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Contract Specifications - Bullion


COMMODITY FUTURES
PRODUCT PARAMETERS GOLD FUTURES GOLD MINI FUTURES SILVER FUTURES
UNDERLYING Gold Gold Silver
INSTRUMENT TYPE Futures Contract Futures Contract Futures Contract
UNDERLYING SYMBOL GOLD GOLDM SILVER
DESCRIPTION GOLDYYMMM GOLDMYYMMM SILVERYYMMM
CONTRACT LISTING Bimonthly contracts. Details as per the launch calendar Monthly contracts. Details as per the launch calendar Bimonthly/trimonthly contracts. Details as per the attached launch calendar
CONTRACT COMMENCEMENT DAY 6th day of contract launch month. If 6th day is a holiday then the following working day. (Expiry Day + 1)
LAST TRADING DAY (CONTRACT EXPIRY) 5th day of contract expiry month. If 5th day is a holiday then preceding working day.
On the day of expiry, the trading shall be allowed up to 11:30 pm/11:55 pm* 
*based on US daylight saving time period
TRADING:
TRADING PERIOD Mondays to Fridays
TRADING SESSION Monday - Friday 
09:00 am to 11:30 pm/11:55 pm*
*based on US daylight saving time period
TRADING UNIT 1 kg 100 grams 30 kg
QUOTATION/BASE VALUE Rs. Per 10 grams Rs. Per 10 grams Rs. Per 1 Kg
PRICE QUOTE Ex-Ahmedabad (inclusive of all taxes and levies relating to import duty, customs but excluding all taxes and levies relating to GST, any other additional tax or surcharge on GST)
MAXIMUM ORDER SIZE 10 Kg 10 Kg 600 Kg
TICK SIZE (MINIMUM PRICE STEPS) Rs.1.00 Rs.1.00 Rs.1.00
DAILY PRICE LIMITS 1 The base price limit shall be 3%. Whenever the base daily price limit is breached, the relaxation shall be allowed upto 6% without any cooling off period in the trade. In case the daily price limit of 6% is also breached, then after a cooling off period of 15 minutes, the daily price limit will be relaxed upto 9%. 

In case price movement in international markets is more than the maximum daily price limit (currently 9%), the same may be further relaxed in steps of 3% beyond the maximum permitted limit, and informed to the Regulator immediately.
The base price limit shall be 4%. Whenever the base daily price limit is breached, the relaxation shall be allowed upto 6% without any cooling off period in the trade. In case the daily price limit of 6% is also breached, then after a cooling off period of 15 minutes, the daily price limit will be relaxed upto 9%. 

In case price movement in international markets is more than the maximum daily price limit (currently 9%), the same may be further relaxed in steps of 3% beyond the maximum permitted limit, and informed to the Regulator immediately.
INITIAL MARGIN 2 Min. 4 % or based on SPAN whichever is higher
EXTREME LOSS MARGIN 3 1%
ADDITIONAL AND/ OR 
SPECIAL MARGIN
In case of additional volatility, an additional margin (on both buy & sale position) and/ or special margin (on either buy or sale position) at such percentage, as deemed fit; will be imposed in respect of all outstanding positions.
MAXIMUM ALLOWABLE 
OPEN POSITION 4
For a member collectively for all clients: 50 MT or 20% of the market wide open position whichever is higher, for all Gold contracts combined together.

For individual client: 5 MT for all Gold contracts combined together or 5% of the market wide open position whichever is higher, for all Gold contracts combined together.
For a member collectively for all clients: 1000 MT or 20% of the market wide open position whichever is higher, for all Silver contracts combined together.

For individual client: 100 MT or 5% of the market wide open position whichever is higher for all Silver contracts combined together.
DELIVERY:
DELIVERY UNIT 1 kg 100 grams 30 kg
DELIVERY PERIOD MARGIN 5 Delivery period margins shall be higher of: a. 3% + 5 day 99% VaR of spot price volatility 
Or
b. 20%
DELIVERY CENTRE(S) Designated clearinghouse facilities at Ahmedabad
ADDITIONAL DELIVERY CENTRE(S) NIL
QUALITY SPECIFICATIONS 995 purity.

