Contract Specifications - Futures & Options on INR pairs
| Symbol | USDINR | EURINR | GBPINR | JPYINR |
|---|---|---|---|---|
| Market Type | N | N | N | N |
| Instrument Type | FUTCUR | FUTCUR | FUTCUR | FUTCUR |
| Unit of trading | 1 - 1 unit denotes 1000 USD. | 1 - 1 unit denotes 1000 EURO. | 1 - 1 unit denotes 1000 POUND STERLING. | 1 - 1 unit denotes 100000 JAPANESE YEN. |
| Underlying / Order Quotation | The exchange rate in Indian Rupees for US Dollars | The exchange rate in Indian Rupees for Euro. | The exchange rate in Indian Rupees for Pound Sterling. | The exchange rate in Indian Rupees for 100 Japanese Yen. |
| Tick size | 0.25 paise or INR 0.0025 | |||
| Trading hours | Monday to Friday 9:00 a.m. to 5:00 p.m. |
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| Contract trading cycle | 11 serial weekly cycle (excluding expiry week wherein monthly contracts expires on a Friday) and 12 month trading cycle. | |||
| Last trading day | Two working days prior to the last business day of the expiry month at 12:30 PM and trade modification end time will be till 01:00 PM. | |||
| Quantity Freeze | 5001 or greater | |||
| Base price | Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
| Calendar spreads | Spread Combinations are available for trading M1 M2 M1 M3 M1 M4 M1 M5 M1 M6 M2 M3 M2 M4 M2 M5 M2 M6 M3 M4 M3 M5 M3 M6 M4 M5 M4 M6 M5 M6 M6 M12 |
Spread Combinations are available for trading M1 M2 M1 M3 M1 M4 M2 M3 M2 M4 M3 M4 |
Spread Combinations are available for trading M1 M2 M1 M3 M1 M4 M2 M3 M2 M4 M3 M4 |
Spread Combinations are available for trading M1 M2 M1 M3 M1 M4 M2 M3 M2 M4 M3 M4 |
| Position limits | Position Limits for CDS Segment | |||
| Initial margin | SPAN Based Margin | |||
| Extreme loss margin | 1% of MTM value of gross open position | 0.3% of MTM value of gross open position | 0.5% of MTM value of gross open position | 0.7% of MTM value of gross open position |
| Calendar spreads margin | Rs.400 for spread of 1 month Rs.500 for spread of 2 months Rs.800 for spread of 3 months Rs.1000 for spread of 4 months and more |
Rs.700 for spread of 1 month Rs.1000 for spread of 2 months Rs.1500 for spread of 3 months and more |
Rs.1500 for spread of 1 month Rs.1800 for spread of 2 months Rs.2000 for spread of 3 months and more |
Rs.600 for spread of 1 month Rs.1000 for spread of 2 months Rs.1500 for spread of 3 months and more |
| Settlement | Daily settlement : T + 1 Final settlement : T + 2 |
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| Mode of settlement | Cash settled in Indian Rupees | |||
| Daily settlement price (DSP) |
Calculated on the basis of the last half an hour weighted average price across exchanges. | |||
| Final settlement price (FSP) |
RBI reference rate | RBI reference rate | Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro | Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro |
| Symbol | USDINR | EURINR | GBPINR | JPYINR |
|---|---|---|---|---|
| Market Type | N | |||
| Instrument Type | OPTCUR | OPTCUR | OPTCUR | OPTCUR |
| Option Type | Premium style European Call & Put Options | |||
| Premium | Premium quoted in INR | |||
| Unit of trading | 1 contract unit denotes USD 1000 | 1 contract unit denotes EUR 1000 | 1 contract unit denotes GBP 1000 | 1 contract unit denotes JPY 100000 |
| Underlying / Order Quotation | The exchange rate in Indian Rupees for US Dollars | The exchange rate in Indian Rupees for Euro | The exchange rate in Indian Rupees for Pound Sterling | The exchange rate in Indian Rupees for 100 Japanese Yen |
| Tick size | 0.25 paise i.e. INR 0.0025 | |||
| Trading hours | Monday to Friday 9:00 a.m. to 5:00 p.m. IST |
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| Contract trading cycle | 3 serial monthly contracts followed by 3 quarterly contracts of the cycle March/June/September/December For Weekly USDINR Options- 11 serial weekly contracts expiring on Friday, excluding expiry week wherein monthly contracts expires on a Friday.New serial weekly options contracts shall be introduced after expiry of the respective week's contract. | |||
| No. of Strikes | Minimum 12 In-the-money, Minimum 12 Out-of-the-money and 1 Near-the-money. (25 CE and 25 PE) | |||
| Strike price intervals | INR 0.25 | INR 0.25 | INR 0.25 | INR 0.25 |
| Price Operating Range | A contract specific price range based on its delta value is computed and updated on a daily basis | |||
| Quantity Freeze | 10,001 or greater | |||
| Base price | Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
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| Initial margin | SPAN Based Margin | |||
| Extreme loss margin | 1.5% of Notional Value of open short position | |||
| Settlement of premium | Premium to be paid by the buyer in cash on T+1 day | |||
| Settlement | Daily settlement: T + 1 Final settlement: T + 2 |
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| Expiry/Last trading day | Two working days prior to the last business day of the expiry month at 12:30 pm and trade modification end time will be till 01:00 PM. If expiry month date falls on holiday date, the expiry date revision may done of the existing available expiry contract and same will be intimated in a separate circular. | |||
| Final settlement day | Last working day (excluding Saturdays) of the expiry month. The last working day will be the same as that for Interbank Settlements in Mumbai. |
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| Position limits | Position Limits for CDS Segment | |||
| Mode of settlement | Cash settled in Indian Rupees | |||
| Final settlement price (FSP) | RBI reference rate on the date of the expiry of the contact | |||
| Trading holidays | ||||
* M denotes expiry month
Updated on: 08/10/2021
