Nifty CPSE
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 are European style and cash settled and are based on Nifty CPSE index. (Selection criteria for indices)
Contract Specifications
Security descriptor
The security descriptor for the Nifty CPSE futures contracts is:
- Market type : N
- Instrument Type : FUTIDX
- Underlying : NIFTYCPSE
- 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 CPSE
- Expiry date identifies the date of expiry of the contract
Underlying Instrument
The underlying index is NIFTY CPSE
Trading cycle
NIFTYCPSE futures contracts have a maximum of 3-month trading cycle - the near month (one), the next month (two) and the far month (three). A new contract is introduced on the trading day following the expiry of the near month contract. The new contract will be introduced for a three month duration. This way, at any point in time, there will be 3 contracts available for trading in the market i.e., one near month, one mid month and one far month duration respectively.
Expiry day
NIFTYCPSE futures contracts expire on the last Thursday of the expiry month. If the last Thursday is a trading holiday, the contracts expire on the previous trading day.
Trading Parameters
Contract size
The value of the futures contracts on NIFTYCPSE may not be less than Rs. 5 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 NIFTYCPSE futures contracts is Re.0.05..
Base Prices
Base price of NIFTYCPSE 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 Nifty CPSE 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 are European style and cash settled and are based on Nifty CPSE index. (Selection criteria for indices)
Contract Specifications
Security descriptor
The security descriptor for the Nifty CPSE options contracts is:
- Market type : N
- Instrument Type : OPTIDX
- Underlying : NIFTYCPSE
- 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 Nifty CPSE
- 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 CPSE
Trading cycle
NIFTYCPSE options contracts have a maximum of 3-month trading cycle - the near month (one), the next month (two) and the far month (three). 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. The new contracts are introduced for three month duration.
NIFTYCPSE weekly options contracts have 7 weekly expires excluding the expiry week of monthly contract. New serial weekly options contract is introduced after expiry of the respective week's contract
Expiry day
NIFTYCPSE options contracts expire on the last Thursday of the expiry month and weekly options contracts expire on every Thursday of the week. If the last Thursday is a trading holiday, the contracts expire on the previous trading day.
Strike Price Intervals
The number of contracts provided in options on index is based on the range in previous day's closing value of the underlying index and applicable as per the following table:
| Index Level | Strike Interval | No of strikes In the money- At the money- out of the money |
|---|---|---|
| <= 2000 | 50 | 8-1-8 |
| >2001 upto <= 3000 | 100 | 6-1-6 |
| >3000 upto <= 4000 | 100 | 8-1-8 |
| >4000 upto<= 6000 | 100 | 12-1-12 |
| >6000 | 100 | 16-1-16 |
Trading Parameters
Contract size
The value of the option contracts on NIFTYCPSE may not be less than Rs.5 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 NIFTYPSE 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: 23/04/2024
