Contract Specifications - Bullion
| COMMODITY FUTURES | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| PRODUCT PARAMETERS | GOLD FUTURES | GOLD MINI FUTURES |
GOLDGUINEA FUTURES |
GOLD 1G FUTURES | SILVER FUTURES | SILVER MINI FUTURES | SILVER MICRO FUTURES | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| UNDERLYING | Gold | Gold | Gold | Gold | Silver | Silver | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| INSTRUMENT TYPE | Futures Contract | Futures Contract | Futures Contract | Futures Contract | Futures Contract | Futures Contract | Futures Contract | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| UNDERLYING SYMBOL | GOLD | GOLDM | GOLDGUINEA | GOLD1G | SILVER | SILVERM | SILVERMIC | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| DESCRIPTION | GOLDYYMMM | GOLDMYYMMM | GOLDGUINEAYYMMM | GOLD1GYYMMM | SILVERYYMMM | SILVERMYYMMM | SILVERMICYYMMM | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| CONTRACT LISTING | Bimonthly 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 | Bimonthly/trimonthly contracts. Details as per the attached launch calendar | Bimonthly/trimonthly contracts. Details as per the attached launch calendar | Bimonthly/trimonthly contracts. Details as per the attached launch calendar | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| CONTRACT COMMENCEMENT DAY |
6th day of contract launch month. If 6th day is a holiday then the following working day. (Expiry Day + 1) For Gold Guinea Futures: 1 st day of contract launch month. If 1st day is a holiday, then the following working day |
Business day immediately following the last trading day. (Expiry Day + 1) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| LAST TRADING DAY (CONTRACT EXPIRY) |
5th day of contract expiry month. If 5th day is a holiday then preceding working day.On the day of expiry, the trading shall be allowed up to 11:30 pm/11:55 pm* For Gold Guinea Futures: Last calendar day of the contract expiry month. If last calendar day is a holiday then preceding working day |
Last calendar day of the contract expiry month. If last calendar day is a holiday then preceding working day. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| TRADING: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| TRADING PERIOD | Mondays to Fridays | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| TRADING SESSION | Monday - Friday 09:00 am to 11:30 pm/11:55 pm* *based on US daylight saving time period |
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| TRADING UNIT | 1 kg | 100 grams | 8 grams | 1 gram | 30 kg | 5 kg | 1 kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| QUOTATION/BASE VALUE | Rs. Per 10 grams | Rs. Per 10 grams | 8 grams | Rs. Per gram | Rs. Per 1 Kg | Rs. Per 1 Kg | Rs. Per 1 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| PRICE QUOTE | Ex-Ahmedabad (inclusive of all taxes and levies relating to import duty, customs but excluding all taxes and levies relating to GST, any other additional tax or surcharge on GST). | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| MAXIMUM ORDER SIZE | 10 Kg | 10 Kg | 10 kg | 10 Kg | 600 Kg | 600 kg | 600 kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| TICK SIZE (MINIMUM PRICE STEPS) | Rs.1.00 | Rs.1.00 | Rs.1.00 | Rs.1.00 | Rs.1.00 | Re. 1 per kg | Re. 1 per kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| DAILY PRICE LIMITS 1 |
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 2 | Minimum margin based on volatility category or based on SPAN whichever is higher. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| EXTREME LOSS MARGIN 3 | 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. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| MAXIMUM ALLOWABLE OPEN POSITION 4 |
For a member collectively for all clients: 50 MT or 20% of the market wide open position whichever is higher, for all Gold contracts combined together. For individual client: 5 MT for all Gold contracts combined together or 5% of the market wide open position whichever is higher, for all Gold contracts combined together. |
For a member collectively for all clients: 1000 MT or 20% of the market wide open position whichever is higher, for all Silver contracts combined together. For individual client: 100 MT or 5% of the market wide open position whichever is higher for all Silver contracts combined together. |
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DAILY SETTLEMENT PRICE |
Daily Settlement Price for mark to market settlement of unexpired futures contracts shall be the closing price of such contracts on the trading day. The closing price for unexpired futures contract shall be calculated on the basis of the last half an hour weighted average price of such contract, subject to minimum 10 trades in last half hour or weighted average price of last 10 trades of the day for such contract or such other price as may be decided by the relevant authority from time to time | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| DELIVERY: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| DELIVERY UNIT | 1 kg | 100 grams | 8 grams and in multiples thereof | 1 gram | 30 kg | 5 kg (five nos. of 1Kg Bars) | 1 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| DELIVERY PERIOD MARGIN 5 | Delivery period margins shall be higher of: a. 3% + 5 day 99% VaR of spot price volatility Or b. 20% |
