26-Apr-2024 | 83.3250

24-Apr-2024 17:00

Lac Crs 398.10 | Tn $ 4.78

24-Apr-2024

Login to

You will be redirected to
another link to complete the login

Feedback
Login to Mutual Fund, NCFM

Individual Securities F&O


A futures contract is a forward contract, which is traded on an Exchange. NSE commenced trading in futures on individual securities on November 9, 2001. The futures contracts are available on 182 securities stipulated by the Securities & Exchange Board of India (SEBI). (Selection criteria for securities)

NSE defines the characteristics of the futures contract such as the underlying security, market lot, and maturity date of the contract. The futures contracts are available for trading from the introduction to the expiry date.

Contract Specifications

Security descriptor

The security descriptor for the futures contracts is:

  • Market type: N
  • Instrument Type: FUTSTK
  • Underlying: Symbol of the underlying security
  • Expiry date: Date of contract expiry
  • Instrument type represents the instrument i.e. Futures on Index.
  • The underlying symbol denotes the underlying security in the Capital Market (equities) segment of the Exchange
  • Expiry date identifies the date of expiry of the contract

Underlying Instrument

Futures contracts are available on 182 securities stipulated by the Securities & Exchange Board of India (SEBI). These securities are traded in the Capital Market segment of the Exchange.

Trading cycle

Futures contracts have a maximum of the 3-month trading cycle - the near month (one), the next month (two) and the far month (three). New contracts are introduced on the trading day following the expiry of the near month contracts. The new contracts are introduced for a three-month duration. This way, at any point in time, there will be 3 contracts available for trading in the market (for each security) i.e., one near a month, one mid-month and one far month duration respectively.

Expiry day

Futures contracts expire on the last Thursday of the expiry month. If the last Thursday is a trading holiday, the contracts expire on the previous trading day.

Trading Parameters

Contract size

The value of the futures contracts on individual securities may not be less than Rs. 5 lakhs at the time of introduction for the first time at any exchange. The permitted lot size for futures contracts & options contracts shall be the same for a given underlying or such lot size as may be stipulated by the Exchange from time to time.

Kindly refer file "NSE_FO_contract_ddmmyyyy.csv.gz" for the latest applicable lot size and quantity freeze file details.

Price steps

The price step in respect of futures contracts is Re.0.05.

Base Prices

The base price of futures contracts on the first day of trading (i.e. on introduction) would be the theoretical futures price. The base price of the contracts on subsequent trading days would be the daily settlement price of the futures contracts as computed by Clearing Corporation.

Price bands

There shall be no fixed price band applicable for stock futures contracts.
However, to prevent erroneous order entry by trading members, a dynamic price band for a futures contract shall be kept at a certain percentage of the base price as defined by Exchange from time to time. In the event of a market trend in either direction, the dynamic price band shall be relaxed by 5% at a time in the direction of the price movement during the day in co-ordination with the other Exchanges, the Exchange may approve such order.

Quantity freeze

The applicable quantity freeze limit shall be published time to time.

Kindly refer file "NSE_FO_contract_ddmmyyyy.csv.gz" for the latest applicable lot size and quantity freeze file details.

Order type/Order book/Order attribute

  • Regular lot order
  • Stop-loss order
  • Immediate or cancel
  • Spread order

An option gives a person the right but not the obligation to buy or sell something. An option is a contract between two parties wherein the buyer receives a privilege for which he pays a fee (premium) and the seller accepts an obligation for which he receives a fee. The premium is the price negotiated and set when the option is bought or sold. A person who buys an option is said to belong in the option. A person who sells (or writes) an option is said to be short in the option.

NSE became the first exchange to launch trading in options on individual securities. Trading in options on individual securities commenced from July 2, 2001. Options contracts are European style and physically settled and are available on 182 securities stipulated by the Securities & Exchange Board of India (SEBI). (Selection criteria for securities)

Contract Specifications

Security descriptor

The security descriptor for the options contracts is:

  • Market type: N
  • Instrument Type: OPTSTK
  • Underlying: Symbol of the underlying security
  • Expiry date: Date of contract expiry
  • Option Type : CE/ PE
  • Strike Price: Strike price for the contract
  • Instrument type represents the instrument i.e. Options on individual securities.
  • The underlying symbol denotes the underlying security in the Capital Market (equities) segment of the Exchange
  • Expiry date identifies the date of expiry of the contract
  • Option type identifies whether it is a call or a put option., CE - Call European, PE - Put European.

 

Underlying Instrument

Option contracts are available on 182 securities stipulated by the Securities & Exchange Board of India (SEBI). These securities are traded in the Capital Market segment of the Exchange.

