Government Securities
| Instrument Type | FUTIRC |
|---|---|
| Symbol | The symbol shall denote coupon, type of bond and Maturity Year. The list of symbols available |
| Underlying | Government of India Security |
| Market Type | N |
| Unit of trading | 1 lot - 1 lot is equal Rs. 2 lakhs face value of GOI securities equivalent to 2000 units. |
| Quotation | Similar to the quoted price of GOI security |
| Contract Value | Quoted price * 2000 |
| Tick size | Rs.0.0025 |
| Trading hours | Monday to Friday |
| 9:00 a.m. to 5:00 p.m. | |
| Contract trading cycle | Three Serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December |
| Spread Contract | Near-Mid, Near-Far & Mid-Far |
| All spread orders shall be placed in terms of price difference only. | |
| Last trading day | Last Thursday of the month. In case the last Thursday is a trading holiday, the previous trading day shall be the expiry/last trading day |
| Quantity Freeze | 1251 lots or greater i.e. orders having quantity up to 1250 lots shall be allowed. |
| Base price | Theoretical future price of the 1st day of the contract. |
| On all other days, daily settlement price of the contract | |
| Price operating range | +/-3 % of the base price |
| (Whenever a trade in any contract is executed at the highest/lowest price of the band, Exchange may expand the price band for that contract by 0.5% in that direction after 30 minutes after taking into account market trend. Price band may be relaxed only 2 times during the day) | |
| Daily Settlement | Daily MTM settlement on T+1 in cash based on daily settlement price |
| Final Settlement | Final settlement on T+1 day in cash based on final settlement price |
| Daily Settlement Price | Volume Weighted Average Futures Price of last half an hour across exchanges or Theoretical price. |
| Final Settlement Price | Weighted average price of the underlying bond based on the prices during the last two hours of the trading on NDS-OM. If less than 5 trades are executed in the underlying bond during the last two hours of trading, then FIMMDA price shall be used for final settlement |
| Instrument Type | OPTIRC |
|---|---|
| Symbol | The symbol shall denote coupon, type of bond and Maturity Year. This will be same as the symbol used for the Interest rate futures contract on the respective Government of India securities. The list of symbols available |
| The list of symbols available at the time of launch will be communicated through separate circular | |
| Underlying | Government of India Security |
| Instrument Name | Interest Rate Options |
| Market Type | N |
| Quotation | The premium for options contract shall be quoted in Indian Rupees. |
| Contract Value | Rs. 2 lakhs face value of GOI securities equivalent to 2000 units. Members shall place orders in terms of number of lots. |
| Tick Size | Rs. 0.0025 |
| Trading Hours | 9.00 am to 5.00 pm (Monday to Friday) |
| The trading hours shall be aligned with that of underlying market in case of change of trading hours of underlying NDS-OM platform. | |
| Contract Trading Cycle | Three Serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December. |
| Option Type | Premium style European Call & Put Options |
| Last Trading Day | Last Thursday of the month. In case the last Thursday is a trading holiday, the previous trading day shall be the expiry/last trading day |
| Quantity Freeze | 1251 lots or greater i.e. orders having quantity up to 1250 lots shall be allowed. |
| Base Price | Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. |
| Strike Price Intervals | Rs. 0.25 |
| No. Of Strikes | Minimum Eight in-the-money, Eight out-of-the-money and one near-the-money strikes shall be provided for all available contracts. |
| Price Operating Range | The price bands for options shall be based on the delta of the options contract and calculated using the previous close price of the underlying and volatility. |
| The price band so computed shall be subject to a minimum operating range which would be applicable for all contracts. The bands shall be computed for each options contract on a daily basis and shall be applicable from the next trading day. | |
| Daily Settlement Price | Last Half an Hour Weighted Average Price. In absence of last half-hour trading, theoretical price shall be considered |
| Final Settlement Price | Weighted average price of the underlying bond based on the prices during the last two hours of the trading on NDS-OM. If less than 5 trades are executed in the underlying bond during the last two hours of trading, then FBIL price shall be used for final settlement |
Updated on: 04/01/2023