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| DELIVERY CENTRE(S) | Designated clearing house facilities at Ahmedabad | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ADDITIONAL DELIVERY CENTRE(S) | Delhi, Mumbai & Chennai | Delhi, Mumbai & Chennai | NIL | Delhi, Mumbai & Chennai | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| QUALITY SPECIFICATIONS |
995 purity. * The acceptance of gold bars produced by the NSE empanelled Refiners has been temporarily halted, until further notice |
995 purity. It should be serially numbered gold bars supplied by LBMA approved suppliers or below mentioned NSE empanelled refiners; to be submitted alongwith supplier's quality certificate. 1. M D Overseas Pvt Ltd 2. Kundan Care Products Ltd 3. Augmont Enterprises Pvt Ltd 4. GGC Gujarat Gold Centre Pvt Ltd Click here for list of acceptable gold bars from NSE empanelled refiners |
999 purity. It should be serially numbered Gold Guinea supplied by LBMA approved suppliers or other suppliers as may be approved by NSE, to be submitted along with supplier's quality certificate |
999 purity. * The acceptance of gold bars produced by the NSE empanelled Refiners has been temporarily halted, until further notice |
Grade: 999 and Fineness: 999 (as per IS 2112: 1981)
It should be serially numbered silver bars supplied by LBMA approved suppliers or other suppliers as may be approved by the exchange. |
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| IF THE SELLER OFFERS DELIVERY OF 999 PURITY |
Seller will get a proportionate premium and sale proceeds will be calculated as under: Rate of delivery* 999/ 995 If the quality is less than 995, it is rejected. |
NA | NA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| DUE DATE RATE (FINAL SETTLEMENT PRICE) 6 |
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 days viz.,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. Note: (Only for Gold (1Kg) futures): The spot price considered for the purpose of FSP computation shall be the spot price without custom Duty as disseminated by the exchange for Gold (1Kg) contracts. (only for Gold 1g Futures): The spot price would be polled in Rs. Per 10 grams for 995 purity gold. This polled price would be converted to Rs. Per gram for 999 purity gold by using the following formula. Polled spot price divided by 10 multiplied by 999 divided by 995. Gold Guinea Futures: Exchange shall announce the DDR based on the Ahmedabad Spot price for Gold (10gms) 995 purity,which shall be converted to 999 purity (Gold Spot price 995 purity * 999/995), polled on the last day of the expiry of this Gold Guinea contract by around 5.00pm. The arrived spot price will be converted for 8 grams Gold |
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| DELIVERY LOGIC | Compulsory delivery | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| SETTLEMENT OF CONTRACT | On expiry all the open positions shall be marked for delivery. Delivery pay-in will be on E + 1 basis by 11.00 a.m. except Saturdays, Sundays and Trading Holidays. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| STAGGERED DELIVERY PERIOD | The staggered delivery period shall be the last three working days including the last trading day (expiry day) of the contract. |
Basis Delivery Centre - The staggered delivery period shall be the last three working days including the last trading day (expiry day) of the contract. Additional Delivery Centre – Starts from 25th day of the preceding month to the expiry month. If 25th day is non-working day, the tender period will start from next working day. |
The staggered delivery period shall be the last three working days including the last trading day (expiry day) of the contract. |
Basis Delivery Centre - The staggered delivery period shall be the last three working days including the last trading day (expiry day) of the contract. Additional Delivery Centre – Starts from 25th day of the preceding month to the expiry month. If 25th day is non-working day, the tender period will start from next working day. |
The staggered delivery period shall be the last three working days including the last trading day (expiry day) of the contract. | The staggered delivery period shall be the last three working days including the last trading day (expiry day) of the contract. | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| DELIVERY AND SETTLEMENT PROCEDURE | Click here for details | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
* w.e.f October 12, 2018
Click here for Product Advisory Committees
- 1. As per SEBI/HO/CDMRD/DMP/CIR/P/2016/83 dated September 07, 2016
- 2. The provisions of Risk Management in terms of the SEBI Circulars No. CIR/CDMRD/DRMP/01/2015 dated October 01, 2015 and SEBI/HO/CDMRD/DRMP/CIR/P/2016/77 dated September 01, 2016 and / or any amendments thereto from time to time shall be applicable.
