Contract Specifications - Bullion
| COMMODITY FUTURES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| PRODUCT PARAMETERS | GOLD FUTURES (EX-CUSTOMS DUTY) | GOLD MINI FUTURES | GOLD 1G FUTURES | SILVER FUTURES | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| UNDERLYING | Gold | Gold | Gold | Silver | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| INSTRUMENT TYPE | Futures Contract | Futures Contract | Futures Contract | Futures Contract | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| UNDERLYING SYMBOL | GOLDEXCUST | GOLDM | GOLD1G | SILVER | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| DESCRIPTION | GOLDYYMMM | GOLDMYYMMM | GOLD1GYYMMM | SILVERYYMMM | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| CONTRACT LISTING | Bimonthly contracts. Details as per the launch calendar | Monthly contracts. Details as per the launch calendar | Monthly contracts. Details as per the launch calendar | Bimonthly/trimonthly contracts. Details as per the attached launch calendar | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| CONTRACT COMMENCEMENT DAY | 6th day of contract launch month. If 6th day is a holiday then the following working day. (Expiry Day + 1) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| LAST TRADING DAY (CONTRACT EXPIRY) | 5th day of contract expiry month. If 5th day is a holiday then preceding working day. On the day of expiry, the trading shall be allowed up to 11:30 pm/11:55 pm* *based on US daylight saving time period |
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| TRADING: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| TRADING PERIOD | Mondays to Fridays | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| TRADING SESSION | Monday - Friday 09:00 am to 11:30 pm/11:55 pm* *based on US daylight saving time period |
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| TRADING UNIT | 1 kg | 100 grams | 1 gram | 30 kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| QUOTATION/BASE VALUE | Rs. Per 10 grams | Rs. Per 10 grams | Rs. Per gram | Rs. Per 1 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| PRICE QUOTE | Ex-Ahmedabad (excluding all taxes and levies relating to import duty, customs, GST, any other additional tax or surcharge on GST) | Ex-Ahmedabad (inclusive of all taxes and levies relating to import duty, customs but excluding all taxes and levies relating to GST, any other additional tax or surcharge on GST) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| MAXIMUM ORDER SIZE | 10 Kg | 10 Kg | 10 Kg | 600 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| TICK SIZE (MINIMUM PRICE STEPS) | Rs.1.00 | Rs.1.00 | Rs.1.00 | Rs.1.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| DAILY PRICE LIMITS 1 | The base price limit shall be 6%. In case the daily price limit of 6% is breached, then after a cooling off period of 15 minutes, the daily price limit will be relaxed upto 9%. In case price movement in international markets is more than the maximum daily price limit (currently 9%), the same may be further relaxed in steps of 3% beyond the maximum permitted limit, and informed to the Regulator immediately | The base price limit shall be 6%. In case the daily price limit of 6% is breached, then after a cooling off period of 15 minutes, the daily price limit will be relaxed upto 9%. In case price movement in international markets is more than the maximum daily price limit (currently 9%), the same may be further relaxed in steps of 3% beyond the maximum permitted limit, and informed to the Regulator immediately. |
The base price limit shall be 6%. In case the daily price limit of 6% is breached, then after a cooling off period of 15 minutes, the daily price limit will be relaxed upto 9%. In case price movement in international markets is more than the maximum daily price limit (currently 9%), the same may be further relaxed in steps of 3% beyond the maximum permitted limit, and informed to the Regulator immediately | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| INITIAL MARGIN 2 | Minimum margin based on volatility category or based on SPAN whichever is higher | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| EXTREME LOSS MARGIN 3 | 1% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ADDITIONAL AND/ OR SPECIAL MARGIN |
In case of additional volatility, an additional margin (on both buy & sale position) and/ or special margin (on either buy or sale position) at such percentage, as deemed fit; will be imposed in respect of all outstanding positions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| MAXIMUM ALLOWABLE OPEN POSITION 4 |
For a member collectively for all clients: 50 MT or 20% of the market wide open position whichever is higher, for all Gold contracts combined together. For individual client: 5 MT for all Gold contracts combined together or 5% of the market wide open position whichever is higher, for all Gold contracts combined together. |
For a member collectively for all clients: 1000 MT or 20% of the market wide open position whichever is higher, for all Silver contracts combined together. For individual client: 100 MT or 5% of the market wide open position whichever is higher for all Silver contracts combined together. |
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DAILY SETTLEMENT PRICE |
