NIFTY PSE F&O

Security descriptor

The security descriptor for the Nifty PSE options contracts is:

• Market type : N
• Instrument Type : OPTIDX
• Underlying : NIFTYPSE
• 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 PSE
• 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 PSE

Trading cycle

NIFTYPSE 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.

Expiry day

NIFTYPSE options 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.

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:

Trading Parameters

Contract size

The value of the option contracts on NIFTYPSE may not be less than Rs.2 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.

Order type/Order book/Order attributes

• Regular lot order
• Stop loss order
• Immediate or cancel
• Spread order