NATIONAL STOCK EXCHANGE OF INDIA LIMITED
FUTURES & OPTIONS SEGMENT
CIRCULAR
Date: December 28, 2007
Circular
No.
NSE/F&O/120/2007
Download
No: NSE/F&O/9983
Dear Members,
Introduction
of mini derivative (futures & options) contracts
on S&P CNX Nifty
Index
Further
to circular no. NSE/F&O/118/2007 dated December 27, 2007,
members are advised to
note that mini derivative (futures and options) contracts on S&P CNX Nifty
index will be introduced for trading in F&O segment w.e.f.
January 1, 2008.
The contract specification for mini derivative (futures and options) contracts on
S&P CNX Nifty index are provided at Annexure 1. The applicable
lot size for these contracts shall be informed through a separate circular to
be issued on December 31, 2007 after market hours.
The new contracts will be available for trading from January
1, 2008. Members are requested to take the latest contract.gz, security.gz and
fo_participant.gz files from NSE EXTRANET, directory:/faoftp/faocommon before commencing trading on January 1,
2008. A detailed list of new contracts introduced for trading (file name:CONTRACT31122007.CSV) will be available on the path faoftp/faocommon/Contracts on December 31, 2007 after
market hours.
For any clarifications,
members are advised to contact the following officials:
Mr. Arvind Goyal,
Mr. Janardhan Gujaran and
Mr. Sachin Dhar at 26598151
/ 26598152.
For and on behalf of
National Stock Exchange of India
Limited
Suprabhat
Lala
Asst. Vice
President
Annexure 1
Contract
specification for mini contracts on S&P CNX Nifty index
|
Parameter |
Index Options |
Index Futures |
|
Underlying |
S&P CNX Nifty index |
S&P CNX Nifty index |
|
Instrument |
OPTIDX |
FUTIDX |
|
Underlying symbol |
MINIFTY |
MINIFTY |
|
Expiry Date |
DD-MMM-YYYY |
DD-MMM-YYYY |
|
Option Type |
CE / PE |
- |
|
Trading Cycle |
3 month trading cycle - the near month (one), the next month (two) and
the far month (three) |
3 month trading cycle - the near month (one), the next month (two) and
the far month (three) |
|
Expiry Day |
Last Thursday of the expiry month. If the last Thursday is a trading
holiday, then the expiry day is the previous trading day. |
Last Thursday of the expiry month. If the last Thursday is a trading
holiday, then the expiry day is the previous trading day. |
|
Strike price |
As applicable to existing index contracts |
- |
|
Strike Price
Intervals |
As applicable to existing index contracts |
- |
|
Permitted |
Based on contract value of atleast Rs 1 lac at the time of introduction |
Based on contract value of atleast Rs 1 lac at the time of introduction |
|
Expiry day |
Last Thursday of the expiry month or the previous trading day if the
last Thursday is a trading holiday |
Last Thursday of the expiry month or the previous trading day if the
last Thursday is a trading holiday |
|
Settlement basis |
Cash settlement |
Cash settlement |
|
Style of option |
European |
- |
|
Price Steps |
Rs.0.05 |
Rs.0.05 |
|
Operating Range |
|
10% of base price on either side |
|
Quantity freeze |
As applicable to existing index contracts |
As applicable to existing index contracts |