NATIONAL STOCK EXCHANGE OF INDIA LTD

NATIONAL STOCK EXCHANGE OF INDIA LTD.

FUTURES & OPTIONS SEGMENT

OPTIONS SUB-SEGMENT

CIRCULAR

Circular No.NSE/F&O/032/2008 Date: February 27, 2008

Download no. NSE/F&O/10353

Introduction of Long Term Options Contracts on S&P CNX NIFTY

In continuation to circular NSE/F&O/005/2008 dated January 11, 2008, members are advised to note that SEBI has approved introduction of Long Term Options contracts on S&P CNX NIFTY for trading in F&O segment.

In pursuance of Regulations of the Exchange specified herein, the Exchange notifies the following in respect of long term of options contracts.

Long term options contracts on S&P CNX NIFTY:

The Exchange shall introduce long term option contracts on NIFTY. The options cycle shall be as under.

The 3 serial month contracts would continue to exist.
The following 3 quarterly months of the cycle March / June / September / December would be available.
After these, 5 following semi-annual months of the cycle June / December would be available, so that at any point in time there would be options contracts with atleast 3 year tenure available.

The revised contract specifications for NIFTY options are provided as Annexure 1 and revised number of strikes provided and strike price interval schemes for NIFTY options are provided as Annexure 2.

This circular shall be effective from March 3, 2008

For and on behalf of

National Stock Exchange of India Limited

Suprabhat Lala

Assistant Vice President

Annexure 1

Contract specification for Nifty Options

Parameter	Existing parameters	Changed parameter
Underlying	S&P CNX Nifty	No Change
Instrument	OPTIDX	No Change
Symbol	NIFTY	No Change
Expiry Date	DD-MMM-YYYY	No Change
Option Type	CE / PE	No Change
Trading Cycle	3 month trading cycle - the near month (one), the next month (two) and the far month (three)	3 near month expiries, next three quarter expiries (March, June, Sept & Dec cycle) and next 5 half yearly expiries (June, Dec cycle)
Expiry Day	Last Thursday of the expiry month. If the last Thursday is a trading holiday, then the expiry day is the previous trading day.	No Change
No of Strikes	Dependent on index level	Dependent on index level and expiry period Given at Annexure 2
Strike Price Intervals	Dependent on index level	Dependent on index level and expiry period Given at Annexure 2
Permitted Lot Size	50	No Change
Price Steps	Rs.0.05	No Change
Operating Range	Upper Operating Range + 99% of base price or Rs.20, whichever is higher; Lower Operating Range Rs.0.05	No Change

Annexure 2

Revised number of strikes for NIFTY

Index Level	First, second and third month expiries	3 quarterly expiries	5 half yearly expiries
upto 2000	4-1-4	6-1-6	4-1-4
>2000 upto 4000	4-1-4	6-1-6	4-1-4
>4000 upto 6000	5-1-5	8-1-8	5-1-5
>6000	6-1-6	8-1-8	6-1-6

Revised strike price intervals for NIFTY

Index Level	First, second and third month expiries	3 quarterly expiries	5 half yearly expiries
upto 2000	25	25	50
>2000 upto 4000	50	50	100
>4000 upto 6000	50	50	100
>6000	50	50	100