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26-Sep-2023 | 82.9525

22-Sep-2023

Crs 31,536,717.54 | Tn $ 3.8

22-Sep-2023

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Contract Specifications - Energy Futures


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Energy FUTURES    
Product Parameters Brent Crude Oil  WTI Crude Oil Natural Gas (Henry Hub)
Underlying Brent Crude Oil WTI Crude Oil Natural Gas
Instrument Type Futures Contract (FUTENR) Futures Contract (FUTENR) Futures Contract (FUTENR)
Product Brent Crude Oil Futures WTI Crude Oil Futures Natural Gas Futures
Symbol BRCRUDE WTICRUDE NATURALGAS
Description BRCRUDEYYMMM WTICRUDEYYMMM NATURALGASYYMMM
Contract Listing Monthly contracts. Details as per the launch calendar. Monthly contracts. Details as per the launch calendar Monthly contracts. Details as per the launch calendar 
Contract Start Day Business day immediately following the last trading day. (Expiry Day + 1) As per contract launch calendar As per contract launch calendar
Last Trading Day (Contract Expiry) Last Day of Trading at the exchange shall the Last Business Day of the contract expiry month.
In case the last business day is a holiday in the International market / NSE, 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
As per contract launch calendar As per contract launch calendar
Trading:    
Trading Period Mondays to 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 Barrels 100 Barrels 1250 mmBtu
Quotation/Base Value Rs. Per 1 Barrel Rs. Per 1 Barrel Rs. Per mmBtu
Max. Order Size 10,000 Barrels 10,000 Barrels 60,000 mmBtu
Tick Size (Minimum Price Movement) Re. 1 Re. 1 Rs. 0.10 (10 Paise)
Daily Price Limits

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%) or  if  international  price  is  beyond  maximum  daily price limit range  (after appropriate currency conversion) when compared with closing price on previous day on domestic exchange, the same may be further relaxed in steps of 3% beyond the maximum permitted limit, by giving appropriate notice to the market.

Only in the event of exceptional circumstances, where there is extreme price movement, beyond the initial slab of the daily price limit, in the international markets, during trading  hours  or  after  the  closure  of  trading  on  domestic  exchanges,  the  daily price limit may be relaxed directly by the required level, by giving appropriate notice to the market

Initial Margin Minimum margin based on volatility category or based on SPAN whichever is higher.
Extreme Loss Margin 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

For a member collectively for all clients: 40,00,000 Barrels or 20% of the market wide open position whichever is higher, for all Crude Oil contracts combined together.

For individual client: 4,00,000 Barrels or 5% of the market wide open position whichever is higher for all Crude Oil contracts combined together.

For a member collectively for all clients: 48,00,000 Barrels or 20% of the market wide open position, whichever is higher for all the Crude Oil contracts combined together.   

For individual clients: 4,80,000 barrels or 5% of the market wide open position, whichever is higher for all the Crude Oil contracts combined together.

For a member collectively for all clients: 6,00,00,000 mmBtu or 20% of the market wide open position, whichever is higher.   

For individual clients: 60,00,000 mmBtu or 5% of the market wide open position, whichever is higher. 
Quality Specification Brent Blend confirming to the following quality:
  • Maximum Sulfur - 0.46% by weight or less,
  • Maximum Gravity: 36.4 API

Light Sweet Crude Oil confirming to the following quality specification:

Sulfur 0.42% by weight or less,

API Gravity: Between 37 degree – 42 degree
Natural Gas meeting the specifications set forth in the FERC approved tariff of Sabine Pipe Line Company.
Due Date Rate
(Final Settlement Price)
Due date rate (FSP) shall be the settlement price, in Indian rupees, as arrived at from the average of the five intra--month cash BFOETM (Brent-Forties-Oseberg-Ekofisk-Troll-Midlands) assessments' as made by ICIS on the last trading day of the NSE Brent Crude Oil Contract.
The last available RBI USDINR reference rate will be used for the conversion. The price so arrived will be rounded off to the nearest tick. For example, on the day of expiry, if the ICIS average price is $70.75 and the last available RBI USDINR reference rate is 72.1500, then DDR for NSE Brent Crude oil contract would be Rs.5,105 per barrel (i.e. $70.75 * 72.1500 and rounded off to the nearest tick).

Due date rate (FSP) shall be the settlement price, in Indian rupees, of the New York Mercantile Exchange’s (NYMEX)# Crude Oil (CL) front month contract on the last trading day of the NSE WTI Crude Oil contract. The last available RBI USDINR reference rate will be used for the conversion. The price so arrived will be rounded off to the nearest tick.

For example, on the day of expiry, if NYMEX Crude Oil (CL) front month contract settlement price is $75.40 and the last available RBI USDINR reference rate is 82.7150, then DDR for NSE WTI Crude oil contract would be Rs. 6237 per barrel (i.e. $75.40 * 82.7150 and rounded off to the nearest tick).