Daily Settlement Price for mark to market settlement of unexpired futures contracts shall be the closing price of such contracts on the trading day. The closing price for unexpired futures contract shall be calculated on the basis of the last half an hour weighted average price of such contract, subject to minimum 10 trades in last half hour or weighted average price of last 10 trades of the day for such contract or such other price as may be decided by the relevant authority from time to time | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| DELIVERY: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| DELIVERY UNIT | 1 kg | 100 grams | 1 gram | 30 kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| DELIVERY PERIOD MARGIN 5 | Delivery period margins shall be higher of: a. 3% + 5 day 99% VaR of spot price volatility Or b. 20% |
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| DELIVERY CENTRE(S) | Designated clearing house facilities at Ahmedabad | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ADDITIONAL DELIVERY CENTRE(S) | Delhi, Mumbai & Chennai | Delhi, Mumbai & Chennai | NIL | Delhi, Mumbai & Chennai | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| QUALITY SPECIFICATIONS |
995 purity. * The acceptance of gold bars produced by the NSE empanelled Refiners has been temporarily halted, until further notice |
995 purity. It should be serially numbered gold bars supplied by LBMA approved suppliers or below mentioned NSE empanelled refiners; to be submitted alongwith supplier's quality certificate. 1. M D Overseas Pvt Ltd 2. Kundan Care Products Ltd 3. Augmont Enterprises Pvt Ltd 4. GGC Gujarat Gold Centre Pvt Ltd Click here for list of acceptable gold bars from NSE empanelled refiners |
999 purity. * The acceptance of gold bars produced by the NSE empanelled Refiners has been temporarily halted, until further notice |
Grade: 999 and Fineness: 999 (as per IS 2112: 1981)
It should be serially numbered silver bars supplied by LBMA approved suppliers or other suppliers as may be approved by the exchange. |
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| IF THE SELLER OFFERS DELIVERY OF 999 PURITY |
Seller will get a proportionate premium and sale proceeds will be calculated as under: Rate of delivery* 999/ 995 If the quality is less than 995, it is rejected. |
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| DUE DATE RATE (FINAL SETTLEMENT PRICE) 6 |
For contracts where Final Settlement Price (FSP) is determined by polling, unless specifically approved otherwise, the FSP shall be arrived at by taking the simple average of the last polled spot prices of the last three trading days viz.,E0 (expiry day), E-1 and E-2. In the event the spot price for any one or both of E-1 and E-2 is not available; the simple average of the last polled spot price of E0, E-1, E-2 and E-3, whichever available, shall be taken as FSP. Thus, the FSP under various scenarios of non-availability of polled spot prices shall be as under: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
In case of non-availability of polled spot price on expiry day (E0) due to sudden closure of physical market under any emergency situations noticed at the basis Centre, Exchange shall decide further course of action for determining FSP in consultation with SEBI. Note: (Only for Gold (1Kg) futures): The spot price considered for the purpose of FSP computation shall be the spot price without custom Duty as disseminated by the exchange for Gold (1Kg) contracts. (only for Gold 1g Futures): The spot price would be polled in Rs. Per 10 grams for 995 purity gold. This polled price would be converted to Rs. Per gram for 999 purity gold by using the following formula. Polled spot price divided by 10 multiplied by 999 divided by 995. |
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| DELIVERY LOGIC | Compulsory delivery | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| SETTLEMENT OF CONTRACT | On expiry all the open positions shall be marked for delivery. Delivery pay-in will be on E + 1 basis by 11.00 a.m. except Saturdays, Sundays and Trading Holidays. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| STAGGERED DELIVERY PERIOD | Five working days prior to expiry of contract including expiry day. | Basis Delivery Centre - Five working days prior to expiry of contract including expiry day. Additional Delivery Centre – Starts from 25th day of the preceding month to the expiry month. If 25th day is non-working day, the tender period will start from next working day. | Five working days prior to expiry of contract including expiry day. | Basis Delivery Centre - Five working days prior to expiry of contract including expiry day. Additional Delivery Centre – Starts from 25th day of the preceding month to the expiry month. If 25th day is non-working day, the tender period will start from next working day. | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| DELIVERY AND SETTLEMENT PROCEDURE | Click here for details | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
* w.e.f October 12, 2018
Click here for Product Advisory Committees
- 1. As per SEBI/HO/CDMRD/DMP/CIR/P/2016/83 dated September 07, 2016
- 2. The provisions of Risk Management in terms of the SEBI Circulars No. CIR/CDMRD/DRMP/01/2015 dated October 01, 2015 and SEBI/HO/CDMRD/DRMP/CIR/P/2016/77 dated September 01, 2016 and / or any amendments thereto from time to time shall be applicable.
