Options On Indian Futures

Available from July 18, 2014

Options on INR futures open the door to a host of versatile trading strategies; by using options alone, or in combination with INR futures, strategies can be found to cover multiple risk profiles and time horizons.

Because the underlying instrument of the options contract is a futures contract, market participants can use options to protect themselves against volatile swings in INR futures prices, just as futures can be used to protect against volatile move in the price of the underlying INR spot market.

 

  • The ability to hedge cash and futures positions against an adverse INR price direction without foregoing the benefits of favorable price movements
  • The availability of an insurance hedge at many different levels of cost and degrees of protection
  • A means for businesses and investors to act aggressively or conservatively on views about the direction and volatility of INR prices

Options On Indian Futures

Trading Symbol

Style

Contract Size

DINRO

European

One DGCX INR Futures contract

Price Quotation

US Dollars in Cents per 100 Indian Rupees

Tick Size

US$ 0.000001 per INR or US$ 2 per tick

Maximum Daily Price Fluctuation

No Daily Limit#

Delivery Months

The nearest two (2) Contract Months are available at all times The options are European-style and can be exercised at expiry

Last Trading Day

Last Trading Day for INR options shall be two (2) Business Days prior to the Last Day of Trading of the month. (Same as the INR Futures) If the Last Day of Trading falls on an Exchange holiday, Last Trading Day shall occur on the previous business day. If the Last Day of Trading for underlying INR Futures is amended for any reason, the Last Trading Day for INR Options will be amended accordingly.

New Contract Listing

Business day immediately following the Last Trading Day.

Exercise of Options

On the last trading day, all in-the-money options are exercised automatically against Daily Settlement Price. All out-of-the-money options automatically expire worthless and will not be exercised.

Strike Prices

For each INR Option series, there shall be an INR option chain with a strike interval of INR 0.25 converted into US cents equivalent in 2 decimal points. At the outset, INR option chain will initially be available at an interval of INR 5 from the at the money strike converted into US cents equivalent in 2 decimal points. At all times there will be a minimum of 3 in-the-money, 1 at-the-money and 3 out-of-money options available. Once the settlement price reaches close to the lower end or higher end of the INR option chain, additional option strikes will be introduced for a minimum INR 5.00 with an interval of INR 0.25 converted into US cents equivalent in 2 decimal points.

Position Limit

To be determined by the exchange

Margin Requirement

Buyer pays full premium, while the seller is margined on the SPAN basis

Trading Hours

07:00 - 23:30 Hours Dubai time (GMT+4)

Trading Days

Monday through to Friday