A futures contract is a forward contract, which is traded on an Exchange. NSE commenced trading in index futures on June 12, 2000. The index futures contracts are based on the popular market benchmark
Nifty 50 index. (Selection criteria for indices)
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 50 futures contracts is:
- Market type : N
- Instrument Type : FUTIDX
- Underlying : NIFTY
- 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
50
- Expiry date identifies the date of expiry of the contract
Underlying Instrument
The underlying index is NIFTY 50.
Trading cycle
Nifty 50 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
Nifty 50 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 Nifty 50 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.
Download the file for permitted lot size (.csv)
Price steps
The price step in respect of Nifty 50 futures contracts is Re.0.05.
Base Prices
Base price of Nifty 50 futures contracts on the first day of trading shall be theoretical futures price.. The base price of the contracts on subsequent trading days shall be the daily settlement price of the futures contracts as computed by Clearing Corporation.
Price bands
There are no day minimum/maximum price ranges applicable for Nifty
50 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 based on the level of the underlying index as per the following table:
| Index Level |
|
| From |
To |
Quantity Freeze
Limit |
| 0 |
5750 |
15000 |
| 5751 |
8625 |
10000 |
| 8626 |
11500 |
7500 |
| 11501 |
17250 |
5000 |
| > 17250 |
2500 |
Download the file for quantity freeze (.xls)
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.
NSE introduced trading in index options on June 4, 2001. The options contracts are European style and physical settled and are based on the popular market benchmark
Nifty 50 index. (Selection criteria for indices)
Contract Specifications
Security descriptor
The security descriptor for the Nifty 50 options contracts is:
- Market type : N
- Instrument Type : OPTIDX
- Underlying : NIFTY
- 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
50
- 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 50.
Trading cycle
Nifty 50 options contracts have 7 weekly expiry contracts, 3 consecutive monthly contracts, additionally 3 quarterly months of the cycle March / June / September / December and 8 following semi-annual months of the cycle June / December would be available, so that at any point in time there would be options contracts with atleast 4 year tenure available. New serial weekly options contract shall be introduced after expiry of the respective week’s contract. On expiry of the near month contract, new contracts (monthly/quarterly/ half yearly contracts as applicable) are introduced at new strike prices for both call and put options, on the trading day following the expiry of the near month contract.
Expiry day
Nifty 50 options monthly contracts expire on the last Thursday of the expiry month and weekly 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
1. The Strike scheme for all short term expiries (near, mid
and far months) Index Options is:
| Index Level |
Strike Interval |
Number of strikes
In the money- At the money- out of the money |
| ≤ 2000 |
50 |
8-1-8 |
| >2001 ≤ 3000 |
100 |
6-1-6 |
| >3000 ≤ 4000 |
100 |
8-1-8 |
| >4000 ≤ 6000 |
100 |
12-1-12 |
| >6000 |
100 |
16-1-16 |
2.
The Strike scheme for Nifty Index options the strike parameters for near expiries (i.e. Near, Mid and Far month expiries)
| Index Level |
Strike Interval |
Number of strikers
In the money- At the money- out of the
money |
| All levels |
50 |
30-1-30 |
3.
The Strike scheme for Nifty 50 long term Quarterly
and Half Yearly expiry option contracts is:
| Average Index Level * |
|
| From |
To |
Strike Interval |
In the money - At the money - Out of the money |
| >2000 |
≤ 4000 |
100 |
5-1-5 |
| >4000 |
≤ 5000 |
500 |
2-1-2 |
| >5000 |
≤ 6000 |
500 |
3-1-3 |
| >6000 |
≤ 7500 |
500 |
4-1-4 |
| >7500 |
≤ 15000 |
500 |
5-1-5 |
| >15000 |
≤ 25000 |
1000 |
5-1-5 |
| >25000 |
|
1500 |
5-1-5 |
*closing value of respective indices shall be rounded off to the nearest strike price for arriving at the at-the-money strike.
Discontinuation of illiquid strikes:
Exchanges in consultation with SEBI has decided to implement a semi-annual review to discontinue those strikes of NIFTY 50 Long Term Index Option contracts which have zero open interest and not part of the revised strike scheme as per the below criteria: .
- All long term index option contracts eligible as per revised strike scheme will continue to be available, irrespective of the open interest.
- All long term index option contracts not eligible as per revised strike scheme and having open interest will continue to be available.
- All long term index option contracts not eligible as per revised strike scheme and with zero open interest will be discontinued.
The strike interval review and discontinuation of illiquid strikes in NIFTY 50 Long Term Index Options shall be conducted on semi-annual basis starting from June 2020 expiry. Accordingly, revision if any, will be implemented after the expiry of respective computation month i.e. expiries of month of June / December.
The strike interval change, if any, shall be communicated through a circular. .
Trading Parameters
Contract size
The value of the option contracts on Nifty 50 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.
Download the file for permitted lot size (.csv)
Price steps
The price step in respect of Nifty 50 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 or the settlement price as computed by Clearing Corporation.
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 settlement price of the options contracts as computed by Clearing Corporation.
Quantity freeze
The applicable quantity freeze limit shall be based on the level of the underlying index as per the following table:
| Index Level |
|
| From |
To |
Quantity Freeze
Limit |
| 0 |
5750 |
15000 |
| 5751 |
8625 |
10000 |
| 8626 |
11500 |
7500 |
| 11501 |
17250 |
5000 |
| > 17250 |
2500 |
Download the file for quantity freeze (.xls)
Order type/Order book/Order attributes
- Regular lot order
- Stop loss order
- Immediate or cancel
- Spread order