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Options Contract Specifications
S&P® Futures Contract Specifications
Ticker Symbol S&P500
Contract Size 250 units
Notional value Contract size multiplied by the index level (For example: if the current index value is 1000 then the notional value would be 1000 x 250 = Rs. 2,50,000)
Tick Size 0.25
Trading Hours As in equity derivative segment
Expiry Date 3rd Friday of the respective contract month. In case third Friday is a holiday in USA or in India the contract shall expire on the preceding business day
Contract months 3 serial monthly contracts and 3 Quarterly expiry contracts in the Mar-Jun-Sep-Dec cycle
Daily Settlement Price Last half hour's weighted average price
Final Settlement Price All open positions at close of last day of trading shall be settled to the Special Opening Quotation (SOQ) of the S&P 500 Index on the date of expiry. (http://www.cmegroup.com/trading /equity-index/files/SOQ.pdf)
Final Settlement Procedure Final settlement will be Cash settled in INR based on final settlement price
Final Settlement day All open positions on expiry date shall be settled on the next working day of the expiry date (T+1)
Position Limits The Trading Member/Mutual Funds position limits as well as the disclosure requirement for clients is same as applicable in case of domestic stock index derivatives
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