- 3. As per SEBI Circular no CIR/CDMRD/DRMP/01/2015 dated October 1, 2015
- 4. As per SEBI circular SEBI/HO/CDMRD/DMP/CIR/P/2016/96 dated September 27, 2016
- 5. As per SEBI/HO/CDMRD/DRMP/CIR/P/2016/77 dated September 01, 2016
- 6. As per SEBI Circular no SEBI/HO/CDMRD/DRMP/CIR/P/2016/90 dated Sep 21, 2016
| COMMODITY OPTIONS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| PRODUCT PARAMETERS | Gold Mini Options | Silver Options | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Underlying | Gold | Silver | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Instrument Type | Options Contract with Spot as Underlying (OPTBLN) | Options Contract with Spot as Underlying (OPTBLN) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Options Type | The Options Contracts shall be European styled which can be exercised only on the expiration date | The Options Contracts shall be European styled which can be exercised only on the expiration date | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| UNDERLYING Symbol | GOLDM | SILVER | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Description | GOLDMYYMMM<strike price><CE/PE> | SILVERYYMMM<strike price><CE/PE> | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Contract Listing | Monthly contracts. Details as per the launch calendar. | Bimonthly/trimonthly contracts. Details as per the launch calendar. | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Contract Commencement Day | Business day immediately following the last trading day. (Expiry Day+1) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Last Trading Day | 5th day of contract expiry month. If 5th day is a holiday then preceding working day. On the day of expiry, the trading shall be allowed up to 11:30 pm/11:55 pm* *based on US daylight saving time period | Last Day of Trading shall be the business day preceding the start of tender period in the corresponding expiry Futures with the same underlying. In case the last business day is a holiday, then the preceding business day shall be the last trading day for the contract. Details as per the attached launch calendar (refer table below) On the day of expiry, the trading shall be allowed up to 11:30 pm/11:55 pm based on US daylight saving time period | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Trading | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Trading Period | Mondays through Fridays | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Trading Session | Monday – Friday 9:00 am to 11:30 pm/11:55 pm* *based on US daylight saving time period | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Trading Unit | 100 grams | 30 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Underlying Quotation / Base Value | ₹ per 10 grams | ₹ per 1 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Underlying Price Quote | Ex-Ahmedabad (inclusive of all taxes and levies relating to import duty, customs but excluding all taxes and levies relating to GST, any other additional tax or surcharge on GST) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Maximum Order Size | 10 Kg | 600 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Tick Size (Minimum Price Movement) | ₹ 0.50 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Strike Interval | 250 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Minimum Number of Strikes | 20 - 1 - 20 | 10 - 1 - 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Daily Price Limit | A contract specific price range based on multiple factors including its delta value, DPR of Futures contract of the same commodity and volatility, is computed and updated on a daily basis. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Initial Margin | Clearing Corporation shall adopt SPAN® (Standard Portfolio Analysis of Risk) system or any other system for the purpose of real time margin computation. The Initial Margin requirement shall be so as to cover potential losses for at least a 99% VaR subject to minimum percentage floor value as prescribed by SEBI from time to time. The MPOR for options in goods shall be based on the categorization of the underlying as prescribed by SEBI The Price Scan Range shall be taken be 3.5 sigma or such other percentage as may be specified by the Clearing Corporation from time to time. The price scan range shall be scaled up by the MPOR. Volatility Scan Range for stock products shall be taken at 3.5% or such other percentage as may be specified by the Clearing Corporation from time to time. Short option minimum charge shall be set as given below:
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| Extreme Loss Margin | Clearing members shall be subject to ELM in addition to initial margins. ELM of 1% on short open positions shall be levied and shall be deducted from the liquid assets of the clearing member on an online, real time basis. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Additional and / or Special Margin | Clearing corporation may require clearing members to make payment of additional margins as may be decided from time to time. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Other Margins | Premium Margin: Premium margin shall mean and include premium amount due to be paid to the Clearing Corporation towards premium settlement, at the client level. Premium margin shall be levied till the completion of pay-in towards the premium settlement. Pre-Expiry Margins: Clearing Corporation shall levy pre-expiry margin which shall be increased gradually from five trading days till the expiry of the contract as applicable. 4% incremental margins shall be levied during the pre-expiry period. These margins will be applicable on all ITM and CTM call/put option contracts. Pre-Expiry margins shall be levied on both long and short side. Delivery period margin shall be levied by Clearing Corporation on the long and short positions marked for delivery till the pay-in is completed by the clearing member. Once delivery period margin is levied, all other applicable margins may be released. Delivery period margin shall include VaR Margin and MTM Margins: VaR Margin: Delivery period margins shall be higher of: a) 3% + 6 day 99% VaR of spot price volatility Or b) 20% MTM Margin: End of day mark to market margins shall be computed on expiry day and till final settlement -1 day as difference between settlement obligation and value of positions at closing price. Mark to market loss in one underlying shall be netted against profit of other underlying for same client. Net loss at client level shall be grossed to arrive at clearing member level mark to market margins. Concentration Margin: Clearing Corporation may impose adequate concentration margins (only on concentrated positions) to cover the risk of longer period required for liquidation of concentrated positions in any commodity. |
