INDIA INX

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Gold Quanto

Contract Specifications GOLD Quanto Futures
Symbol GOLDQ
Underlying Indian Gold spot purity 995
Trading hours Monday to Friday
Session 1 - 04:30 Hours to 17:00 Hours
Session 2 - 17:00 Hours to 02.30 Hours
Size of the Contract 1
Quotation Indian gold price quoted per 10 grams (E.g. Bid 50000 - 50001 Ask)
Minimum Price Movement (Tick Size) USD 1
Contract Months Twelve (12) serial monthly contracts
Settlement Mechanism The contracts would be settled in cash in US Dollar (US $)
Contract Value The contract value shall be = (Quoted Price * 1) USD
Daily Settlement Price The Daily Settlement Price (DSP) of Futures contract shall be the Volume Weighted Average Price of all trades during the last thirty (30) minutes of each Trading Session. In the event there are no trades during the last 30 minutes of the Trading Session, then the Volume Weighted Average Price of all trades during the entire Trading Session, subject to a minimum of 5 trades during the Trading Session shall be taken for the computation of the DSP. If there are less than 5 trades during the Trading Session, then the Exchange reserves the right to determine the DSP based on the prices in the underlying reference markets.
Last Trading Day The last trading day for the contract would be two days prior to the last working day of the month at 17.30.
Settlement Daily Settlement:
The daily contracts for each session would be settled as follows:
Trading Session 1 - 04:30 Hours to 17:00 Hours – Cash Settlement in USD on next Business Day by 08:00 Hours (IST)
Trading Session 2 - 17:00 Hours to 02:30 Hours – Cash Settlement in USD on the same Business Day by 16:30 Hours (IST)

Final Settlement
Along with daily cash settlement cycle in USD for the respective contracts.
Final Settlement Price India INX GOLDQ Future Contract will be settled at the IBJA PM Fix on the Expiry Day rounded off to the nearest tick.
Position limits Eligible market participants are allowed to take positions in GoldQ 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 500,000 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 50,000 contracts whichever is higher
Price Bands Initial Price Limit will be 3% After breach of 3%, relaxation up to 6% (1st enhanced slab of Daily Price Limit) without any cooling off period. In case of further breach, then after cooling off period of 15 minutes, the daily price band will be relaxed up to 9% (2nd enhanced slab of DPL). During the cooling off period trading shall continue to be permitted within the previous slab of DPL. In case price movement in referenceable international market is more than the aggregate DPL (currently 9%), the same may be further relaxed and informed to Integrated Surveillance Department of SEBI. Further, where the Exchange receives request for relaxation based on the price movement in referenceable international market being more than the prevailing slab of DPL (at 3% or above), the price band may be further relaxed in steps of 3% without cooling period. Where such relaxation made is more than 9%, intimation to be sent to Integrated Surveillance Department of SEBI
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.