Contract Specifications - Base Metal
| Commodity Futures | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| Product Parameters | Copper Futures | Aluminium Futures | Aluminium Mini Futures | Lead Futures | Lead Mini Futures | Nickel Futures | Zinc | Zinc Mini | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Instrument Type | Futures Contract (FUTBAS) | Futures Contract (FUTBAS) | Futures Contract (FUTBAS) | Futures Contract (FUTBAS) | Futures Contract (FUTBAS) | Futures Contract (FUTBAS) | Futures Contract (FUTBAS) | Futures Contract (FUTBAS) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Underlying | COPPER | ALUMINIUM | ALUMINIUM | LEAD | LEAD | NICKEL | ZINC | ZINC | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Symbol | COPPER | ALUMINIUM | ALUMINI | LEAD | LEADMINI | NICKEL | ZINC | ZINCMINI | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Description | COPPERYYMMM | ALUMINIUMYYMMM | ALUMINIYYMMM | LEADYYMMM | LEADMINIYYMMM | NICKELYYMMM | ZINCYYMMM | ZINCMINIYYMMM | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Contract Listing | Monthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar. | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Contract Commencement Day | 1st day of contract launch month. If 1st day is a holiday, then the following working day. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Last Trading Day (Contract Expiry) | Last calendar day of the contract expiry month. If last calendar day is a holiday, then preceding working day. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Trading | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Trading Period | Mondays through Fridays | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Trading Session | Monday - Friday 9:00 am to 11:30 / 11:55 pm* * based on US daylight saving time period | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Trading Unit | 2.5 MT | 5 MT | 1 MT | 5 MT | 1 MT | 1500 Kgs | 5 MT | 1 MT | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Quotation / Base Value | ₹ per 1 Kg | 1 Kg | 1 Kg | 1 Kg | 1 Kg | 1 Kg | 1 Kg | 1 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Price Quote | Ex-Warehouse at Bhiwandi (excluding all taxes and levies relating to GST & any other additional tax or surcharge on GST, but inclusive of all taxes and levies relating to import duty, customs & other related duties in case of imports) | Ex-Warehouse Raipur district (excludes only GST). | Ex-Warehouse at Chennai district in Tamil Nadu (excludes only GST) | Ex-Warehouse Thane district (excludes only GST) | Ex-Warehouse Thane district (excludes only GST) | Ex-Warehouse Thane district (excludes only GST) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Maximum Order Size | 175 MT | 150 MT | 150 MT | 100 MT | 24 MT | 100 MT | 100 MT | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Tick Size | 5 paisa per kg (₹ 0.05 ) | 10 Paisa per kg | 5 paisa per kg (₹ 0.05 ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Daily Price Limit |
The base price limit shall be 6%. In case the daily price limit of 6% is breached, then after a cooling off period of 15 minutes, the daily price limit will be relaxed upto 9%. In case price movement in international markets is more than the maximum daily price limit (currently 9%) or if international price is beyond maximum daily price limit range (after appropriate currency conversion) when compared with closing price on previous day on domestic exchange, the same may be further relaxed in steps of 3% beyond the maximum permitted limit, by giving appropriate notice to the market. Only in the event of exceptional circumstances, where there is extreme price movement, beyond the initial slab of the daily price limit, in the international markets, during trading hours or after the closure of trading on domestic exchanges, the daily price limit may be relaxed directly by the required level, by giving appropriate notice to the market. |
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| Initial Margin | Minimum margin based on volatility category or based on SPAN whichever is higher. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Extreme Loss Margin | 1% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Additional and / or Special Margin | In case of additional volatility, an additional margin (on both buy & sale position) and/ or special margin (on either buy or sale position) at such percentage, as deemed fit; will be imposed in respect of all outstanding positions. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Other Margins | Pre-Expiry Margins: Clearing Corporation shall levy pre-expiry margin which shall be increased gradually from five trading days till the expiry of the contract as applicable. 4% incremental margins shall be levied during the pre-expiry period. Delivery period margin shall be levied by Clearing Corporation on the long and short positions marked for delivery till the pay-in is completed by the clearing member. Once delivery period margin is levied, all other applicable margins may be released. Delivery period margins shall be higher of: a) 3% + 6 day 99%VaRof spot price volatility Or b) 20% Concentration Margin: Clearing Corporation may impose adequate concentration margins (only on concentrated positions) to cover the risk of longer period required for liquidation of concentrated positions in any commodity. | Will be specified by NSE Clearing Corporation by separate circular | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Maximum Allowable Open Position | For a member collectively for all clients: 70,000 MT or 20% of the market wide open position, whichever is higher for all Copper Futures contracts combined together. For individual clients: 7,000 MT or 5% of the market wide open position, whichever is higher for all Copper Futures contracts combined together. |
