Nifty 50 F&O

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.

NSE introduced trading in index options on June 4, 2001. The options contracts are European style and cash  settled and are based on the popular market benchmark Nifty 50 index. (Selection criteria for indices)

Contract Specifications

Security descriptor

The security descriptor for the Nifty 50 options contracts is:

• Market type : N
• Instrument Type : OPTIDX
• Underlying : NIFTY
• 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 Index.
• Underlying symbol denotes the underlying index, which is Nifty 50
• 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

The underlying index is Nifty 50.

Trading cycle

Nifty 50 options contracts have 4 weekly expiry contracts (Circular Ref. No: 137/2022), 3 consecutive monthly contracts, additionally 3 quarterly months of the cycle March / June / September / December and 8 following semi-annual months of the cycle June / December would be available, so that at any point in time there would be options contracts with atleast 4 year tenure available. New serial weekly options contract shall be introduced after expiry of the respective week’s contract. On expiry of the near month contract, new contracts (monthly/quarterly/ half yearly contracts as applicable) are introduced at new strike prices for both call and put options, on the trading day following the expiry of the near month contract.

Expiry day

Nifty 50 options monthly contracts expire on the last Thursday of the expiry month and weekly contracts expire on every Thursday of the week. If the last Thursday is a trading holiday, the contracts expire on the previous trading day.

Strike Price Intervals

1. The Strike scheme for all short term expiries (near, mid and far months) Index Options is:

2 .The Strike scheme for Nifty Index options the strike parameters for near expiries (i.e. Near, Mid and Far month expiries)

3.The Strike scheme for Nifty 50  long term Quarterly and Half Yearly expiry option contracts is:

*closing value of respective indices shall be rounded off to the nearest strike price for arriving at the at-the-money strike.

Discontinuation of illiquid strikes:

Exchanges in consultation with SEBI has decided to implement a semi-annual review to discontinue those strikes of NIFTY 50 Long Term Index Option contracts which have zero open interest and not part of the revised strike scheme as per the below criteria: 

• All long term index option contracts eligible as per revised strike scheme will continue to be available, irrespective of the open interest. 
• All long term index option contracts not eligible as per revised strike scheme and having open interest will continue to be available.  
• All long term index option contracts not eligible as per revised strike scheme and with zero open interest will be discontinued.

The strike interval review and discontinuation of illiquid strikes in NIFTY 50 Long Term Index Options shall be conducted on semi-annual basis starting from June 2020 expiry. Accordingly, revision if any, will be implemented after the expiry of respective computation month i.e. expiries of month of June / December.
The strike interval change, if any, shall be communicated through a circular. 

Trading Parameters

Contract size

The value of the option contracts on Nifty 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.

Download the file for permitted lot size (.csv)

Price steps

The price step in respect of Nifty 50 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 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).

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 contracts as computed by clearing corporation.

Quantity freeze

The applicable quantity freeze limit shall be based on the level of the underlying index as per the following table:

Download the file for quantity freeze (.xls)

Order type/Order book/Order attributes

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