A futures contract is a forward contract, which is traded on an Exchange. NFTYMCAP50 futures contracts would be based on the Nifty Midcap 50 index. (Selection criteria for indices)
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 Midcap 50 futures contracts is:
 Market type : N
 Instrument Type : FUTIDX

Underlying : NIFTYMID50
 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
Midcap 50.
 Expiry date identifies the date of expiry of the contract
Underlying Instrument
The underlying index is NIFTY MIDCAP 50.
Trading cycle
NFTYMCAP50 futures contracts have a maximum of 3month trading cycle  the near month (one), the next month (two) and the far month (three). A new contract is introduced on the trading day following the expiry of the near month contract. The new contract will be introduced for a three month duration. This way, at any point in time, there will be 3 contracts available for trading in the market i.e., one near month, one mid month and one far month duration respectively.
Expiry day
NFTYMCAP50 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 NFTYMCAP50 may not be less than Rs. 2 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 NFTYMCAP50 futures contracts is Re.0.05.
Base Prices
Base price of NFTYMCAP50 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
NFTYMCAP50 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 inadvertent 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 based on the level of the underlying index as per the following table:
Index Level 

From 
To 
Quantity Freeze
Limit 
0 
5750 
15000 
5751 
8625 
10000 
8626 
11500 
7500 
11501 
17250 
5000 
> 17250 
2500 
Download the file for quantity freeze (.xls)
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 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 European style and cash settled and are based on the popular market Nifty Midcap 50 index. (Selection
criteria for indices)
Contract Specifications
Security descriptor
The security descriptor for the Nifty Midcap 50 options contracts is:
 Market type : N
 Instrument Type : OPTIDX
 Underlying : NFTYMCAP50
 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 Midcap 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 MIDCAP 50.
Trading cycle
NFTYMCAP50 options contracts have a maximum of 3month trading cycle  the near month (one), the next month (two) and the far month (three). On expiry of the near month contract, new contracts are introduced at new strike prices for both call and put options, on the trading day following the expiry of the near month contract. The new contracts are introduced for three month duration.
Expiry day
NFTYMCAP50 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 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:
Index Level 
Strike Interval 
No of Strikes 
≤ 2000 
50 
818 
> 2000 upto ≤ 3000 
100 
616 
> 3000 upto ≤ 4000 
100 
818 
> 4000 upto ≤ 6000 
100 
12112 
> 6000 
100 
16116 
Trading Parameters
Contract size
The value of the option contracts on NFTYMCAP50 may not be less than Rs.2 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 NFTYMCAP50 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 BlackScholes model of calculation of options premiums.
The options price for a Call, computed as per the following Black Scholes formula:
C = S * N (d_{1})  X * e^{ rt} * N (d_{2})
and the price for a Put is : P = X * e^{ rt} * N (d_{2})  S * N (d_{1})
where :
d_{1} = [ln (S / X) + (r + σ^{2} / 2) * t] / σ * sqrt(t)
d_{2} = [ln (S / X) + (r  σ^{2} / 2) * t] / σ * sqrt(t)
= d_{1}  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 BlackScholes model of calculation of options premiums.
Quantity freeze
The applicable quantity freeze limit shall be based on the level of the underlying index as per the following table:
Index Level 

From 
To 
Quantity Freeze
Limit 
0 
5750 
15000 
5751 
8625 
10000 
8626 
11500 
7500 
11501 
17250 
5000 
> 17250 
2500 
Download the file for quantity freeze (.xls)
Order type/Order book/Order attributes
 Regular lot order
 Stop loss order
 Immediate or cancel
 Spread order