Published On: Fri, Oct 29th, 2010

Commencement of Live Trading in Currency Options on USD-INR Spot Rate

The Exchange has received approval from SEBI and RBI for introduction of options on USD-INR spot rate on currency derivatives segment of Stock Exchange.

Members of the Currency Derivatives Segment are hereby informed that the Exchange shall commence ‘Live Trading’ in the currency options contracts on US Dollar-Indian Rupee (US$-INR) spot rate, with effect from Friday, October 29, 2010.

The contract specifications and other trading parameters are as follows:

Contract specifications
The Contract specifications, trading parameters, and mode of settlement have been specified in
Annexure – 1, which shall be binding on all the members and constituents trading through them.

Trading Hours
Monday to Friday: 9.00 A.M. to 05.00 P.M.

Symbol: USDOPT

Market Type: N

Instrument Type: OPTCUR

Underlying: US Dollar – Indian Rupee (US$-INR) spot rate

Size of contract: 1 contract is for 1000 USD (Lot Size)

Quotation Premium in Rupee terms, outstanding positions in USD terms

Type of option: Premium styled European Call and Put Options

Tick size: 0.25 paise or INR 0.0025

Available contract
Three serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December

Last trading day
Two working days prior to the last business day of the expiry month at 12 noon.

Strike price
Minimum of twelve in-the-money, twelve out-of the-money and one near-the-money strikes would be provided for all availablecontracts

Settlement mechanism: Cash settled in INR

Strike Interval: 25 paise or INR 0.25

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. The rules for Interbank Settlements, including those for ‘known holidays’ and ‘subsequently declared holiday’ would be those as laid down by FEDAI.

Settlement price
The final settlement price would be the Reserve Bank Reference Rate on the date of expiry of the contracts Expiry / last trading day

The expiry / last trading day for the options contract would be two working days prior to the last working day of the expiry month

Exercise at Expiry
On expiry date, all open long in-the-money contracts, on a particular strike of a series, at the close of trading hours would be automatically exercised at the final settlement price and assigned on a random basis to the open short positions of the same strike and

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