are also clearly being overseen by the JS group as a whole. As noted earlier, FPIs are free to repatriate their profits and exit Indian markets at their discretion.

53. In this overall context, there is justifiable concern surrounding the enforceability of any orders of disgorgement of illegal gains, that may be passed subsequent to completion of investigation. Given the strong prima facie case made in this order, the sheer quantum of prima facie illegal gains identified in this Order, the continuing nature of the prima facie violations identified in this Order, the continuing and ongoing nature of the investigation, and the possibility and risk of sale of assets/repatriation/diversion that would defeat or inexorably delay the enforcement process, is high enough to warrant interim impounding and debarment directions.

Urgency:

54. As has been noted earlier in this order, when suspicions around the prima facie manipulative trading patterns of JS Group arose in early 2025, on SEBI’s instructions, in February 2025, NSE as a first line regulator clearly and explicitly cautioned the JS Group to desist from taking on large risks in the index options markets, and to desist from undertaking trading patterns that raised concerns of manipulative behaviour. In turn, JS Group themselves represented in February 2025 to NSE of their commitment to adhere to all regulations.

55. However, as recently as May 2025, as has been clearly demonstrated in this order, JS Group again resorted to undertaking prima facie manipulative ‘extended marking the close’ trading patterns of large and aggressive intervention in index and constituent markets towards the expiry day closing, so as to influence and manipulate the index to their illegal advantage. The impugned trades in May 2025 are a cynical violation of the caution letter issued to the JS Group on February 06, 2025, and of their own declarations made to NSE in the same month.

56. Such egregious behaviour, in clear disregard/ defiance of the explicit advisory issued to them by NSE in February 2025, amply demonstrates that unlike the vast majority of Foreign Portfolio Investors and other market participants, JS Group is not a good faith actor that can be, or deserves to be, trusted. The integrity of the market, and the faith of millions of small investors and traders, can no longer be held hostage to the machinations of such an untrustworthy actor. Investor protection forms the core of SEBI’s regulatory mandate. In the face of such a strong prima facie case that allowing the JS Group to continue as before may severely compromise investor protection on an extraordinary scale, SEBI has a duty to directly intervene.

57. SEBI’s power to pass interim orders has been recognized by numerous decisions of the Hon’ble Supreme Court, High Courts and SAT. SEBI’s power to issue ex-parte interim directions was upheld in the case of Ramrakh Bora vs. SEBI 1998 (18) SCL 543 (Bom HC) and subsequently reaffirmed in the case of SEBI vs. Alka Synthetics Ltd. And Ors. 1999 (1) CLJ 396 (Guj HC). In the case of C G Power& Industrial Solutions Ltd. (SAT Appeal 413/2019), Hon’ble SAT vide its order dated October 01, 2019 noted that had SEBI failed to exercise its interim powers of impounding it would have defeated the purposes for which such powers were assigned to SEBI under the SEBI Act, 1992. The relevant extract from the said order is given below:

“It was thus extremely necessary that an action on urgent basis was required to stop further defalcation/ diversion/ siphoning of the funds of the Company and to protect the interest of the investors and its shareholders and to instill confidence in the securities market. Such measures if not taken while the iron was hot would defeat the regulatory measures that has been provided to SEBI under the SEBI Act.”

58. Failing to take immediate action pending further investigation, will cause irreparable damage by – (a) severely denting confidence in the securities market, (b) allowing the possibility of continued manipulation at the cost of lakhs of traders and investors and (c) rendering post investigation remedial measures, irrelevant.

Balance of Convenience 59. The balance of convenience also rests in favour of passing interim directions. If the entities are able to submit justiciable reasons that counter the prima facie conclusions, post-hearing decision may result in revocation of interim orders in the first instance. Similarly, if, after detailed investigation it transpires that the market was in fact not manipulated by JS Group, the alleged illegal gains that have been impounded will be released for their use and they shall be free to continue with their business. On the other hand, if interim directions are not passed at this juncture and it transpires after detailed investigation that illegal gains had in fact been made which were diverted (the strong likelihood of which has been discussed earlier), the loss to market integrity, investor protection, investor confidence and the futility of the post-investigation remedial measures, all will result in severe and irreparable damage. However, considering the unprecedented scale and complexity of the violations involved, the time needed to complete the investigation and consequent action can be significant. If such investigation eventually does not result in a finding against the Entities, the adverse impact of the interim restraint on the Entities may not be remediable.

60. Considering all of the above, therefore, I am convinced that, pending detailed investigation, the balance of convenience lies in – (i) passing interim directions against the Entities for impounding and retaining the alleged unlawful gains; and, (ii) restraining the Entities from dealing in securities till such time the directions for impounding illegal gains is complied with.

61. I am also convinced that interim cease and desist directions are warranted in the facts of this case. Also, until the completion of the investigation and the related proceedings, it is imperative that exchanges should monitor any future dealings and positions of JS Group closely on an ongoing basis, to ensure that they do not, either directly or indirectly, indulge in any kind of manipulative activity. This is crucial to preserve the overall faith in the ecosystem and to protect investors.

J. ORDER: 62. In view of the above, pending detailed investigation, in order to protect the interests of investors and the integrity of the securities market, I, in exercise of the powers conferred upon me under sections 11(1), 11(4), 11B(1) and 11D read with section 19 of the SEBI Act hereby issue by way of this interim ex-parte order, the following directions, which shall be in force until further orders:- 62.1. The total amount of unlawful gains earned by the JS Group from the alleged violations as provided in Table 44 i.e. ₹4,843,57,70,168/- (Four Thousand Eight Hundred Forty Three Crore Fifty Seven Lakh Seventy Thousand One Hundred and Sixty Eight Rupees only), shall be impounded, jointly and severally. Entities are directed to open escrow account in a Scheduled Commercial Bank in India to deposit jointly and severally the aforesaid amount of unlawful gains with a lien marked in favour of SEBI and the amount kept therein shall not be released without permission from SEBI. 62.2. Entities are restrained from accessing the securities market and are further prohibited from buying, selling or otherwise dealing in securities, directly or indirectly. 62.3. Banks, where Entities are holding bank accounts, are directed to ensure that no debits are made, without permission of SEBI, in respect of the bank accounts held individually or jointly by Entities, except for the purpose of complying with this Order. However, credits, if any, into the accounts may be allowed. Further, debits in the bank accounts may also be allowed for amounts available in the account in excess of the amount to be impounded. 62.4. Custodians of Entities Nos. 3 and 4 are directed to ensure that no debits are made in respect of assets of said entities under their custody, without the permission of SEBI.

62.5. Depositories are directed to ensure that no debit shall be made, without permission of SEBI, in respect of the demat accounts held by Entities. However, credits, if any, into the accounts may be allowed. 62.6. Banks, Custodians and the Depositories are directed to ensure that all the aforesaid directions are strictly enforced and complied with. 62.7. The Registrar and Transfer Agents shall ensure that, they neither permit any transfer nor redemption of securities, including Mutual Funds units, held by Entities. 62.8. Entities shall not dispose of or alienate any of their assets/properties in India, till such time, the amount of unlawful gains is credited to escrow account except with the prior permission of SEBI. 62.9. Entities are further directed to provide a full inventory of all their assets in India whether movable or immovable, or any interest or investment or charge in any of such assets, including property, details of all their bank accounts, demat accounts, holdings of shares/securities if held in physical form and mutual fund investments and details of companies in which they hold substantial or controlling interest immediately but not later than 15 days of this Order.

62.10. If the Entities have any open position(s) in any exchange traded derivative contracts, as on the date of this Interim order, they can close out/square off such open positions within 3 months from the date of order or at the expiry of such contracts, whichever is earlier. The Entities are permitted to settle the pay-in and pay-out obligations in respect of transactions, if any, which have taken place before the close of trading on the date of this order. Banks, Custodians and Depositories are allowed to debit the accounts for the purpose of complying with this direction. 62.11. The directions stipulated in clauses 62.2, 62.3, 62.4, 62.5, 62.7, 62.8 and 62.10 shall cease to apply upon compliance with directions in clause 62.1 above. 62.12. The Entities shall cease and desist from directly or indirectly engaging in any fraudulent, manipulative or unfair trade practice or undertaking any activity, either directly or indirectly, that may be in breach of extant regulations, including by dealing in securities using any of the patterns identified or alluded to in this order. 62.13. Stock Exchanges are directed to closely monitor any future dealings and positions of JS Group on an ongoing basis, to ensure that Entities do not either directly or indirectly indulge in any kind of manipulative activity, including by dealing in securities using any of the patterns identified or alluded to in this order, till the completion of the investigation by SEBI and the consequent proceedings, if any.

63. The prima facie observations contained in this Order are made on the basis of the material available on record. The Entities may within 21 days from the date of receipt of this Order, file their reply/ objections, if any, to this Order and may also indicate whether they desire to avail an opportunity of personal hearing on a date and time to be fixed on a specific request to be made in this regard.

64. This Order is without prejudice to the right of SEBI to take any other action against the Entities in accordance with law.

65. The above directions shall take effect immediately and shall be in force until further orders.

66. A copy of this Order shall also be served upon the Entities, all recognised Stock Exchanges, Depositories, Banks and Registrar and Share Transfer Agents for necessary compliance with the directions in this Order.

ANANTH NARAYAN G. DATE: JULY 3, 2025 WHOLE TIME MEMBER PLACE: MUMBAI SECURITIES AND EXCHANGE BOARD OF INDIA

Encl: Annexures 1 to 4 are provided at here.