Equity Derivatives

A security whose price is dependent upon or derived from one or more underlying assets. The derivative itself is merely a contract between two or more parties. Its value is determined by fluctuations in the underlying asset. There are several different types of equity derivative; including options, warrants, futures, forwards, convertible bonds, and swaps. Each has its advantages, and each is often used in a particular situation. However, Futures & Options are the most common types of Equity derivatives.

Instrument wise Volume and Turnover As on 12 Dec, 2018 15:30:00 IST

Product No. of Contracts Traded Value (Rs. in Crores)
Index Futures 0 0.00
Index Options 0 0.00
Stock Futures 0 0.00
Stock Options 0 0.00
F & O Total 0 0.00

Option value calculated as (Premium + Strike Price) x Quantity

Index derivatives - Eligibility criteria of Indices

1. The framework shall not be applicable to flagship index of the exchange. The flagship index for Metropolitan Stock Exchange of India Limited for the purpose of product success framework is SX40.

2. The product success framework shall be applicable to all index derivatives at the underlying level

3. The criteria for evaluation of the index derivatives are as follows:

  • 15% of trading members active in all index derivatives or 20 trading members whichever is lower should have traded in any derivative contract on the index being reviewed in each of the month during the review period,
  • Trading on a minimum of 75% of the trading days during the review period,
  • Average daily turnover of at least INR 10 crore during the review period, and
  • Average daily open interest of INR 4 crore during the review period

4. Each of the above criteria shall be satisfied for continuation of the derivatives on the given index. If any index fails to satisfy any of the above mentioned criteria, then no fresh contracts shall be issued on that index. However, the existing unexpired contracts may be permitted to trade till expiry and new strikes may also be introduced in the existing contracts.

Surrogate / Pseudo index

5. However, even if an index does not fulfil all the criteria during a review, the Exchange may not discontinue derivatives on that index provided there is a surrogate/pseudo index in another exchange(s), which continue to meet the evaluation criteria on the respective exchange. The index under review must have been surrogate/pseudo to another index on the date of review and must have remained as such for the major duration of the review period.

6. For this purpose, an index may be considered to be surrogate/pseudo of another index, if all the following conditions are met:

  • The number of constituents is equal in both the indices. If not, then the number of constituents in the smaller index (index with smaller number of constituents) is not less than 80% of the number of constituents in the larger index,
  • At least 50% of the constituent stocks in the larger index are also part of the smaller index, and
  • The correlation between the two indices is at least 0.90 for the previous 6 months on a rolling basis.An index in an exchange shall have only one pseudo/surrogate index per exchange.

7. All index derivatives would be reviewed semi-annually in the first week of April and October based on the data for the preceding six months i.e. period of review would be October to March for the April review and April to September for the October review.

8. Only those index derivatives which have completed at least 21 months from the launch month would be liable for review.

9. Once an index is excluded from the derivatives list, it shall not be considered for re-inclusion for a period of at least six months. Exchanges may consider re-launching derivative contracts on the same index after carrying out suitable modification(s) in contract specifications based on market feedback, after a cooling off period of at least six months, subject to SEBI approval.

Contract Specifications

Description Security Description
Instrument Type FUTSTK OPTSTK FUTIDX OPTIDX
Underlying 100 100 SX40 SX40
Underlying Symbol Symbol of Underlying Stock Futures Symbol of Underlying Stock Options SX40 SX40
Type of Option - Premium styled European Call and Put Options - Premium styled European Call and Put Options
Quotation/Price Quote Price in INR (Rs.) Price in INR (Rs.) Price in INR (Rs.) Price in INR (Rs.)
Tick size INR (Rs.) 0.05 INR (Rs.) 0.05 INR (Rs.) 0.05 INR (Rs.) 0.05
Strike Price Intervals - Depending on underlying price - 100
Contract trading cycle Three contracts of maturity of one-month, two-months and three-months would be introduced simultaneously. Three contracts of maturity of one-month, two-months and three-months would be introduced simultaneously. Three contracts of maturity of one-month, two-months and three-months would be introduced simultaneously. Monthly - 3 serial monthly expiry contracts; Long Dated - 3 quarterly contracts of the cycle March / June / Sept / Dec and next 8 half yearly contracts of the cycle Jun / Dec would be introduced simultaneously.
Trading hours Monday to Friday Monday to Friday Monday to Friday Monday to Friday
9:15 a.m. to 3:30 p.m. 9:15 a.m. to 3:30 p.m. 9:15 a.m. to 3:30 p.m. 9:15 a.m. to 3:30 p.m.
Expiry/ Last trading day Last Thursday of the expiry month. If the last Thursday is a trading holiday, then the expiry day will be the previous trading day. Last Thursday of the expiry month. If the last Thursday is a trading holiday, then the expiry day will be the previous trading day. Last Thursday of the expiry month. If the last Thursday is a trading holiday, then the expiry day will be the previous trading day. Last Thursday of the expiry month. If the last Thursday is a trading holiday, then the expiry day will be the previous trading day.
Exercise at Expiry - All in-the-money open long contracts shall be automatically exercised at the Final Settlement Price (FSP). - All in-the-money open long contracts shall be automatically exercised at the Final Settlement Price (FSP).
Permitted Lot Size Underlying specific Underlying specific 35 lots 35 lots
Mode of settlement Cash settled in Indian Rupees Cash settled in Indian Rupees Cash settled in Indian Rupees Cash settled in Indian Rupees
Daily Settlement T+0 or T+1 - T+0 or T+1 -
Settlement of Premium - The premium shall be paid in by the buyers in cash and paid out to the sellers in cash on T+1 day. Until the buyer pays in the premium, the premium due shall be deducted from the available Liquid Net Worth on a real time basis. - The premium shall be paid in by the buyers in cash and paid out to the sellers in cash on T+1 day. Until the buyer pays in the premium, the premium due shall be deducted from the available Liquid Net Worth on a real time basis.
Final settlement T+1 T+1 T+1 T+1
Operating Range/ Price Band Operating range of 10% of the base price There will be no daily circuit filter or price band applicable for stock options contracts. However, in order to prevent erroneous order entry, Exchange has put in place Operating Range, calculated based on Theoretical price of option, beyond which the order will be rejected by the system. The operating range of the option contracts may be modified at the discretion of the Exchange and / or based on request received from members. Operating range of 10% of the base price There will be no daily circuit filter or price band applicable for index options contracts. However, in order to prevent erroneous order entry, Exchange has put in place Operating Range, calculated based on Theoretical price of option, beyond which the order will be rejected by the system. The operating range of the option contracts may be modified at the discretion of the Exchange and / or based on request received from members.