Contract Specifications - Futures & Options on INR pairs
| Symbol | USDINR | EURINR | GBPINR | JPYINR | |
|---|---|---|---|---|---|
| Market Type | N | N | N | N | |
| Instrument Type | FUTCUR | FUTCUR | FUTCUR | FUTCUR | |
| Unit of trading | 1 - 1 unit denotes 1000 USD. | 1 - 1 unit denotes 1000 EURO. | 1 - 1 unit denotes 1000 POUND STERLING. | 1 - 1 unit denotes 100000 JAPANESE YEN. | |
| Underlying / Order Quotation | The exchange rate in Indian Rupees for US Dollars | The exchange rate in Indian Rupees for Euro. | The exchange rate in Indian Rupees for Pound Sterling. | The exchange rate in Indian Rupees for 100 Japanese Yen. | |
| Tick size | 0.25 paise or INR 0.0025 | ||||
| Trading hours | Monday to Friday 9:00 a.m. to 5:00 p.m. | ||||
| Contract trading cycle | 12 month trading cycle. | ||||
| Last trading day | Two working days prior to the last business day of the expiry month at 12:30 pm. | ||||
| Final settlement day | Last working day (excluding Saturdays) of the expiry month.
The last working day will be the same as that for Interbank Settlements in Mumbai. |
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| Quantity Freeze | 10,001 or greater | ||||
| Base price | Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
|
| Price operating range | Tenure upto 6 months | +/-3 % of base price. | |||
| Tenure greater than 6 months | +/- 5% of base price. | ||||
| Position limits | Position Limits for CDS Segment | ||||
| Initial margin | SPAN Based Margin | ||||
| Extreme loss margin | 1% of MTM value of gross open position | 0.3% of MTM value of gross open position | 0.5% of MTM value of gross open position | 0.7% of MTM value of gross open position | |
| Calendar spreads | Rs.400 for spread of 1 month Rs.500 for spread of 2 months Rs.800 for spread of 3 months Rs.1000 for spread of 4 months and more |
Rs.700 for spread of 1 month Rs.1000 for spread of 2 months Rs.1500 for spread of 3 months and more |
Rs.1500 for spread of 1 month Rs.1800 for spread of 2 months Rs.2000 for spread of 3 months and more |
Rs.600 for spread of 1 month Rs.1000 for spread of 2 months Rs.1500 for spread of 3 months and more |
|
| Settlement | Daily settlement : T + 1 Final settlement : T + 2 |
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| Mode of settlement | Cash settled in Indian Rupees | ||||
| Daily settlement price (DSP) |
Calculated on the basis of the last half an hour weighted average price across exchanges. | ||||
| Final settlement price (FSP) |
RBI reference rate | RBI reference rate | Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro | Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro | |