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Futures Contract Specifications
S&P® Options Contract Specifications
Ticker Symbol S&P500
Contract Size 250 units
Tick Size 0.05
Trading Hours As in equity derivative segment
No. of strikes/strike intervals 12-1-12 strikes with 5 point interval and further 4-4 strikes of 10 point interval.
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
Option TypeThe options contracts shall be European styled which can be exercised only on the expiration date
Daily Settlement Price Daily premium settlement
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 ndex 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. long positions of in-the money contracts shall be assigned to open short positions in option contracts.
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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