For a member collectively for all clients: 2,50,000 MT or 20% of the market wide open position, whichever is higher for all Aluminium contracts combined together. For individual client: 25,000 MT or 5% of the market wide open position, whichever is higher for all Aluminium contracts combined together. |
For a member collectively for all clients: 35,000 MT or 20% of the market wide open position, whichever is higher for all Lead contracts combined together For individual clients: 3,500 MT or 5% of the market wide open position, whichever is higher for all Lead contracts combined together. |
For a member collectively for all clients: 10,000 MT or 20% of the market wide open position, whichever is higher for all Nickel contracts combined together. For individual clients: 1000 MT or 5% of the market wide open position, whichever is higher for all Nickel contracts combined together. |
For a member collectively for all clients: 70,000 MT or 20% of the market wide open position, whichever is higher for all Zinc contracts combined together. For individual clients: 7000 MT or 5% of the market wide open position, whichever is higher for all Zinc contracts combined together |
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| Settlement on Expiry | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Settlement Logic | Compulsory Delivery | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Settlement of Contract | On expiry, all open positions shall be settled by compulsory delivery | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Unit | 2.5 MT | 5 MT with tolerance limit of + / - 10% | 1 MT with tolerance limit of + / - 10% | 5 MT with tolerance limit of + / - 10% | 1 MT with tolerance limit of + / - 10% | 1500 Kgs with tolerance limit of + / - 10% | 5 MT with tolerance limit of + / -10% | 1 MT with tolerance limit of + / -10% | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Period Margin | Delivery period margins shall be higher of: a. 3% + 5 day 99%VaRof spot price volatility Or b. 20% | Will be specified by NSE Clearing Corporation by separate circular | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Centre | Bhiwandi | Ex-Warehouse at Raipur district in Chhattisgarh | Ex-Warehouse at Chennai district in Tamil Nadu | Ex-Warehouse at Thane district in Maharashtra | Ex-Warehouse at Thane district in Maharashtra | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Additional Delivery Centre | NIL | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Staggered Delivery Period | The staggered delivery period shall be the last three working days including the last trading day (expiry day) of the contract. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Allocation |
Delivery intensions of Seller(s) shall be randomly allocated to ensure that all buyers have an equal opportunity irrespective of the size or value of the position. However, preference may be given to buyers who have given an intention of taking delivery. Pay-in will be on T+1 working days i.e., excluding Saturday, Sunday & Public Holiday. The buyer to whom the delivery is allocated will not be allowed to refuse taking delivery. If the seller fails to deliver, the penal provisions as specified for seller default shall be applicable. |
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| Delivery Order Rate |
On Staggered Delivery Tender Days: The delivery order rate (the rate at which delivery will be allocated) shall be the closing price (weighted average price of last half an hour) on the respective tender day except on the expiry date. On Expiry: On expiry date, the delivery order rate or final settlement price shall be the Due Date Rate (DDR) and not the closing prices. |
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| Final Settlement Price | For contracts where Final Settlement Price (FSP) is determined by polling, unless specifically approved otherwise, the FSP shall be arrived at by taking the simple average of the last polled spot prices of the last three trading daysviz.,E0 (expiry day), E-1 and E-2.In the event the spot price for any one or both of E-1 and E-2 is not available; the simple average of the last polled spot price of E0, E-1, E-2 and E-3, whichever available, shall be taken as FSP. Thus, the FSP under various scenarios of non-availability of polled spot prices shall be as under
In case of non-availability of polled spot price on expiry day (E0) due to sudden closure of physical market under any emergency situations noticed at the basis centre, Exchange shall decide further course of action for determining FSP in consultation with SEBI. |
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| Quality Specification | Grade 1 electrolytic copper as per B115 specification. It should be Copper Cathodes of LME approved brands or other suppliers / brands as may be approved by the exchange. List of refineries conforming to the quality specification as per the good delivery standard shall be updated on the exchange website. *List of ineligible countries for imported cathodes if any shall also be known to the market participants in advance. |
Primary Aluminium Ingots with minimum purity of 99.70% Only LME approved or any other brands as approved by NSE, will be accepted. For the purpose of quality assessment, reliance shall be placed by the WSP on the Certificate of Analysis (CoA) issued by the producer. |
Lead Ingots with minimum purity of 99.97% Only LME approved brands will be accepted. For the purpose of quality assessment, reliance shall be placed by the WSP on the Certificate of Analysis (CoA) issued by the producer |
Primary Nickel Cathodes (Uncut / Full Plate) with minimum purity of 99.80%.