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| Maximum Allowable Open Position | For a member collectively for all clients: 100 MT or 20% of the market wide open position whichever is higher, for all Gold Options contracts combined together. For individual client: 10 MT or 5% of the market wide open position whichever is higher, for all Gold Options contracts combined together. |
For a member collectively for all clients: 2000 MT or 20% of the market wide open position whichever is higher, for all Silver Options contracts combined together. |
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| Mechanism of Exercise | Option series having strike price closest to the Final Settlement Price (FSP) shall be termed as At-the-Money (ATM) option series. This ATM option series and three option series having strike prices immediately above this ATM strike and three option series having strike prices immediately below this ATM strike shall be referred as ‘Close to the money’ (CTM) option series. In case the FSP is exactly midway between two strike prices, then immediate three option series having strike prices just above FSP and immediate three option series having strike prices just below FSP shall be referred as ‘Close to the money’ (CTM) option series. All option contracts belonging to ‘CTM’ option series shall be exercised only on ‘explicit instruction’ for exercise by the long position holders of such contracts. All In-the-money (ITM) option contracts, except those belonging to ‘CTM’ option series, shall be exercised automatically, unless ‘contrary instruction’ has been given by long position holders of such contracts for not doing so. All Out of the money (OTM) option contracts, except those belonging to ‘CTM’ option series, shall expire worthless. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Settlement on Exercise | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Settlement Logic | Compulsory Delivery | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Settlement of Contract | On exercise, all such positions shall be settled by compulsory delivery. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Unit | 100 grams | 30 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Period Margin | Delivery period margin shall be levied by Clearing Corporation on the long and short positions marked for delivery till the pay-in is completed by the clearing member. Once delivery period margin is levied, all other applicable margins may be released. Delivery period margin shall include Var Margin and MTM Margins: Var Margin: Delivery period margins shall be higher of: a) 3% + 6 day 99% VaR of spot price volatility Or b) 20% MTM Margin: End of day mark to market margins shall be computed on expiry day and till final settlement -1 day as difference between settlement obligation and value of positions at closing price. Mark to market loss in one underlying shall be netted against profit of other underlying for same client. Net loss at client level shall be grossed to arrive at clearing member level mark to market margins. |
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| Delivery Centre | Ahmedabad | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Additional Delivery Centres | Delhi, Mumbai and Chennai | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Allocation | Delivery allocation will be done by the mechanism put in place by the Exchange/Clearing Corporation. The buyer to whom the delivery is allocated will not be allowed to refuse taking delivery and any default in delivery taking will entertain penalty and be subject to the penal provisions. If the seller fails to deliver, the penal provisions as specified for seller default shall be applicable. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Order Rate | On expiry date, the delivery order rate shall be the Strike price. Settlement obligation shall be computed at respective strike prices of the Options contracts. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Final Settlement Price | For contracts where Final Settlement Price (FSP) is determined by polling, unless specifically approved otherwise, the FSP shall be arrived at by taking the simple average of the last polled spot prices of the last three trading days viz.,E0 (expiry day), E-1 and E-2. In the event the spot price for any one or both of E-1 and E-2 is not available; the simple average of the last polled spot price of E0, E-1, E-2 and E-3, whichever available, shall be taken as FSP. Thus, the FSP under various scenarios of non-availability of polled spot prices shall be as under:
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| Quality Specifications |
995 purity. Serially numbered gold bars supplied by LBMA approved suppliers or below mentioned NSE empanelled refiners; to be submitted along with supplier's quality certificate. * The acceptance of gold bars produced by the NSE empanelled refiners has been temporarily halted, until further notice.
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Grade: 999 and Fineness: 999 (as per IS 2112: 1981)
It should be serially numbered Silver bars supplied by LBMA approved suppliers or other suppliers as may be approved by the Exchange. |
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| If the Seller offers delivery of 999 purity | Seller will get a proportionate premium and sale proceeds will be calculated as under: Delivery Order Rate* 999/ 995 If the quality is less than 995, it is rejected. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Kindly refer latest circular issued by Exchange / Clearing Corporation for updated Margins, Position Limits and Expiry Dates etc.
Updated on: 28/02/2023
