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CURRENCY DERIVATIVES SEGMENT

Circular No. 026

Launch of Currency Options on US Dollar Indian Rupee Spot rate


Date: Oct 27, 2010

Exchange has received approval from SEBI and RBI for introducing Exchange traded
Currency Options on US Dollar Indian Rupee Spot rate. Currency Options Contracts
will be launched in the Currency Derivatives Segment of the Exchange on Friday,
October 29, 2010.

Download No.: 16136


Vikramaditya Delima
Vikas Mishra
Sonali Karnik

022-26598131
022-26598164

022-26598325

cdtrade@nse.co.in

No of Pages:

In pursuance of Trading Regulations of the Exchange, the Exchange notifies the


following specifications for Currency Option contracts as per Annexure I:
Contract Information
a) Underlying currency
b) Contract descriptor
c) Contract trading cycle
d) Expiry day & time
e) Contracts available for trading
f) Option Type
Trading parameters
a) Order quotation
b) Permitted lot size
c) Order placement
d) Tick Size
e) Quantity Freeze
f) Base Price
g) Strike Price/ Introduction of new contracts at new strike price / strike price
intervals
h) Price range / Operating range
Option contracts available for trading will be intimated through a separate circular on
October 28, 2010.
For and on behalf of
National Stock Exchange of India Limited

Suprabhat Lala
Vice President

Annexure I
CONTRACT INFORMATION
a) Underlying currency
Contracts
Underlying

Currency Option on US Dollar - Indian Rupee


The spot rate in Indian Rupees for US Dollar

b) Contract Descriptor
Contracts
Market type
Instrument Type
Trading Symbol
Expiry date

US Dollar - Indian Rupee Options contract


N
OPTCUR
USDINR
Date of Contract Expiry (two working days prior to the last business day of
the expiry month)

c) Contract trading cycle


To begin with the Exchanges shall offer 3 consecutive monthly contracts and 1 quarterly
contract. New contracts shall be issued on expiration of an existing month contract.
For every month, there shall be separate call and put option contracts. New contracts will
be introduced after 12 noon on the last trading day of the near month contract.
d) Expiry day & time
USDINR Options contracts shall expire at 12 noon, two working days prior to the last business
day of the expiry month.
e) Contracts available for trading
Options contracts having the following expiries shall be available for trading on USDINR. On
the expiry of a near month contract, new contracts shall be made available so that at any point
in time there shall be at least four expiries available for trading.
Sr. No.
1
2
3
4

Expiry Date
26 NOV 2010
29 DEC 2010
27 JAN 2011
29 MAR 2011

Maturity Date
26 NOV 2010
29 DEC 2010
27 JAN 2011
29 MAR 2011

Remarks
Monthly Contract
Monthly Contract
Monthly Contract
Quarterly Contract

f) Option Type
As per the guidelines the Exchange is introducing European style CE/PE (CE = Call; PE =
Put) option contracts, which means an option contract cannot be exercised during the validity of
the contract and is automatically settled on the expiration day, subject to conditions as may
be stipulated by the Exchange from time to time.

TRADING PARAMETERS
a) Order quotation
Method of order quotation shall be as follows
Currency Option
USDINR

Method of quotation
Premium in Rupee term and outstanding positions in USD term

b) Permitted lot size


Currency Option
USDINR

Permitted lot size per contract


One lot denotes 1000 US Dollars

c) Order placement
Members shall place orders in terms of number of lots.
d) Tick Size
The minimum tick size by which the USD INR currency options contract can be bought or
sold shall be 0.25 paisa or ` 0.0025 (quarter of a paisa) i.e. Orders can be placed at minimum
price intervals of 0.0025.
e) Quantity Freeze
Quantity Freeze for USDINR Options Contracts shall be 10001 lots or greater i.e. orders having
quantity up to 10000 lots shall be allowed. In respect of orders which have come under quantity
freeze, the members would be required to confirm to the Exchange that there is no inadvertent
error in the order entry and that the order is genuine. On such confirmation, the Exchange may
approve such order. However, in exceptional cases, the Exchange may, at its discretion, not
allow the orders that have come under quantity freeze for execution for any reason whatsoever
including non-availability of turnover / exposure limits.
f) Base Price
Base price of USDINR Options Contracts on the first day shall be the theoretical price. The
base price of contracts on subsequent trading days will be the daily settlement price of the
respective options contracts. The formula for calculation of base price will be as per BlackScholes model.
g) Strike Price/ Introduction of new contracts at new strike price / strike price intervals
1. The price specified in the options contract, which shall be reckoned for the settlement of the
contract, shall be called the strike price.
2. The Exchange shall provide a minimum of 25 strike prices for every option type (i.e. call & put)
for each expiry. There shall be twelve contracts in-the-money (ITM), twelve contracts out-ofthe-money (OTM) and one contract at-the-money (ATM). The strike price interval shall be of `
0.25.
3. New contracts with new strike prices for existing expiration date will be introduced for trading
on the next working day based on the previous day's US Dollar Indian Rupee spot rate at 5:00
pm and as and when required based on point (2) above.

4. The in-the-money strike price and the out-of-the-money strike price shall be based on the at-themoney strike price interval as per point (2) above.
h) Price range / Operating range
There shall be no daily price bands applicable for USDINR Options contracts. However in order
to prevent erroneous order entry by members, operating ranges will be kept at +/- 99% of the base
price or ` 1, whichever is higher, for all contracts. Any price beyond the same shall be rejected by
the Exchange. The operating range of the option contracts may be modified, at the discretion of the
Exchange, based on the request received from trading members.