- 3. As per SEBI Circular no CIR/CDMRD/DRMP/01/2015 dated October 1, 2015
- 4. As per SEBI circular SEBI/HO/CDMRD/DMP/CIR/P/2016/96 dated September 27, 2016
- 5. As per SEBI/HO/CDMRD/DRMP/CIR/P/2016/77 dated September 01, 2016
- 6. As per SEBI Circular no SEBI/HO/CDMRD/DRMP/CIR/P/2016/90 dated Sep 21, 2016
| COMMODITY OPTIONS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| PRODUCT PARAMETERS | Gold Options | Gold Mini Options | Silver Options | Silver Mini | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Underlying | Gold | Gold | Silver | Silver | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Instrument Type | Options on futures (OPTFUT) | Options on futures (OPTFUT) | Options Contract with Spot as Underlying (OPTBLN) | Options on futures (OPTFUT) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Options Type | The options contracts shall be European styled which can be exercised only on the expiration date | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Symbol | GOLD | GOLDM | SILVER | SILVERM | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Description | GOLDYYMMM<strike price><CE/PE> | GOLDMYYMMM<strike price><CE/PE> | SILVERYYMMM<strike price><CE/PE> | SILVERM YYMMM<strike price><CE/PE> | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Contract Listing | Bimonthly/trimonthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar. | Bimonthly/trimonthly contracts. Details as per the launch calendar. | Bimonthly/trimonthly 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. | Business day immediately following the last trading day. (Expiry Day + 1) | Business day immediately following the last trading day. (Expiry Day + 1) of the corresponding futures contract. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Last Trading Day | Three business days prior to the first business day of Tender Period of the underlying futures contract. | Last Day of Trading shall be the business day preceding the start of tender period in the corresponding expiry Futures with the same underlying. In case the last business day is a holiday, then the preceding business day shall be the last trading day for the contract. |
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 pm/11:55 pm* *based on US daylight saving time period | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Trading Unit | 1 kg | 100 grams | 30 Kg | 5 kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Underlying Quotation / Base Value | Rs per 10 grams | ₹ per 10 grams | ₹ per 1 Kg | ₹ per 1 Kg | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Tick Size (Minimum Price Movement) | Rs 0.50 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Strike Interval | Rs 100 | Rs 100 | Rs 250 | Rs 250 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Minimum Number of Strikes | 25 - 1 - 25 | 25 - 1 - 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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. |
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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Initial Margin/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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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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Extreme Loss Margin | 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. | Clearing members shall be subject to ELM in addition to initial margins. ELM of 1% on short open positions shall be levied and shall be deducted from the liquid assets of the clearing member on an online, real time basis. | 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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Additional and / or Special Margin | At the discretion of the Exchange when deemed necessary | Clearing corporation may require clearing members to make payment of additional margins as may be decided from time to time. | At the discretion of the Exchange when deemed necessary | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Other 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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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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Premium | Premium of buyer shall be blocked upfront on real time basis. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Margining at client level | It Will be specified by NSE Clearing Corporation by separate circular. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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. |
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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| Maximum Allowable Open Position |
Position limits for options would be separate from the position limits applicable on futures contracts. For client level: 10 MT or 5% of the market wide open position whichever is higher - For all Gold Options contracts combined together. For a member level: 100 MT or 20% of the market wide open position whichever is higher - For all Gold Options contracts combined together. Upon expiry of the options contract, after devolvement of options position into corresponding futures positions, open positions may exceed their permissible position limits applicable for future contracts. Such excess positions shall have to be reduced to the permissible position limits of futures contracts within two trading days |