 

#A market division of Chicago Mercantile Exchange Inc. (“CME Group”)

Due date rate (FSP) shall be the settlement price, in Indian rupees, of the New York Mercantile Exchange’s (NYMEX)# Natural Gas (NG) front month contract on the last trading day of the NSE Natural Gas contract. The last available RBI USDINR reference rate will be used for the conversion. The price so arrived will be rounded off to the nearest tick.

For example, on the day of expiry, if NYMEX Natural Gas (NG) front month contract settlement price is $6.935 per mmBtu and the last available RBI USDINR reference rate is 82.7150, then DDR for NSE Natural Gas contract would be Rs. 573.60 per mmBtu (i.e. $6.935 * 82.7150 and rounded off to the nearest tick.)

#A market division of Chicago Mercantile Exchange Inc. (“CME Group”).
Settlement Mechanism The contract would be settled in cash

 

Kindly refer latest circular issued by Exchange / Clearing Corporation for updated Margins, Position Limits and Expiry Dates etc.

Settlement Procedure: Energy Futures

Product Parameters Energy Futures
Funds Pay-in T+1 working day by 09.00 a.m. (“T” stands for Trade day)
Penal Provision Penalties as applicable for Fund shortages shall be levied.
Close Out of Outstanding Positions All outstanding positions on the expiry of contract, will be settled as per the Final Settlement Price (FSP).

DISCLAIMER

CME GROUP MARKET DATA IS USED UNDER LICENSE AS A SOURCE OF INFORMATION FOR CERTAIN NSE PRODUCTS. CME GROUP HAS NO OTHER CONNECTION TO NSE PRODUCTS AND SERVICES AND DOES NOT SPONSOR, ENDORSE, RECOMMEND OR PROMOTE ANY NSE PRODUCTS OR SERVICES. CME GROUP HAS NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE NSE PRODUCTS AND SERVICES. CME GROUP DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF ANY MARKET DATA LICENSED TO NSE AND SHALL NOT HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.  THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CME GROUP AND NSE.

Energy OPTIONS    
Product Parameters WTI Crude Oil Options on Futures Natural Gas Options on Futures
Underlying WTI Crude Oil Futures contract traded on NSE Natural Gas Futures contract traded on NSE
Instrument Type Options on Futures Contract (OPTFUT) Options on Futures Contract (OPTFUT)
Options Type The options contracts shall be European styled which can be exercised only on the expiration date
Symbol WTICRUDE NATURALGAS
Description WTICRUDEYYMMM <strike price><CE/PE> NATURALGASYYMMM <strike price><CE/PE>
Contract Listing Monthly contracts. Details as per the launch calendar  Monthly contracts. Details as per the launch calendar 
Contract Start Day As per contract launch calendar As per contract launch calendar
Last Trading Day (Contract Expiry) Two business days prior to the Expiry day of the underlying futures contract. Two business days prior to the Expiry day of the underlying futures contract.
Trading:    
Trading Period Mondays to Fridays
Trading Session Monday - Friday
9:00 am to 11:30 pm/11:55 pm*
*based on US daylight saving time period
Trading Unit One NSE WTI Crude Oil futures contract One NSE Natural Gas futures contract
Underlying Quotation/Base Value Rs. Per Barrel Rs. Per mmBtu
Tick Size (Minimum Price Movement) Rs. 0.10 (10 Paise) Rs. 0.05 (5 Paise)
Minimum number of Strikes Each option expiry shall have minimum three strikes available viz., one each for In the Money (ITM), Out of the Money (OTM) and At the Money (ATM). The Exchange, at its discretion, may introduce additional strikes, if required. Each option expiry shall have minimum three strikes available viz., one each for In the Money (ITM), Out of the Money (OTM) and At the Money (ATM). The Exchange, at its discretion, may introduce additional strikes, if required.
Strike Price Interval Rs 50 Rs 5
Base Price Base price shall be theoretical price on the option pricing model as decided by the Exchange/Clearing Corp, on the first day of the contract. On all other days, it shall be previous day’s Daily Settlement Price of the contract.
Daily Price Limits

The upper and lower price band shall be determined based on statistical method as decided by the Exchange/Clearing Corp and relaxed considering the movement in the underlying futures contract. In the event of freezing of price ranges even without a corresponding price relaxation in underlying futures, if deemed necessary, considering the volatility and other factors in the option contract, the Daily Price Limit shall be relaxed by the Exchange.

Margins

The Initial Margin shall be computed using SPAN (Standard Portfolio Analysis of Risk) software, which is a portfolio based margining system. To begin with, the various risk parameters shall be as under:

A. Price Scan Range – 3.5 Standard Deviation (3.5 sigma)

B. Volatility Scan Range – As decided by the Clearing Corp from time to time. For applicable VSR refer latest circulars issued by the Clearing Corp.