It should be serially numbered Gold bars supplied by LBMA approved suppliers or other suppliers as may be approved by the exchange to be submitted alongwith supplier's quality certificate.
Grade: 999 and Fineness: 999 
(as per IS 2112: 1981) 
 
  • No negative tolerance on the minimum fineness shall be permitted.
  • If it is below 999 purity it is rejected.

It should be serially numbered silver bars supplied by LBMA approved suppliers or other suppliers as may be approved by the exchange.
IF THE SELLER OFFERS 
DELIVERY OF 999 PURITY
Seller will get a proportionate premium and sale proceeds will be calculated as under:

Rate of delivery* 999/ 995
If the quality is less than 995, it is rejected.
NA
DUE DATE RATE 
(FINAL SETTLEMENT PRICE) 6
For contracts where Final Settlement Price (FSP) is determined by polling, unless specifically approved otherwise, the FSP shall be arrived at by taking the simple average of the last polled spot prices of the last three trading days viz.,E0 (expiry day), E-1 and E-2. In the event the spot price for any one or both of E-1 and E-2 is not available; the simple average of the last polled spot price of E0, E-1, E-2 and E-3, whichever available, shall be taken as FSP. Thus, the FSP under various scenarios of non-availability of polled spot prices shall be as under:
SCENARIO POLLED SPOT PRICE AVAILABILITY ON FSP SHALL BE SIMPLE AVERAGE OF LAST POLLED
SPOT PRICES ON
E0 E-1 E-2 E-3
1 Yes Yes Yes Yes/No E0, E-1, E-2
2 Yes Yes No Yes E0, E-1, E-3
3 Yes No Yes Yes E0, E-2, E-3
4 Yes No No Yes E0, E-3
5 Yes Yes No No E0, E-1
6 Yes No Yes No E0, E-2
7 Yes No No No E0
In case of non-availability of polled spot price on expiry day (E0) due to sudden closure of physical market under any emergency situations noticed at the basis Centre, Exchange shall decide further course of action for determining FSP in consultation with SEBI.
DELIVERY LOGIC Compulsory delivery
SETTLEMENT OF CONTRACT On expiry all the open positions shall be marked for delivery. Delivery pay-in will be on E + 1 basis by 11.00 a.m. except Saturdays, Sundays and Trading Holidays.
DELIVERY AND SETTLEMENT PROCEDURE Click here for details

* w.e.f October 12, 2018

Click here for Product Advisory Committees

Footnotes:

  • 1. As per SEBI/HO/CDMRD/DMP/CIR/P/2016/83 dated September 07, 2016
  • 2. The provisions of Risk Management in terms of the SEBI Circulars No. CIR/CDMRD/DRMP/01/2015 dated October 01, 2015 and SEBI/HO/CDMRD/DRMP/CIR/P/2016/77 dated September 01, 2016 and / or any amendments thereto from time to time shall be applicable.
  • 3. As per SEBI Circular no CIR/CDMRD/DRMP/01/2015 dated October 1, 2015
  • 4. As per SEBI circular SEBI/HO/CDMRD/DMP/CIR/P/2016/96 dated September 27, 2016
  • 5. As per SEBI/HO/CDMRD/DRMP/CIR/P/2016/77 dated September 01, 2016
  • 6. As per SEBI Circular no SEBI/HO/CDMRD/DRMP/CIR/P/2016/90 dated Sep 21, 2016
COMMODITY OPTIONS
Instrument Type Options Contract with Spot as Underlying (OPTBLN)
Product Gold Mini Options
Underlying Gold
Options Type The Options Contracts shall be European styled which can be exercised only on the expiration date
Symbol GOLDM
Description GOLDMYYMMM<strike price><CE/PE>
Contract Listing Monthly contracts. Details as per the launch calendar.
Contract Commencement Day Business day immediately following the last trading day. (Expiry Day+1)
Last Trading Day Last Day of Trading shall be the business day preceding the start of tender period in the corresponding expiry Futures with the same underlying. In case the last business day is a holiday, then the preceding business day shall be the last trading day for the contract. Details as per the attached launch calendar (refer table below) On the day of expiry, the trading shall be allowed up to 11:30 pm/11:55 pm based on US daylight saving time period
Trading
Trading Period Mondays through Fridays
Trading Session Monday – Friday 9:00 am to 11:30 pm/11:55 pm* *based on US daylight saving time period
Trading Unit 100 grams
Underlying Quotation / Base Value ₹ per 10 grams
Underlying Price Quote Ex-Ahmedabad (inclusive of all taxes and levies relating to import duty, customs but excluding all taxes and levies relating to GST, any other additional tax or surcharge on GST)
Maximum Order Size 10 Kg
Tick Size (Minimum Price Movement) ₹ 0.50
Strike Interval 250
Minimum Number of Strikes 10 - 1 - 10
Daily Price Limit A contract specific price range based on multiple factors including its delta value, DPR of Futures contract of the same commodity and volatility, is computed and updated on a daily basis.
Initial Margin Clearing Corporation shall adopt SPAN® (Standard Portfolio Analysis of Risk) system or any other system for the purpose of real time margin computation.   The Initial Margin requirement shall be so as to cover potential losses for at least a 99% VaR subject to minimum percentage floor value as prescribed by SEBI from time to time.   The MPOR for options in goods shall be based on the categorization of the underlying  as prescribed by SEBI   The Price Scan Range shall be taken be 3.5 sigma or such other percentage as may be specified by the Clearing Corporation from time to time. The price scan range shall be scaled up by the MPOR.   Volatility Scan Range for stock products shall be taken at 3.5% or such other percentage as may be specified by the Clearing Corporation from time to time.   Short option minimum charge shall be set as given below:
Volatility Category of Commodity Minimum SOMC
Low 6%
Medium 8%
High 10%
  Clearing Corporation shall mark to market the options positions by deducting/adding the current market value of options (positive for long options and negative for short options) times the number of long/short options in the portfolio from/to the margin requirement.   Spread margin benefit shall be permitted in following cases: 1) Different expiry date contracts of the same underlying 2) Two contracts variants having the same underlying commodity Clearing Corporation shall levy a minimum 25% of the initial margin on each of the individual legs of the spread. Maximum benefit in initial margin on spread positions shall be restricted to 75%. Initial margin benefit shall be provided only when each individual contract in the spread is from amongst the first three expiring contracts. Clearing Corporation may charge spread margins higher than the minimum specified depending upon its risk perceptions. In case of such spread positions, additional margins, if any shall not be levied.  Further margin benefit on spread positions shall be entirely withdrawn latest by the start of tender period or Expiry day, whichever is earlier. No benefit in Extreme Loss Margins (ELM) shall be provided for spread positions. To be eligible for initial margin benefit, each individual contract in the spread shall be from amongst the first three expiring contracts.
Extreme Loss Margin Clearing members shall be subject to ELM in addition to initial margins. ELM of 1% on short open positions shall be levied and shall be deducted from the liquid assets of the clearing member on an online, real time basis.
Additional and / or Special Margin Clearing corporation may require clearing members to make payment of additional margins as may be decided from time to time.
