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Contract Specification

Contract Specification Futures
Contract Specification Option

Contract Specifications Futures

Trading Days	Monday to Friday
Trading Hours	Session 1 : 04:30:00 Hours to 17:00:00 Hours, Session 2 : 17:00:01 Hours to 02:30:00 Hours
Quotation	Underlying Equity Price expressed in US Dollar
Tick Size	US Dollar 0.05
Available Contracts	3 month trading cycle - the near month (one), the next month (two) and the far month (three)
Settlement Mechanism	The contracts would be settled in cash in US Dollar (US$)
Daily Settlement Price	The daily settlement price of the 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	Last Thursday of the contract month. If it is a holiday in the underlying market, then the immediate preceding business day
Daily Settlement	Trading Session 1 : 04:30:00 Hours to 17:00:00 Hours – Settlement on next working day by 08.00 Hours Trading Session 2 : 17:00:01 Hours to 02:30:00 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 underlying equity as published by BSE Limited on the Last Day of Trading.
Position limits	Position limits of Client / FPI (Category III) / Scheme of MF The gross open position across all futures and options contracts on a particular underlying security, of each specific client, FPI (Category III) or scheme of MF, should not exceed thehigher of: 1% of the free float market capitalization (in terms of number of shares) or 5% of the open interest in all derivative contracts in the same underlying stock (in terms of number of shares) whichever is higher The position limits underlying-wise, are available to members on India INX website The position limits of Trading members / FPIs (Category I & II) / Mutual Funds Position limit on Futures and options contracts on individual stocks is related to the marketwide position limit for the individual stocks. The combined futures and options position limit shall be 20% of the applicable Market Wide Position Limit (MWPL). The Market Wide Position Limit (MWPL) for 'derivatives on equity shares' shall be equal to ten percent of the number of shares held by non-promoters in the relevant underlying security (i.e. free-float holding). Further, the MWPL for 'derivatives on equity shares' in recognized stock exchanges in IFSC shall be reckoned separately from that in recognized stock exchanges in domestic market and the MWPL (in value terms), in no circumstances, shall exceed the fifty percent of the MWPL (in value terms) in recognized stock exchanges in domestic market
Price Band	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	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.
Calendar Spread Margins	A futures position at one expiry month which is hedged by an offsetting position at a different maturity would be treated as a calendar spread. The benefit for a calendar spread would continue till expiry of the near month contract. The calendar spread margin shall be deducted from the liquid net worth of the clearing member on an online, 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.
Premium	NA
Option Type	NA
Strike Price Intervals	NA
Short Option Minimum Margin	NA
Settlement of Premium	NA
Net Option Value	NA
Assignment Margin	NA

Contract Specifications Option

Trading Days	Monday to Friday
Trading Hours	Session 1 : 04:30:00 Hours to 17:00:00 Hours, Session 2 : 17:00:01 Hours to 02:30:00 Hours
Quotation	Underlying Equity Price expressed in US Dollar
Tick Size	US Dollar 0.05
Available Contracts	3 month trading cycle - the near month (one), the next month (two) and the far month (three)
Settlement Mechanism	The contracts would be settled in cash in US Dollar (US$)
Daily Settlement Price	The daily settlement price of the 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	Last Thursday of the contract month. If it is a holiday in the underlying market, then the immediate preceding business day
Daily Settlement	Trading Session 1 : 04:30:00 Hours to 17:00:00 Hours – Settlement on next working day by 08.00 Hours Trading Session 2 : 17:00:01 Hours to 02:30:00 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 underlying equity as published by BSE Limited on the Last Day of Trading.
Position limits	Position limits of Client / FPI (Category III) / Scheme of MF The gross open position across all futures and options contracts on a particular underlying security, of each specific client, FPI (Category III) or scheme of MF, should not exceed thehigher of: 1% of the free float market capitalization (in terms of number of shares) or 5% of the open interest in all derivative contracts in the same underlying stock (in terms of number of shares) whichever is higher The position limits underlying-wise, are available to members on India INX website The position limits of Trading members / FPIs (Category I & II) / Mutual Funds Position limit on Futures and options contracts on individual stocks is related to the marketwide position limit for the individual stocks. The combined futures and options position limit shall be 20% of the applicable Market Wide Position Limit (MWPL). The Market Wide Position Limit (MWPL) for 'derivatives on equity shares' shall be equal to ten percent of the number of shares held by non-promoters in the relevant underlying security (i.e. free-float holding). Further, the MWPL for 'derivatives on equity shares' in recognized stock exchanges in IFSC shall be reckoned separately from that in recognized stock exchanges in domestic market and the MWPL (in value terms), in no circumstances, shall exceed the fifty percent of the MWPL (in value terms) in recognized stock exchanges in domestic market
Price Band	A contract specific price range based on its delta value computed and updated on daily basis.
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.
Calendar Spread Margins	The margin for options calendar spread would be the same as specified for futures calendar spread. The margin would be calculated on the basis of delta Δ of the portfolio in each month. A portfolio consisting of a near month option with a delta Δ of 100 and a far month option with a delta Δ of –100 would bear a spread charge equal to the spread charge for a portfolio which is long 100 near month futures and short 100 far month futures
Mark-to-Market (MTM) Settlement	NA
Premium	Quoted in US Dollar
Option Type	Premium Style European Call and Put Options
Strike Price Intervals	Minimum 10 strikes at strike increment above and below the at-the-money strike. Once the settlement price reaches close to the lower end or higher end of the option chain, additional option strikes will be introduced.
Short Option Minimum Margin	Deep-out-of-the-money short options may show zero or minimal Scan Risk given the price and volatility moves in the 16 market scenarios, yet still present risk in the event that these options move closer-to-the-money or in-the-money, thereby generating potentially large losses. Hence a Short Option Minimum Margin is applied to each product to account for this potential exposure. The Short Option Minimum Margin is calculated on the Notional Value of all short options.
Settlement of Premium	Premium would be settled in $US and would be paid in by the buyer in cash and paid out to the seller in cash. Until the buyer pays in the premium, the premium due shall be deducted from the available liquid assets on a real time basis.
Net Option Value	The Net Option Value is the current market value of the option times the number of options (positive for long options and negative for short options) in the portfolio. The Net Option Value would be added to the Liquid Net Worth of the clearing member. Thus, mark to market gains and losses would not be settled in cash for options positions.
Assignment Margin	Assignment Margin shall be levied on assigned positions of the clearing members towards exercise settlement obligations for option contracts. For option positions exercised, the seller of the options shall be levied assignment margins which shall be 100% of the net exercise settlement value payable by a clearing member towards exercise settlement. Assignment margin shall be levied till the completion of pay-in towards the exercise settlement. Assignment margins shall be computed as net of assignment settlement and futures final settlement.