YOU ARE ON THE NEW NSE WEBSITE, ACCESS THE OLD WEBSITE ON THE URL www1.nseindia.com OR CLICK HERE
Accessibility
Feedback

Contract Specifications - Futures & Options on INR pairs


Symbol USDINR EURINR GBPINR JPYINR
Market Type N N N N
Instrument Type FUTCUR FUTCUR FUTCUR FUTCUR
Unit of trading 1 - 1 unit denotes 1000 USD. 1 - 1 unit denotes 1000 EURO. 1 - 1 unit denotes 1000 POUND STERLING. 1 - 1 unit denotes 100000 JAPANESE YEN.
Underlying / Order Quotation The exchange rate in Indian Rupees for US Dollars The exchange rate in Indian Rupees for Euro. The exchange rate in Indian Rupees for Pound Sterling. The exchange rate in Indian Rupees for 100 Japanese Yen.
Tick size 0.25 paise  or INR 0.0025
Trading hours Monday to Friday 
9:00 a.m. to 5:00 p.m.
Contract trading cycle 12 month trading cycle.
Last trading day Two working days prior to the last business day of the expiry month at 12:30 PM and trade modification end time will be till 01:00 PM.
Final settlement day 10,001 or greater
Quantity Freeze 10,001 or greater
Base price Theoretical price on the 1st day of the contract.
On all other days, DSP of the contract.
Theoretical price on the 1st day of the contract.
On all other days, DSP of the contract.
Theoretical price on the 1st day of the contract.
On all other days, DSP of the contract.
Theoretical price on the 1st day of the contract.
On all other days, DSP of the contract.
Calendar spreads Spread Combinations are available for trading
M1 M2
M1 M3
M1 M4
M1 M5
M1 M6
M2 M3
M2 M4
M2 M5
M2 M6
M3 M4
M3 M5
M3 M6
M4 M5
M4 M6
M5 M6
M6 M12
Spread Combinations are available for trading
M1 M2
M1 M3
M1 M4
M2 M3
M2 M4
M3 M4
Spread Combinations are available for trading
M1 M2
M1 M3
M1 M4
M2 M3
M2 M4
M3 M4
Spread Combinations are available for trading
M1 M2
M1 M3
M1 M4
M2 M3
M2 M4
M3 M4
Position limits Position Limits for CDS Segment
Initial margin SPAN Based Margin
Extreme loss margin 1% of MTM value of gross open position 0.3% of MTM value of gross open position 0.5% of MTM value of gross open position 0.7% of MTM value of gross open position
Calendar spreads margin Rs.400 for spread of 1 month
Rs.500 for spread of 2 months
Rs.800 for spread of 3 months 
Rs.1000 for spread of 4 months and more
Rs.700 for spread of 1 month
Rs.1000 for spread of 2 months
Rs.1500 for spread of 3 months and more
Rs.1500 for spread of 1 month
Rs.1800 for spread of 2 months
Rs.2000 for spread of 3 months and more
Rs.600 for spread of 1 month
Rs.1000 for spread of 2 months
Rs.1500 for spread of 3 months and more
Settlement Daily settlement  :  T + 1 
Final  settlement :  T + 2
Mode of settlement Cash settled in Indian Rupees
Daily settlement price
(DSP)
Calculated on the basis of the last half an hour weighted average price across exchanges.
Final settlement price
(FSP)
RBI reference rate RBI reference rate Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro
Symbol USDINR EURINR GBPINR JPYINR
Market Type N
Instrument Type OPTCUR OPTCUR OPTCUR OPTCUR
Option Type Premium style European Call & Put Options
Premium Premium quoted in INR
Unit of trading 1 contract unit denotes USD 1000 1 contract unit denotes EUR 1000 1 contract unit denotes GBP 1000 1 contract unit denotes JPY 100000
Underlying / Order Quotation The exchange rate in Indian Rupees for US Dollars The exchange rate in Indian Rupees for Euro The exchange rate in Indian Rupees for Pound Sterling The exchange rate in Indian Rupees for 100 Japanese Yen
Tick size 0.25 paise i.e. INR 0.0025
Trading hours Monday to Friday 
9:00 a.m. to 5:00 p.m. IST
Contract trading cycle 3 serial monthly contracts followed by 3 quarterly contracts of the cycle March/June/September/December For Weekly USDINR Options- 11 serial weekly contracts expiring on Friday, excluding expiry week wherein monthly contracts expires on a Friday.New serial weekly options contracts shall be introduced after expiry of the respective week's contract.
No. of Strikes Minimum 12 In-the-money, Minimum 12 Out-of-the-money and 1 Near-the-money. (25 CE and 25 PE)
Strike price intervals INR 0.25 INR 0.25 INR 0.25 INR 0.25
Price Operating Range A contract specific price range based on its delta value is computed and updated on a daily basis
Quantity Freeze 10,001 or greater
Base price Theoretical price on the 1st day of the contract.
On all other days, DSP of the contract.
Initial margin SPAN Based Margin
Extreme loss margin 1.5% of Notional Value of open short position
Settlement of premium Premium to be paid by the buyer in cash on T+1 day
Settlement Daily settlement: T + 1
Final settlement: T + 2
Expiry/Last trading day Two working days prior to the last business day of the expiry month at 12:30 pm and trade modification end time will be till 01:00 PM. If expiry month date falls on holiday date, the expiry date revision may done of the existing available expiry contract and same will be intimated in a separate circular.
Final settlement day Last working day (excluding Saturdays) of the expiry month. 
The last working day will be the same as that for Interbank Settlements in Mumbai.
Position limits Position Limits for CDS Segment
Mode of settlement Cash settled in Indian Rupees
Final settlement price (FSP) RBI reference rate on the date of the expiry of the contact
Trading holidays

* M denotes expiry month

Updated on: 19/02/2020 12:00
Quick Links