C. The Short Option Minimum Margin (SOMM) and Margin Period of Risk (MPOR) shall be in accordance with SEBI Circular no. SEBI/HO/CDMRD/DRMP/CIR/P/2020/15 dated January 27, 2020. For applicable SOMM and MPOR refer to the latest circulars issued by the Clearing Corp from time to time.

D. Extreme Loss Margin – Minimum 1%

E. Premium of buyer shall be blocked upfront on real time basis.

F. For Additional Margin refer latest circulars issued by the Clearing Corp from time to time.

Premium Premium of buyer shall be blocked upfront on real time basis.
Margining at client level Initial Margins shall be computed at the level of portfolio of individual clients comprising of the positions in futures and options contracts on each commodity.
Real Time Computation The margins shall be recomputed using SPAN at Begin of Day, 9.30 am, 11.00 am, 1.00 pm, 3.00 pm, 5.00 pm, 7.00 pm, 8.30 pm, 10.30 pm and End of Day.
Mark to Market The option positions shall be marked to market by deducting / adding the current market value of options positions (positive for long options and negative for short options) times the number of long / short options in the portfolio from / to the margin requirement. Mark to Market gains and losses would not be settled in Cash for Options Positions
Risks pertaining to Option that devolve into Futures on Expiry

a) In the initial phase, a sensitivity report shall be provided to members of the impending increase in margins at least 2 days in advance. The mechanism shall be reviewed and if deemed necessary, pre-expiry option margins shall be levied on the buy / sell / both positions during the last few days before the expiry of the option contract.

b) The penalty for short collection / non collection due to increase in initial margins resulting from devolvement of options into futures shall not be levied for the first day.
Additional and/or Special Margin At the discretion of the Exchange when deemed necessary
Maximum Allowable
Open Position

Position limits for options would be separate from the position limits applicable on futures contracts.

For individual clients: 9,60,000 barrels or 5% of the market wide open position, whichever is higher for all WTI Crude Oil Options contracts combined together.

For a member collectively for all clients: 96,00,000 barrels or 20% of the market wide open position, whichever is higher for all WTI Crude Oil Options contracts combined together.

Upon expiry of the options contract, after devolvement of options position into corresponding futures positions, open positions may exceed their permissible position limits applicable for future contracts. Such excess positions shall have to be reduced to the permissible position limits of futures contracts within two trading days.

 

Position limits for Options would be separate from the position limits applicable on Futures Contracts.

For individual clients: 120,00,000 MMBtu or 5% of the market wide open position, whichever is higher for all Natural Gas Options Contracts combined together.

For a member collectively for all clients: 12,00,00,000 MMBtu or 20% of the market wide open position, whichever is higher for all Natural Gas Options Contracts combined together.

Upon expiry of the Options Contract, after devolvement of Options position into corresponding Futures positions, open positions may exceed their permissible position limits applicable for Future Contracts. Such excess positions shall have to be reduced to the permissible position limits of Futures Contracts within two trading days.

 

Settlement    
Settlement of Premium/Final Settlement

T + 1 day

Mode of Settlement

On expiry of options contract, the open position shall devolve into underlying futures position as follows:

  • Long call position shall devolve into long position in the underlying futures contract
  • Long put position shall devolve into short position in the underlying futures contract
  • Short call position shall devolve into short position in the underlying futures contract
  • Short put position shall devolve into long position in the underlying futures contract

All such devolved futures positions shall be opened at the strike price of the exercised options

Exercise Mechanism at Expiry

All In the money (ITM)# option contracts shall be exercised automatically, unless ‘contrary instruction’ has been given by long position holders of such contracts for not doing so.

The ITM option contract holders, who have not submitted contrary instructions, shall receive the difference between the Settlement Price and Strike Price in Cash as per the settlement schedule.

In the event contrary instruction are given by ITM option position holders, the positions shall expire worthless.

All Out of the money (OTM) option contracts shall expire worthless.

All devolved futures positions shall be considered to be opened at the strike price of the exercised options.

All exercised contracts within an option series shall be assigned to short positions in that series in a fair and non-preferential manner.

 

#ITM for call option = Strike Price < Settlement Price

ITM for put option = Strike Price > Settlement Price

Due Date Rate (Final Settlement Price) Daily settlement price of underlying futures contract on the expiry day of options contract.

Kindly refer latest circular issued by Exchange / Clearing Corporation for updated Margins, Position Limits and Expiry Dates etc.


DISCLAIMER

CME GROUP MARKET DATA IS USED UNDER LICENSE AS A SOURCE OF INFORMATION FOR CERTAIN NSE PRODUCTS. CME GROUP HAS NO OTHER CONNECTION TO NSE PRODUCTS AND SERVICES AND DOES NOT SPONSOR, ENDORSE, RECOMMEND OR PROMOTE ANY NSE PRODUCTS OR SERVICES. CME GROUP HAS NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE NSE PRODUCTS AND SERVICES. CME GROUP DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF ANY MARKET DATA LICENSED TO NSE AND SHALL NOT HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.  THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CME GROUP AND NSE.

Updated on: 18/09/2023