For a member collectively for all clients: 2000 MT or 20% of the market wide open position whichever is higher, for all Silver Options contracts combined together. |
Position limits for options would be separate from the position limits applicable on futures contracts For individual client: 200 MT for all Silver Options contracts combined together or 5% of the market wide open position whichever is higher, for all Silver Options contracts combined together. For a member collectively for all clients: 2000 MT for all Silver Options contracts combined together or 20% of the market wide open position whichever is higher, for all Silver Options contracts combined together. Upon expiry of the options contract, after devolvement of options position into corresponding futures positions, open positions may exceed their permissible position limits applicable for future contracts. Such excess positions shall have to be reduced to the permissible position limits of futures contracts within two trading days. |
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| Settlement on Exercise | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Settlement of Premium/Final Settlement | T + 1 day | T + 1 day | 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 |
Option series having strike price closest to the Final Settlement Price (FSP) shall be termed as At-the-Money (ATM) option series.
This ATM option series and three option series having strike prices immediately above this ATM strike and three option series having strike prices immediately below this ATM strike shall be referred as ‘Close to the money’ (CTM) option series.
In case the FSP is exactly midway between two strike prices, then immediate three option series having strike prices just above FSP and immediate three option series having strike prices just below FSP shall be referred as ‘Close to the money’ (CTM) option series.
All option contracts belonging to ‘CTM’ option series shall be exercised only on ‘explicit instruction’ for exercise by the long position holders of such contracts.
All In-the-money (ITM) option contracts, except those belonging to ‘CTM’ option series, shall be exercised automatically, unless ‘contrary instruction’ has been given by long position holders of such contracts for not doing so. All Out of the money (OTM) option contracts, except those belonging to ‘CTM’ option series, shall expire worthless. |
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 |
Compulsory Delivery On exercise, all such positions shall be settled by compulsory delivery. |
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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| Delivery Unit | 30 Kgs | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Period Margin | 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 margin shall include VaR Margin and MTM Margins: VaR Margin: Delivery period margins shall be higher of: a) 3% + 6 day 99% VaR of spot price volatility Or b) 20% MTM Margin: End of day mark to market margins shall be computed on expiry day and till final settlement -1 day as difference between settlement obligation and value of positions at closing price. Mark to market loss in one underlying shall be netted against profit of other underlying for same client. Net loss at client level shall be grossed to arrive at clearing member level mark to market margins. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Centre | Ahmedabad | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Additional Delivery Centres | Delhi, Mumbai and Chennai | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Allocation | Delivery allocation will be done by the mechanism put in place by the Exchange/Clearing Corporation. The buyer to whom the delivery is allocated will not be allowed to refuse taking delivery and any default in delivery taking will entertain penalty and be subject to the penal provisions. If the seller fails to deliver, the penal provisions as specified for seller default shall be applicable. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Delivery Order Rate | On expiry date, the delivery order rate shall be the Strike price. Settlement obligation shall be computed at respective strike prices of the Options contracts. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Due Date Rate (Final Settlement Price) | Daily settlement price of underlying futures contract on the expiry day of options contract. |
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Daily settlement price of underlying futures contract on the expiry day of options contract. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Kindly refer latest circular issued by Exchange / Clearing Corporation for updated Margins, Position Limits and Expiry Dates etc.
Updated on: 01/07/2024
