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> S&P BSE SENSEX INDEX Option

S&P BSE SENSEX INDEX Option

Contract Specifications S&P BSE SENSEX INDEX Option

Symbol	SENSEX
Underlying	S&P BSE SENSEX Index
Instrument Type	OPTIDX
Option Type	Premium Style European Call and Put Options
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	1 S&P BSE SENSEX
Quotation	S&P BSE Sensex quoted in US Dollars (e.g. Bid 27000 / Ask 27001)
Premium	Premium quoted in USD
Minimum Price Movement (Tick Size)	USD 0.5
Strike Price Intervals	Minimum 20 strikes at $100 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
Contract Months	S&P BSE SENSEX Options contracts have a maximum of 3-month trading cycle - the near month (one), the next month (two) and the far month (three). A new contract is introduced on the trading day following the expiry of the near month contract. The new contract will be introduced for a three month duration. This way, at any point in time, there will be 3 contracts available for trading in the market i.e., one near month, one mid-month and one far month duration respectively
Settlement Mechanism	The contracts would be settled in cash in US Dollar (US $)
Contract value	The contract value shall be = (Strike price + Premium)* 1USD
Daily Settlement Price	The daily settlement price of S&P BSE SENSEX Option 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 04:30:00 Hours to 17:00:00 Hours - Settlement on next working day by 08.00 Hours Trading Session2 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 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	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	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. 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
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
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
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
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
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