NATIONAL
STOCK EXCHANGE OF INDIA LIMITED
FUTURES
& OPTIONS SEGMENT
CIRCULAR
Circular No. NSE/F&O/129/2008
Download No: NSE/F&O/11726
Date: December 4, 2008
Dear Members,
Introduction of futures and options contracts on S&P CNX Defty Index
Members are advised to note that with reference to SEBI circular SEBI/DNPD/CIR-26/2004/07/16 dated July 16, 2004 and approval received from SEBI, futures and options contracts will be introduced on CNX Defty index for trading in F&O segment w.e.f. 10th December 2008
The basic details and statistics of CNX Defty index are given at Annexure 1.
The market lot & list of contracts available for trading in CNX Defty index would be informed to members separately through a circular on 8th December 2008.
For any clarifications, members are advised to contact the following officials:
Mr. Sachin Dhar and Mr. Janardhan Gujaran, at 26598151 / 26598152.
For and on behalf of
National Stock Exchange of India Limited
T.S.Jagadharini
Vice President
Annexure – 1
S&P
CNX DEFTY INDEX
Methodology
S&P CNX Defty = S&P
CNX Nifty at time t * Exchange rate as on base date
Exchange
rate at time t
Specifications
of S&P CNX Defty:
Base date : 03 November 1995.
Base S&P CNX Defty Index Value : 1000
S&P CNX Nifty Value as on Base date : 1000
Exchange rate as on base date : 34.65
1.
Contract
Specification:
|
Underlying Index |
S&P CNX Defty |
|
Security descriptor
|
Futures : FUTIDX DEFTY |
|
|
Options : OPTIDX DEFTY |
|
Price steps |
Re. 0.05 |
|
Price Bands |
No Price bands |
|
Trading Cycle |
Maximum of three months – the near month, the
next month and the far month. New contract shall be introduced on the next
trading day following the expiry of near month contract |
|
Expiry day |
Last Thursday of the expiry month or the
previous trading day if the last Thursday is a trading holiday |
|
Settlement basis |
Cash settlement |
|
Style of option |
European |
2. Beta value of S&P
CNX Defty in comparison to S&P CNX Nifty
|
Index |
Beta |
|
S&P CNX Defty |
1.00 |
·
For period Jan
2008 to Aug. 2008
3. Volatility
of S&P CNX Defty vis-à-vis S&P CNX Nifty
|
Period |
S&P
CNX Nifty |
S&P CNX Defty |
|
Jan 2004 – Dec 2004 |
1.74% |
1.80% |
|
Jan 2005 – Dec 2005 |
1.11% |
1.13% |
|
Jan 2006 – Dec 2006 |
1.65% |
1.76% |
|
Jan 2007 – Dec 2007 |
1.60% |
1.75% |
|
Jan 2008 – Aug 2008 |
2.36% |
2.56% |
4. Returns of S&P CNX Defty vis-à-vis
S&P CNX Nifty
|
Period |
S&P
CNX Nifty |
S&P CNX Defty |
|
Jan 2004 – Dec 2004 |
08.80% |
15.41% |
|
Jan 2005 – Dec 2005 |
36.34% |
32.47% |
|
Jan 2006 – Dec 2006 |
39.84% |
41.45% |
|
Jan 2007 – Dec 2007 |
54.76% |
72.84% |
|
Jan 2008 – Aug 2008 |
-28.97% |
-35.34% |