Only LME approved brands will be accepted. For the purpose of quality assessment, reliance shall be placed by the WSP on the Certificate of Analysis (CoA) issued by the producer. |
Primary Special High-Grade Zinc with minimum purity of 99.995%
Only LME approved brands will be accepted. For the purpose of quality assessment, reliance shall be placed by the WSP on the Certificate of Analysis (CoA) issued by the producer. |
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| Commodity Options | ||
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| Product Parameters | Copper Options | Zinc Options |
| Instrument Type | Options Contract with Futures (OPTFUT) | |
| Underlying | Copper | Zinc |
| Options Type | The Options Contract shall be European styled which can be exercised only on the expiration day | |
| Symbol | COPPER | ZINC |
| Description | COPPERYYMMM<strike price><CE/PE> | ZINCYYMMM<strike price><CE/PE> |
| Contract Listing | Monthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar. |
| Contract Commencement Day | Business Day immediately following the last trading day. (Expiry Day + 1) of the corresponding futures contract. | |
| Last Trading Day (Contract Expiry) | Three business days prior to the first business day of Tender Period of the underlying futures contract. | |
| Trading | ||
| Trading Period | Mondays through Fridays | |
| Trading Session | Monday - Friday 9:00 am to 11:30 / 11:55 pm* * based on US daylight saving time period | |
| Trading Unit | 2.5 MT | 5 MT |
| Underlying Quotation / Base Value | ₹ per 1 Kg | 1 Kg |
| Underlying Price Quote | Ex-Warehouse at Bhiwandi (excluding all taxes and levies relating to GST & any other additional tax or surcharge on GST, but inclusive of all taxes and levies relating to import duty, customs & other related duties in case of imports) | Ex-Warehouse Thane district (excludes only GST) |
| Maximum Order Size | 175 MT | 100 MT |
| Tick Size | ₹ 0.01 | ₹ 0.01 |
| Strike Price Intervals | ₹ 5 | Rs 2.50 |
| Minimum Number of Strikes | 7 - 1 - 7 | 7-1-7 |
| Base Price | Base price shall be theoretical price on the option pricing model as decided by the Exchange/Clearing Corp, on the first day of the contract. On all other days, it shall be previous day’s closing Price or theoretical price of the contract, as applicable. | |
| Daily Price Limit | The upper and lower price band shall be determined based on statistical method as decided by the Exchange/Clearing Corp and relaxed considering the movement in the underlying futures contract. In the event of freezing of price ranges even without a corresponding price relaxation in underlying futures, if deemed necessary, considering the volatility and other factors in the option contract, the Daily Price Limit shall be relaxed by the Exchange. | |
| Margins |
The minimum margin percentage and minimum MPOR for options on futures shall be based on the volatility category or as may be specified by the Clearing Corporation from time to time. |
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| Premium |
Premium of buyer shall be blocked upfront on real time basis. |
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| Margining at client level |
It will be specified by NSE Clearing Corporation by separate circular. |
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| Real Time Computation | The margins shall be recomputed using SPAN at Begin of Day, 9.30 am, 11.00 am, 1.00 pm, 3.00 pm, 5.00 pm, 7.00 pm, 8.30 pm, 10.30 pm and End of Day. | |
| Mark to Market | The option positions shall be marked to market by deducting / adding the current market value of options positions (positive for long options and negative for short options) times the number of long / short options in the portfolio from / to the margin requirement. Mark to Market gains and losses would not be settled in Cash for Options Positions. | |
| Risks pertaining to Option that devolve into Futures on Expiry | a) In the initial phase, a sensitivity report shall be provided to members of the impending increase in margins at least 2 days in advance. The mechanism shall be reviewed and if deemed necessary, pre-expiry option margins shall be levied on the buy / sell / both positions during the last few days before the expiry of the option contract. b) The penalty for short collection / non collection due to increase in initial margins resulting from devolvement of options into futures shall not be levied for the first day. |
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| Additional and/or Special Margin | At the discretion of the Exchange when deemed necessary. | |
| Maximum Allowable Open Position | For a member collectively for all clients: 140,000 MT or 20% of the market wide open position, whichever is higher for all Copper Options contracts combined together. For individual clients: 14,000 MT or 5% of the market wide open position, whichever is higher for all Copper Options contracts combined together. |
For a member level: 1,40,000 MT or 20% of the market wide open position, whichever is higher - For all Zinc Options contracts combined together For client level: 14,000 MT or 5% of the market wide open position, whichever is higher - For all Zinc Options contracts combined together. |
| Settlement on Exercise | ||
| Settlement of Premium/ Final Settlement | T + 1 day | |
| Exercise Mechanism at Expiry |
All In the money (ITM)# option contracts shall be exercised automatically, unless ‘contrary instruction’ has been given by long position holders of such contracts for not doing so. The ITM option contract holders, who have not submitted contrary instructions, shall receive the difference between the Settlement Price and Strike Price in Cash as per the settlement schedule. In the event contrary instruction are given by ITM option position holders, the positions shall expire worthless. All Out of the money (OTM) option contracts shall expire worthless. All devolved futures positions shall be considered to be opened at the strike price of the exercised options. All exercised contracts within an option series shall be assigned to short positions in that series in a fair and non-preferential manner. #ITM for call option = Strike Price < Settlement Price ITM for put option = Strike Price > Settlement Price |
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| Mode of Settlement |
On expiry of options contract, the open position shall devolve into underlying futures position as follows: • Long call position shall devolve into long position in the underlying futures contract. • Long put position shall devolve into short position in the underlying futures contract. • Short call position shall devolve into short position in the underlying futures contract. • Short put position shall devolve into long position in the underlying futures contract. All such devolved futures positions shall be opened at the strike price of the exercised options |
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| Due Date Rate (Final Settlement Price) | Daily settlement price of underlying futures contract on the expiry day of options contract. | |
Updated on: 01/07/2024
