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S&P BSE SENSEX INDEX Future
Contract Specifications S&P BSE SENSEX INDEX Future
Symbol SENSEX
Underlying S&P BSE SENSEX INDEX
Trading Hours Monday to Friday
Session 1 - 04:30 Hours to 17:00 Hours
Session 2 - 17:05 Hours to 02.30 Hours
Size of the Contract 1 S&P BSE SENSEX
Quotation 1 S&P BSE Sensex Futures quoted in US Dollars (e.g. Bid 27000 / Ask 27001)
Minimum Price Movement (Tick Size) USD 1.00
Contract Months Three month trading cycle - the near month, the next month and the far month
Settlement Mechanism The contracts would be settled in cash in US Dollar
Contract Value The contract value shall be = (Quoted Price*1) USD (Example: 27000*1 = 27000 USD)
Daily Settlement Price The daily settlement price of S&P BSE SENSEX contracts shall be the last half an hour volume weighted average price of the contract

In the absence of last half an hour trading, volume weighted average futures price of trades in the entire day, subject to a minimum of 5 trades in the day will be taken for the computation
Last Trading Day/Final Settlement Day Last Thursday of the Contract month. If it is a holiday in India INX, then the immediate preceding Business Day
Settlement Daily Settlement: The daily contracts for each session would be settled as follows:
Trading Session1 - 04:30 Hours to 17:00 Hours - Settlement on next working day by 08.00 Hours
Trading Session2 - 17:05 Hours to 02.30 Hours – Settlement on the same day by 16.30 Hours
Final Settlement: Along with daily settlement cycle for the respective contracts
Final Settlement Price Official closing price of the S&P BSE SENSEX as published by BSE Limited on the Last Day of trading
Position Limits Eligible market participants are allowed to take positions in S&P BSE SENSEX Futures contracts as prescribed below:
  • Position limits for stock brokers (Trading Members): Gross open position across all contracts shall not exceed 5000000 contracts.
  • Position limits for Clients: Gross open position across all contracts shall not exceed 3000000 contracts
Price Bands Initial Price Band will be +/-10%.
Relaxation upto 15% after breaching 10% limit
Relaxation by 5% and thereafter continue in multiple of 5%
Risk Management Risk Management The margins shall be collected in USD

Initial Margin
Initial Margin would be calculated using SPAN; the margining framework of India ICC shall be compliant with the PFMI including a margin model that provides coverage of at least a 99% single-tailed confidence interval of the estimated distribution of future exposure. India ICC shall conduct daily stress testing, back testing and reverse stress testing for credit risk to ascertain the impact of failures of members and adequacy of its financial resources in meeting any shortfall arising out of such failures

Extreme Loss Margin
The clearing corporation may impose an extreme loss margin to provide additional risk coverage. The extreme loss margin shall be deducted from the liquid assets of the clearing member on an online, real time basis
Real-Time Computation The computation of worst scenario loss would have two components. The first is the valuation of the portfolio under the various scenarios of price changes. At the second stage, these scenario contract values would be applied to the actual portfolio positions to compute the portfolio values and the initial margin. The scenario contract values shall be updated at the start of the business day, then every 1.5 hours and finally at the end of the business day. The latest available scenario contract values would be applied to member/client portfolios on a real time basis
Mark-to-Market (MTM) Settlement The MTM settlement shall be done at least twice in a business day, at settlement times as specified by the clearing corporation from time to time

Contract Launch Calendar for S&P BSE SENSEX INDEX contract expiring during the year 2017.

Sr. No. Symbol Expiry
1 SENSEX 25 January 2017
2 SENSEX 23 February 2017
3 SENSEX 30 March 2017
4 SENSEX 27 April 2017
5 SENSEX 25 May 2017
6 SENSEX 29 June 2017
7 SENSEX 27 July 2017
8 SENSEX 31 August 2017
9 SENSEX 28 September 2017
10 SENSEX 26 October 2017
11 SENSEX 30 November 2017
12 SENSEX 28 December 2017