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24-May-2024

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NIFTYNEXT 50 F&O


A futures contract is a forward contract, which is traded on an Exchange. Nifty Next 50 Index futures Contract would be based on the Nifty Next 50 index

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

Contract Specifications

Security descriptor

The security descriptor for the Nifty Next 50 Index futures contracts is:

  • Market type: N
  • Instrument Type: FUTIDX
  • Symbol : NIFTYNXT50
  • Underlying: Nifty Next 50 Index
  • Expiry date: Date of contract expiry
  • Instrument type represents the instrument i.e. Futures on Index.
  • Underlying symbol denotes the underlying index which is Nifty Next 50 Index
  • Expiry date identifies the date of expiry of the contract

Underlying Instrument

The underlying index is Nifty Next 50 index Select Index.

Trading cycle

Nifty Next 50 Index Futures will have 3 consecutive months trading cycle – Near-Month, Mid-Month and Far-Month. A new contract is introduced on the trading day following the expiry of the near month contract.

Expiry day

Nifty Next 50 futures contracts expire on the last Friday of the expiry month. If the last Friday is a declared trading holiday at the time of contract generation, the contracts expire on the previous trading day.

Trading Parameters

Contract size

The value of the futures contracts on NIFTYNXT50 may not be less than Rs. 5 lakhs at the time of introduction. 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 NIFTYNXT50 futures contracts is Re.0.05.

Base Prices

Base price of NIFTYNXT50 futures Contracts on the first day of trading would be theoretical futures price. The base price of the contracts on subsequent trading days would be the daily settlement price of the futures contracts.

Price bands

There are no day minimum/maximum price ranges applicable for NIFTYNXT50 futures contracts. However, in order to prevent erroneous order entry by trading members, operating ranges are kept at +/- 10 %. In respect of orders which have come under price freeze, members would be required to confirm to the Exchange that there is no in advertent error in the order entry and that the order is genuine. On such confirmation 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

 

For more information please refer NSE/FAOP/61629.

 

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 be long in the option. A person who sells (or writes) an option is said to be short in the option.

The options contracts are cash settled European style call options and put option contract, based on the underlying the Nifty Next 50 index

Contract Specifications

Security descriptor

The security descriptor for the Nifty Next 50 Index futures contracts is:

  • Market type: N
  • Instrument Type: OPTIDX
  • Symbol : NIFTYNXT50
  • Underlying: Nifty Next 50 Index
  • Expiry date: Date of contract expiry
  • Instrument type represents the instrument i.e. Futures on Index.
  • Underlying symbol denotes the underlying index which is Nifty Next 50 Index.
  • Expiry date identifies the date of expiry of the contract

Underlying Instrument

The underlying index is Nifty Next 50 index Select Index.

Trading cycle

Nifty Next 50 Index Options will have 3 consecutive months trading cycle – Near-Month, Mid-Month and Far-Month. A new contract is introduced on the trading day following the expiry of the near month contract.

Expiry day

Nifty Next 50 Options contracts expire on the last Friday of the expiry month. If the last Friday is a declared trading holiday at the time of contract generation, the contracts expire on the previous trading day

Strike Price Intervals

The number of contracts provided in options on index is based on the range in previous day's closing value of the underlying index and applicable as per the following table for all monthly contracts.

Strike Interval Number of Strike (In the money- At the money- out of the money)
100 40-1-40
500 20-1-20 (Including 500 strikes due to strike interval of 100)

Trading Parameters

Contract size

The value of the option contracts on Nifty Next 50 may not be less than Rs. 5 lakhs at the time of introduction. 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 Nifty Next 50 Index options contracts is Re.0.05.

Base Prices

Base price of the options contracts, on introduction of new contracts, would be the theoretical value of the options contract arrived at based on Black-Scholes model of calculation of options premiums.

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).

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 close price of the options contracts. The closing price shall be calculated as follows:

  • If the contract is traded in the last half an hour, the closing price shall be the last half an hour weighted average price.
  • If the contract is not traded in the last half an hour, but traded during any time of the day, then the closing price will be the last traded price (LTP) of the contract.

If the contract is not traded for the day, the base price of the contract for the next trading day shall be the theoretical price of the options contract arrived at based on Black-Scholes model of calculation of options premiums.

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

 

For more information please refer NSE/FAOP/61629.

 

Updated on: 23/04/2024