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Gold KG
Contract Specifications GOLD KG Future
Underlying Spot Gold
Trading hours Monday to Friday
Session 1 : 04:30:00 Hours to 17:00:00 Hours,
Session 2 : 17:00:01 Hours to 02:30:00 Hours
Size of the Contract 1KG (32 Troy Ounces)
Quotation US$ per 10g (e.g. Bid 410.05– Ask 410.10)
Minimum Price Movement (Tick Size) USD 0.05
Contract Months January, March, May, July, September & November contracts shall be available for trading
Settlement Mechanism The contracts would be settled in cash in US Dollar (US $)
Contract Value The contract value shall be = (Quoted Price*1000)/10 USD
Daily Settlement Price The daily settlement price of Gold 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 Third last business day of the month
Settlement Daily Settlement:
The daily contracts for each session would be settled as follows:
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 India INX Gold KG Future Contract will be settled at the IBJA PM Fix on the Expiry Day rounded off to the nearest tick.
The final settlement price will be as follows:
IBJA PM Fix / RBI Reference rate of USDINR on expiry Day Ex: 26277 / 65.05 = 409.68
Rounded off to the nearest tick is 409.70
The FSP will be at 17:00 hours IST
Position limits Eligible market participants are allowed to take positions in Gold Futures contracts as prescribed below:
(i) Position limits for stock brokers (Trading Members): Gross open position across all contracts shall not exceed 30% of the total open interest or 5 lakhs contracts whichever is higher.
(ii) Position limits for Clients: Gross open position across all contracts shall not exceed 10% of the total open interest or 50000 contracts whichever is higher
Price Bands Initial Price Band will be 3%.
Relaxation upto 6% after breaching 3% limit
Relaxation upto 9% after breaching 6% limit
After 9%, Price Band will be relaxed to 2% and this shall continue in multiple.
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