Contract Specifications - Futures Contract Specifications - Options / Interest Rate Futures   Symbol USDINR EURINR GBPINR JPYINR Market Type N N N N Instrument Type FUTCUR FUTCUR FUTCUR FUTCUR Unit of trading 1 - 1 unit denotes 1000 USD. 1 - 1 unit denotes 1000 EURO. 1 - 1 unit denotes 1000 POUND STERLING. 1 - 1 unit denotes 100000 JAPANESE YEN. Underlying / Order Quotation The exchange rate in Indian Rupees for US Dollars The exchange rate in Indian Rupees for Euro. The exchange rate in Indian Rupees for Pound Sterling. The exchange rate in Indian Rupees for 100 Japanese Yen. Tick size Rs.0.25 paise  or INR 0.0025 Trading hours Monday to Friday 9:00 a.m. to 5:00 p.m. Contract trading cycle 12 month trading cycle. Last trading day Two working days prior to the last business day of the expiry month at 12 noon. Final settlement day Last working day (excluding Saturdays) of the expiry month. The last working day will be the same as that for Interbank Settlements in Mumbai. Quantity Freeze 10,001 or greater Base price Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. Price operating range Tenure upto 6 months +/-3 % of base price. Tenure greater than 6 months +/- 5% of base price. Position limits Clients higher of 6% of total open interest or USD 10 million higher of 6% of total open interest or EURO 5 million higher of 6% of total open interest or GBP 5 million higher of 6% of total open interest or JPY 200 million Trading Members higher of 15% of the total open interest or USD 50 million higher of 15% of the total open interest or EURO 25 million higher of 15% of the total open interest or GBP 25 million higher of 15% of the total open interest or JPY 1000 million Banks higher of 15% of the total open interest or USD 100 million higher of 15% of the total open interest or EURO 50 million higher of 15% of the total open interest or GBP 50 million higher of 15% of the total open interest or JPY 2000 million Initial margin SPAN Based Margin Extreme loss margin 1% of MTM value of gross open position 0.3% of MTM value of gross open position 0.5% of MTM value of gross open position 0.7% of MTM value of gross open position Calendar spreads Rs.400 for spread of 1 month Rs.500 for spread of 2 months Rs.800 for spread of 3 months Rs.1000 for spread of 4 months and more Rs.700 for spread of 1 month Rs.1000 for spread of 2 months Rs.1500 for spread of 3 months and more Rs.1500 for spread of 1 month Rs.1800 for spread of 2 months Rs.2000 for spread of 3 months and more Rs.600 for spread of 1 month Rs.1000 for spread of 2 months Rs.1500 for spread of 3 months and more Settlement Daily settlement : T + 1 Final settlement : T + 2 Mode of settlement Cash settled in Indian Rupees Daily settlement price (DSP) Calculated on the basis of the last half an hour weighted average price. Final settlement price (FSP) RBI reference rate RBI reference rate Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro source : nseindia.com Contract Specifications - Options Symbol USDINR Market type N Instrument type OPTCUR Option type Premium style European Call & Put Options Premium Premium quoted in INR Unit of trading 1 contract unit denotes USD 1000 Underlying / Order Quotation The exchange rate in Indian Rupees for US Dollars Tick size 0.25 paise i.e. INR 0.0025 Trading hours Monday to Friday 9:00 a.m. to 5:00 p.m. Contract trading cycle 3 serial monthly contracts followed by 1 quarterly contracts of the cycle March/June/September/December Strike price 12 In-the-money, 12 Out-of-the-money and 1 Near-the-money. (25 CE and 25 PE) Strike price intervals INR 0.25 Price operating range +/- 99% of base price Quantity freeze 10,001 or greater Base price Theoretical price on the 1st day of the contract. On all other days, DSP of the contract. Expiry/Last trading day Two working days prior to the last business day of the expiry month at 12 noon. Exercise at expiry All in-the-money open long contracts shall be automatically exercised at the final settlement price and assigned on a random basis to the open short positions of the same strike and series. Final settlement day Last working day (excluding Saturdays) of the expiry month. The last working day will be the same as that for Interbank Settlements in Mumbai. Position limits Clients higher of 6% of total open interest or USD 10 million Trading Members higher of 15% of the total open interest or USD 50 million Banks higher of 15% of the total open interest or USD 100 million Initial margin SPAN Based Margin Extreme loss margin 1% of MTM value of gross open position 0.3% of MTM value of gross open position 0.5% of MTM value of gross open position 0.7% of MTM value of gross open position Calendar spreads Rs.400 for spread of 1 month Rs.500 for spread of 2 months Rs.800 for spread of 3 months Rs.1000 for spread of 4 months and more Rs.700 for spread of 1 month Rs.1000 for spread of 2 months Rs.1500 for spread of 3 months and more Rs.1500 for spread of 1 month Rs.1800 for spread of 2 months Rs.2000 for spread of 3 months and more Rs.600 for spread of 1 month Rs.1000 for spread of 2 months Rs.1500 for spread of 3 months and more Settlement Daily settlement : T + 1 Final settlement : T + 2 Mode of settlement Cash settled in Indian Rupees Final settlement price (FSP) RBI reference rate on the date of the expiry of the contact source : nseindia.com Contract Specifications - Interest Rate Futures Symbol 10YGS7 Market type N Instrument type FUTIRD Unit of trading 1 lot - 1 lot is equal to notional bonds of FV Rs.2 lacs Underlying 10 Year Notional Coupon bearing Government of India (GOI) security. (Notional Coupon 7% with semi annual compounding) Tick size Rs.0.0025 Trading hours Monday to Friday 9:00 a.m. to 5:00 p.m. Contract trading cycle Four fixed quarterly contracts for entire year ending March, June, September and December. Last trading day Two business days prior to the delivery settlement day. Quantity Freeze 1251 lots or greater. Base price Theoretical price of the 1st day of the contract. On all other days, DSP of the contract. Price operating range +/-5 % of the base price Position limits Clients 6% of total open interest or Rs.300 crores whichever is higher Trading Members 15% of the total open interest or Rs.1000 crores whichever is higher Initial margin SPAN Based Margin Extreme loss margin 0.3% of the value of the gross open positions of the futures contract. Settlement Daily settlement MTM: T + 1 in cash Delivery settlement Last business day of the expiry month. Daily settlement Closing price or Theoretical price. Mode of settlement Daily Settlement in Cash Deliverable Grade Securities GOI securities Conversion Factor The conversion factor would be equal to the price of the deliverable security (per rupee of principal) on the first calendar day of the delivery month, to yield 7% with semiannual compounding. Invoice Price Daily Settlement price times a conversion factor + Accrued Interest Delivery day Last business day of the expiry month. Intent to Deliver Two business days prior to the delivery settlement day. source : nseindia.com