Nifty Financial Services F&O
A futures contract is a forward contract, which is traded on an Exchange. Nifty Financial Services Index futures Contract would be based on the index Nifty Financial Services Index.
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 Financial Services Index futures contracts is:
- Market type : N
- Instrument Type : FUTIDX
- Underlying : Nifty Financial Services Index
- 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 FINANCIAL SERVICES.
- Expiry date identifies the date of expiry of the contract
Underlying Instrument
The underlying index is Nifty Financial Services Index.
Trading cycle
Nifty Financial Services Index Futures will have 3 consecutive months trading cycle – Near-Month, Mid-Month and Far-Month. A new contract is introduced on the trading day following the expiry of the near month contract.
Expiry day
Last Tuesday of the expiry period. If the last Tuesday is a trading holiday, then the expiry day is the previous trading day.
Trading Parameters
Contract size
The value of the futures contracts on FINNIFTY may not be less than Rs. 15 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.
kindly refer file "NSE_FO_contract_ddmmyyyy.csv.gz" for the latest applicable lot size and quantity freeze file details.
Price steps
The price step in respect of FINNIFTY futures contracts is Re.0.05.
Base Prices
Base price of FINNIFTY 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 FINNIFTY 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 published time to time.
kindly refer file "NSE_FO_contract_ddmmyyyy.csv.gz" for the latest applicable lot size and quantity freeze file details.
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 arecash settled European style call options and put option contract, based on the underlying Nifty Financial Services Index.
Contract Specifications
Security descriptor
The security descriptor for the FINNIFTY options contracts is:
- Market Type : N
- Instrument Type : OPTIDX
- Underlying : Nifty Financial Services Index
- 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 FINNIFTY
- 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 Financial Services Index.
Trading cycle
3 consecutive months trading cycle – Near-Month, Mid-Month and Far-Month. 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. Additional strikes will be added depending on the underlying closing value of the index.
Expiry day
Last Tuesday of the expiry period. If the last Tuesday is a trading holiday, then the expiry day is the previous trading day.
Strike Price Intervals
Below strike scheme will be applicable for weekly expiration and near month expiration contracts:
| INDEX LEVEL | STRIKE INTERVAL | NO OF STRIKES |
|---|---|---|
| All Levels | 50 | 25-1-25 |
| All Levels | 100 | 25-1-25 (Includes strikes resulting from strike interval of 50) |
for middle month expiration contracts and far month expiration contracts:
| LEVEL | STRIKE INTERVAL | NO OF STRIKES |
|---|---|---|
| All Levels | 100 | 20-1-20 |
| All Levels | 500 | 6-1-6 (Includes strikes resulting from strike interval of 100) |
Trading Parameters
Contract size
The value of the option contracts on Nifty Financial Services Index may not be less than Rs. 15 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.
kindly refer file "NSE_FO_contract_ddmmyyyy.csv.gz" for the latest applicable lot size and quantity freeze file details.
Price steps
The price step in respect of Nifty Financial Services index 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 Black-Scholes model of calculation of options premiums.
The options price for a Call, computed as per the following Black Scholes formula:
C = S * N (d1) - X * e- rt * N (d2)
and the price for a Put is : P = X * e- rt * N (-d2) - S * N (-d1)
where :
d1 = [ln (S / X) + (r + σ2 / 2) * t] / σ * sqrt(t)
d2 = [ln (S / X) + (r - σ2 / 2) * t] / σ * sqrt(t)
= d1 - 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 Black-Scholes model of calculation of options premiums.
Quantity freeze
The applicable quantity freeze limit shall be published time to time:
kindly refer file "NSE_FO_contract_ddmmyyyy.csv.gz" for the latest applicable lot size and quantity freeze file details.
Order type/Order book/Order attributes
- Regular lot order
- Stop loss order
- Immediate or cancel
- Spread order
Updated on: 25/11/2024
