NATIONAL STOCK EXCHANGE OF INDIA LIMITED

FUTURES & OPTIONS OPERATIONS

CIRCULAR

Date: September 05, 2003

Circular No. NSE/F&O/0041/2003

Download No: NSE/F&O/4389

Dear Members,

Sub: Modification in Base price / operating ranges and mock trading in F&O

In partial modification to circulars: NSE/FOTRD/001 dated June 08, 2000, NSE/F&O/0010/2001 dated May 30, 2001, NSE/F&O/0014/2001 dated June 29, 2001, NSE/F&O/0027/2001 dated November 07, 2001 and NSE/F&O/0040/2002 dated October 31, 2002 members are advised to note that the operating ranges and day minimum/maximum ranges for options contracts shall be as follows:

Upper Range for options contracts: +99% of base price or Rs.20, whichever is higher.

Lower Range for options contracts: 0.05 (which is the tick size of the option contract)

The example for the same is given in the Annexure – 1.

Members desiring to place orders in option contracts beyond the day’s applicable min-max range would be required to intimate the Exchange. The base prices for such option contracts may be modified, at the discretion of the Exchange.

Members are also advised to note that, the base price for the futures contract, on the day of introduction of the new contract, will be theoretical futures price.

In order to test the above changes, the Exchange is conducting a mock trading session in the F&O Segment on Saturday, September 06, 2003.

The timings for the mock trading session are as follows:

Normal Market open/Options Exercise open time : 11:00 Hrs.

Normal Market Close : 13:00 Hrs.

Set up cut off time for Position Limit/

Collateral value : till 13:00 Hrs.

Trade modification end time/

Options Exercise close time : 13:15 Hrs.

Members are requested to participate actively in the mock trading session and are required to login into live environment, on Saturday September 06, 2003 from 17:00 Hrs to 17:30 Hrs. to check the connectivity and also to avoid login problems on Monday, September 08, 2003. Users of CTCL facility may also actively participate in the mock session using the CTCL software.

For any clarifications, trading members are advised to contact the following officers:

Mr Santosh Viswanathan / Mr Shaju Paul / Mr Harshavardan Nayak at 26598151 and 26598152

The circular shall be effective from September 08, 2003 on successful completion of mock trading.

For National Stock Exchange of India Ltd.

Suprabhat Lala

Manager

Annexure -1

Example 1:

Base price of the options contract: Rs.5.00

The operating ranges based on +/- 99% range:

Lower Limit: Rs.0.05 Upper Limits: Rs.9.95

The applicable limits based on the new parameter will be:

Lower Limit: Rs.0.05 (tick size) Upper Limit: Rs.20.00

Example 2:

Base price of the options contract: Rs.15.00

The operating ranges based on +/- 99% range:

Lower Limit: Rs.0.15 Upper Limits: Rs.29.85

The applicable limits based on the new parameter will be:

Lower Limit: Rs.0.05 (tick size) Upper Limit: Rs.29.85