|Indian Gold spot purity 995
|Monday to Friday
Session 1 - 04:30 Hours to 17:00 Hours
Session 2 - 17:00 Hours to 02.30 Hours
|Indian gold price quoted per 10 grams (E.g. Bid 50000 - 50001 Ask)
|Twelve (12) serial monthly contracts
|The contracts would be settled in cash in US Dollar (US $)
|The contract value shall be = (Quoted Price * 1) USD
|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.
|The last trading day for the contract would be two days prior to the last working day of the
month at 17.30.
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)
Along with daily cash settlement cycle in USD for the respective contracts.
|India INX GOLDQ Future Contract will be settled at the IBJA PM Fix on the Expiry Day rounded off to the nearest tick.
|Eligible market participants are allowed to take positions in GoldQ Futures contracts as
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
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
|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
|The margins shall be collected in USD.
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.
|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.
|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.