| OPTIONS ON INDIAN RUPEE FUTURES CONTRACT SPECIFICATION |
| Trading |
| Trading Symbol |
DINRO |
| Contract Size |
One DGCX Indian Rupee 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 |
| Style of Option |
European |
| Delivery Months * |
The nearest three (3) Contract Months |
| Last Trading Day |
The Last Day of Trading for INR Options shall be the Last Day of Trading of the underlying INR Futures Contract |
| New Contract Listing |
7 days prior to expiration of the front month Option Contract |
| Exercise of Options |
On the Last Day of Trading, all in-the-money options are exercised automatically against the Final Cash Settlement Price of the underlying Indian Rupee Futures Contract, however, should a Member choose not to exercise an in-the-money option, the Member is required to notify the Exchange latest by 23:45 hrs (15 minutes after trading ceases)
All out-of-the-money options automatically expire worthless and will not be exercised |
| Strike Prices |
For each DINRO series, there shall be a Strike Price chain with a strike interval of INR 0.25 converted into US cents equivalent in 2 decimal points
At the outset, DINRO Strike Price chain will be available between INR 40.00 � 50.00 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 strikes available
Once the Daily Settlement Price approaches the lower end or higher end of the chain, additional 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 SPAN basis |
| Trading Hours |
08:30 - 23:30 Hours Dubai time (GMT+4) |
| Trading Days |
Monday through to Friday |
|
| Option Settlement Premium |
| 1. For traded contracts, The Exchange shall determine the Option Settlement Premium based on following order:
Value Weighted Average Price (VWAP) of trades executed in last 10 minutes for the trading day provided there were at least 15 trades executed during the last 10 minutes
VWAP of last 15 trades executed during the day provided 15 trades are executed
The Options Settlement Premium as declared by a Price Committee consisting of Exchange / Clearing Corporation officials 2. For contracts not traded on a given trading day, Options Settlement Premium will be determined based on theoretical prices. |
| * At the outset only 1 (one) Expiry Month will be listed. Additional listing of Expiry Months will be communicated by the Exchange in due course. |
