INRUSD
Contract Specifications - Indian Rupee to United States Dollar Futures and Options contract (INRUSD)

Parameters Indian Rupee Futures Indian Rupee Options
Instrument Type FUTCUR OPTCUR
Underlying Asset INRUSD Currency Pair INRUSD Currency Pair
Symbol INRUSD INRUSD
Currency US Dollars US Dollars
Price Quotation US Dollars per 100 INR increments
Lot Size INR 20,00,000 INR 20,00,000
Multiplier 20,000 (INR 20,00,000/INR 100) 20,000 (INR 20,00,000/INR 100)
Tick Size 0.01 US Cents per INR 100 0.01 US Cents per INR 100
Settlement Type Cash Settled Cash Settled
Contract Calendar 3 Monthly expiry contracts 7 Weekly expiry contracts
3 Monthly expiry contracts
Expiry Day 2 working days prior to last business day of the Expiry Month Monthly : 2 working days prior to last business day of the Expiry Month
Weekly : Friday of the week
Option Exercise Not Applicable European Style
Option Type Not Applicable Call and Put options (CE & PE)
No. of Strikes Not Applicable 12-1-12
Strike Interval Not Applicable INR 0.25 converted to US Cents per INR 100 up to 2 decimal places
Trade timing Trading: 8.00 am to 5.00 pm (S1); 5.30 pm to 11.30pm (S2)
Expiry day - Expiring Contract Trading: 8.00 am to 12.30 pm (S1)
Daily Settlement Price (DSP) Last half hour VWAP of futures else theoretical price
Final Settlement Price (FSP) Final settlement price for currency futures and currency options contracts shall be derived based on the FBIL published Reference rate for USDINR, on the last trading day of the contract.
Daily Price Limit (DPL) Futures: +/-3 % of base price for tenure up to 6 months and +/- 5% of base price for tenure greater than 6 months Options: A contract specific price range based on its delta value is computed and updated on a daily basis
Initial Margin Based on SPAN (Kindly refer to circular of NICCL for details of Initial Margins)
Daily & Final Settlement Kindly refer to circular of NICCL for Daily Settlement & Final Settlement
Position Limits Kindly refer to relevant position limits circular
Spread contracts Near-Mid, Near-Far & Mid-Far for monthly contracts
Contract Specifications - Indian Rupee USD Quanto Futures and Options contract (QINRUSD)

Parameters Indian Rupee Futures Indian Rupee Options
Instrument Type FUTCUR OPTCUR
Underlying Asset USD-INR Currency Pair USD-INR Currency Pair
Symbol QINRUSD QINRUSD
Currency US Dollars US Dollars
Price Quotation USDINR rate quoted in US Dollars
Lot Size US$ 100 * USDINR rate US$ 100 * USDINR rate
Tick Size US $ 0.0025 US $ 0.0025
Settlement Type Cash Settled Cash Settled
Contract Calendar 3 Monthly expiry contracts 7 Weekly expiry contracts
3 Monthly expiry contracts
Expiry Day 2 working days prior to last business day of the Expiry Month Monthly : 2 working days prior to last business day of the Expiry Month
Weekly : Friday of the week
Option Exercise Not Applicable European Style
Option Type Not Applicable Call and Put options (CE & PE)
No. of Strikes Not Applicable 12-1-12
Strike Interval Not Applicable Interval of US $ 0.25
Trade timing Trading: 8.00 am to 5.00 pm (S1); 5.30 pm to 11.30pm (S2)
Expiry day - Expiring Contract Trading: 8.00 am to 12.30 pm (S1)
Daily Settlement Price (DSP) Last half hour VWAP of futures else theoretical price
Final Settlement Price (FSP) Final settlement price for currency futures and currency options contracts shall be the FBIL Reference rate for USDINR, on the last trading day of the contract
Daily Price Limit (DPL) Futures: +/-3 % of base price for tenure up to 6 months and +/- 5% of base price for tenure greater than 6 months Options: A contract specific price range based on its delta value is computed and updated on a daily basis
Initial Margin Based on SPAN (Kindly refer to circular of NICCL for details of Initial Margins)
Daily & Final Settlement Kindly refer to circular of NICCL for Daily Settlement & Final Settlement
Position Limits Kindly refer to relevant position limits circular
Spread contracts Near-Mid, Near-Far & Mid-Far for monthly contracts
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