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Settlement Price
| Product | Settlement | Schedule |
|---|---|---|
| Futures Contracts on Index or Global Index or Individual Security | Daily Settlement | a.Index or Global index - Closing price of the futures contracts on Index on the trading day. (closing price for a futures contract shall be calculated on the basis of the last half an hour weighted average price on NSE of such contract) b.Individual Security - Closing price of the futures contracts on Individual security on the trading day. (closing price for a futures contract shall be calculated on the basis of the last half an hour weighted average price across exchanges of such contract) |
| Un-expired illiquid futures contracts (including Global Indices) | Daily Settlement | Theoretical Price computed as per formula F=S * ert |
| Futures Contracts on Index or Individual Securities | Final Settlement | a. Index - Closing price of the relevant underlying index in the Capital Market segment of NSE, on the last trading day of the futures contract. b. Individual securities - Closing price of the relevant underlying security in the Capital Market segment across exchanges, on the last trading day of the futures contract. |
| Futures Contracts on Global Indices (S&P 500 and DJIA) | Final Settlement | The Special Opening Quotation (SOQ) of the Global Indices S&P 500 and DJIA on the last trading day of the futures contracts |
| Options Contracts on Index and Individual Securities | Final Exercise Settlement | a. Index - Closing price of the relevant underlying index in the Capital Market segment of NSE, on the last trading day of the options contract. b. Individual securities - Closing price of the relevant underlying security in the Capital Market segment across exchanges, on the last trading day of the options contract. |
| Options Contracts on Global Indices | Final Exercise Settlement | The Special Opening Quotation (SOQ) of the Global Indices S&P 500 and DJIA on the last trading day of the options contracts |
Updated on: 03/01/2023