Other Margins Premium Margin: Premium margin shall mean and include premium amount due to be paid to the Clearing Corporation towards premium settlement, at the client level. Premium margin shall be levied till the completion of pay-in towards the premium settlement.   Pre-Expiry Margins: Clearing Corporation shall levy pre-expiry margin which shall be increased gradually from five trading days till the expiry of the contract as applicable. 4% incremental margins shall be levied during the pre-expiry period. These margins will be applicable on all ITM and CTM call/put option contracts. Pre-Expiry margins shall be levied on both long and short side.   Delivery period margin shall be levied by Clearing Corporation on the long and short positions marked for delivery till the pay-in is completed by the clearing member. Once delivery period margin is levied, all other applicable margins may be released.  Delivery period margin shall include VaR Margin and MTM Margins: VaR Margin: Delivery period margins shall be higher of: a) 3% + 6 day 99% VaR of spot price volatility     Or b) 20% MTM Margin: End of day mark to market margins shall be computed on expiry day and till final settlement -1 day as difference between settlement obligation and value of positions at closing price. Mark to market loss in one underlying shall be netted against profit of other underlying for same client. Net loss at client level shall be grossed to arrive at clearing member level mark to market margins.   Concentration Margin: Clearing Corporation may impose adequate concentration margins (only on concentrated positions) to cover the risk of longer period required for liquidation of concentrated positions in any commodity.
Maximum Allowable Open Position For a member collectively for all clients: 100 MT or 20% of the market wide open position whichever is higher, for all Gold Options contracts combined together.   For individual client: 10 MT or 5% of the market wide open position whichever is higher, for all Gold Options contracts combined together.
Mechanism of Exercise Option series having strike price closest to the Final Settlement Price (FSP) shall be termed as At-the-Money (ATM) option series.   This ATM option series and three option series having strike prices immediately above this ATM strike and three option series having strike prices immediately below this ATM strike shall be referred as ‘Close to the money’ (CTM) option series. In case the FSP is exactly midway between two strike prices, then immediate three option series having strike prices just above FSP and immediate three option series having strike prices just below FSP shall be referred as ‘Close to the money’ (CTM) option series.   All option contracts belonging to ‘CTM’ option series shall be exercised only on ‘explicit instruction’ for exercise by the long position holders of such contracts.   All In-the-money (ITM) option contracts, except those belonging to ‘CTM’ option series, shall be exercised automatically, unless ‘contrary instruction’ has been given by long position holders of such contracts for not doing so.   All Out of the money (OTM) option contracts, except those belonging to ‘CTM’ option series, shall expire worthless.
Settlement on Exercise
Settlement Logic Compulsory Delivery
Settlement of Contract On exercise, all such positions shall be settled by compulsory delivery.
Delivery Unit 100 grams
Delivery Period Margin Delivery period margin shall be levied by Clearing Corporation on the long and short positions marked for delivery till the pay-in is completed by the clearing member. Once delivery period margin is levied, all other applicable margins may be released.  Delivery period margin shall include Var Margin and MTM Margins: Var Margin: Delivery period margins shall be higher of: a) 3% + 6 day 99% VaR of spot price volatility     Or b) 20% MTM Margin: End of day mark to market margins shall be computed on expiry day and till final settlement -1 day as difference between settlement obligation and value of positions at closing price. Mark to market loss in one underlying shall be netted against profit of other underlying for same client. Net loss at client level shall be grossed to arrive at clearing member level mark to market margins.
Delivery Centre Ahmedabad
Additional Delivery Centres Delhi, Mumbai and Chennai
Delivery Allocation Delivery allocation will be done by the mechanism put in place by the Exchange/Clearing Corporation. The buyer to whom the delivery is allocated will not be allowed to refuse taking delivery and any default in delivery taking will entertain penalty and be subject to the penal provisions. If the seller fails to deliver, the penal provisions as specified for seller default shall be applicable.
Delivery Order Rate On expiry date, the delivery order rate shall be the Strike price. Settlement obligation shall be computed at respective strike prices of the Options contracts.
Final Settlement Price For contracts where Final Settlement Price (FSP) is determined by polling, unless specifically approved otherwise, the FSP shall be arrived at by taking the simple average of the last polled spot prices of the last three trading days viz.,E0 (expiry day), E-1 and E-2. In the event the spot price for any one or both of E-1 and E-2 is not available; the simple average of the last polled spot price of E0, E-1, E-2 and E-3, whichever available, shall be taken as FSP. Thus, the FSP under various scenarios of non-availability of polled spot prices shall be as under:
Scenario Polled spot price availability on FSP shall be simple average of last polled
spot prices on:
E0 E-1 E-2 E-3
1 Yes Yes Yes Yes/No E0, E-1, E-2
2 Yes Yes No Yes E0, E-1, E-3
3 Yes No Yes Yes E0, E-2, E-3
4 Yes No No Yes E0, E-3
5 Yes Yes No No E0, E-1
6 Yes No Yes No E0, E-2
7 Yes No No No E0
In case of non-availability of polled spot price on expiry day (E0) due to sudden closure of physical market under any emergency situations noticed at the basis Centre, Exchange shall decide further course of action for determining FSP in consultation with SEBI.
Quality Specifications 995 purity. It should be serially numbered Gold bars supplied by LBMA approved suppliers or other suppliers as may be approved by the Exchange to be submitted along with supplier's quality certificate.
If the Seller offers delivery of 999 purity Seller will get a proportionate premium and sale proceeds will be calculated as under: Delivery Order Rate* 999/ 995 If the quality is less than 995, it is rejected.


Gold Options Strategy booklet

Updated on: 10/06/2020 12:00
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