Trading cycle

Options contracts have a maximum of the 3-month trading cycle - the near month (one), the next month (two) and the far month (three). On the expiry of the near month contract, new contracts are introduced at new strike prices for both calls and put options, on the trading day following the expiry of the near month contract. The new contracts are introduced for a three-month duration.

Expiry day

Options contracts expire on the last Thursday of the expiry month. If the last Thursday is a trading holiday, the contracts expire on the previous trading day.

Strike Price Parameters

The step value for options contracts on all individual securities is based on the volatility of the underlying stock. The exchange shall review it and revise if necessary, every quarter

Download file for Stock Options Strike Scheme (.xls)

Revision in strike scheme for Stock Options w.e.f. January 29, 2023 (Circular reference for more information :NSE/FAOP/60058)

  • The step value is defined for narrow range and wide range within each expiry either as step value or as a multiple of the step value
  • The strike scheme will attempt to provide coverage of around 10% in narrow range. The wide range will provide an additional 5% from the narrow range, thereby providing total price range of around 15% subject to meeting minimum and maximum number of strikes

 

Parameter Proposed Strike Scheme
Near Month Middle Month Far Month
Step Value Narrow Range Step Value 2 times of Step Value
Wide Range 2 times of Step Value 2 times of Step Value 4 times of Step Value
Strike Scheme Narrow Range Min 3-1-3 Min 3-1-3 Min 3-1-3
Max 12-1-12 Max 12-1-12 Max 6-1-6
  Wide Range Min 1-1-1 Min 1-1-1 Min 1-1-1
  Max 12-1-12 Max 12-1-12 Max 6-1-6

 

The Exchange, at its discretion, may enable additional strikes as specified in the direction of the price movement, intraday, if required. The additional strikes may be enabled during the day at regular intervals and message for the same shall be broadcast to all trading terminals.

New contracts with new strike prices for existing expiration date are introduced for trading on the next working day based on the previous day’s underlying close values, as and when required. To decide upon the at-the-money strike price, the underlying closing value is rounded off to the nearest strike price interval.

The in-the-money strike price and the out-of-the-money strike price are based on the at-the-money strike price interval.

Periodic disablement of illiquid strikes

Exchange in consultation with SEBI has decided to implement a monthly review of stock options strikes and to disable illiquid strikes as per the below criteria:

  • All stock options contracts which are eligible as per the strike scheme will continue to be available for trading, irrespective of the open interest.
  • All stock options contracts which are not eligible as per the strike scheme and having open interest will continue to be available for trading.
  • All stock options contracts which not eligible as per the strike scheme and with zero open interest will be disabled.

 

The strike interval review for illiquid strikes in stock options would be conducted on monthly basis on the next trading day (End of the day) after the monthly expiry day of stock options. The illiquid strikes will be disabled for trading effective from second trading day after the monthly expiry day of stock options.

Circular reference for more information :NSE/FAOP/60058

Trading Parameters

Contract size

The value of the options contracts on individual securities may not be less than Rs. 5 lakhs at the time of introduction for the first time at any exchange. The permitted lot size for futures contracts & options contracts shall be the same for a given underlying or such lot size as may be stipulated by the Exchange from time to time.

Kindly refer file "NSE_FO_contract_ddmmyyyy.csv.gz" for the latest applicable lot size and quantity freeze file details.

Price steps

The price step in respect of the options contracts is Re.0.05.

Base Prices

The base price of the options contracts, on the introduction of new contracts, would be the theoretical value of the options contract arrived at based on the Black-Scholes model of calculation of options premiums or the settlement price as computed by Clearing Corporation.

The options price for a Call, computed as per the following Black Scholes formula:
C = S * N (d1) - X * e- rt * N (d2)

and the price for a Put is : P = X * e- rt * N (-d2) - S * N (-d1)

where :
d1 = [ln (S / X) + (r + σ2 / 2) * t] / σ * sqrt(t)
d2 = [ln (S / X) + (r - σ2 / 2) * t] / σ * sqrt(t)
= d1 - σ * sqrt(t)

C = price of a call option
P = price of a put option
S = price of the underlying asset
X = Strike price of the option
r = rate of interest
t = time to expiration
σ = volatility of the underlying

N represents a standard normal distribution with mean = 0 and standard deviation = 1
ln represents the natural logarithm of a number. Natural logarithms are based on the constant e (2.71828182845904).

The rate of interest may be the relevant MIBOR rate or such other rate as may be specified.

The base price of the contracts on subsequent trading days will be the daily settlement price of the options contract as computed by Clearing Corporation.
 

Quantity freeze

The applicable quantity freeze limit shall be published time to time:

Kindly refer file "NSE_FO_contract_ddmmyyyy.csv.gz" for the latest applicable lot size and quantity freeze file details.

Order type/Order book/Order attributes

  • Regular lot order
  • Stop-loss order
  • Immediate or cancel
  • Spread order
Updated on: 23/04/2024