Contract Specifications

Parameter Index Futures Index Options Futures on Individual Securities Options on Individual Securities
Underlying 3 indices 3 indices 135 Indian stocks 135 Indian stocks
Security Parameters:
Instrument FUTIDX OPTIDX FUTSTK OPTSTK
Underlying Asset & Symbol Symbol of Underlying Index Symbol of Underlying Stock
Currency US Dollars
Price Quotation US Dollars per index US Dollars per Securitys Price
Lot Sizes Underlying Specific
Tick Size NIFTY and NIFTYIT : US$ 0.05
For MBANKNIFTY : US$ 0.01
US$ 0.05
Contract Calendar Monthly expiring contracts for 3 months For Nifty & Modified Bank Nifty Weekly contracts: Thursday of the week. Monthly expiring contracts for 3 months
Monthly expiring contracts for 3 months
For Nifty: Quarterly expiring contracts for 3 Quarters
Spread Contracts Near-Mid, Near-Far & Mid-Far months
Trade Timings Session 1 (S1) : 8.00 am to 5.00 pm IST
Session 2 (S2) : 5.02 pm to 11.30pm IST
Expiry Day Last Thursday of the Expiry Month For Nifty & Modified Bank Nifty Weekly contracts: Thursday of the week Indian Stocks-Last Thursday of the Expiry Month
For Monthly contracts: Last Thursday of the Expiry Month
For Nifty Quarterly contracts: Last Thursday of the Expiry Quarter
Expiry Day - Expiring Contract Trading : 8:00 am to 3:30 pm (S1) Indian Stocks-8.00 am to 3.30 pm(S1)
Option Exercise - European Style - European Style
Option Type - Call (CE) & Put Options (PE) - Call (CE) & Put Options (PE)
No. of Strikes - 15 - 1 - 15 - 10 - 1 - 10
Strike Intervals - Underlying specific - Underlying specific
Position Limits Kindly refer to the relevent position limit
Settlement Parameters:
Settlement Type Cash Settled
Daily Settlement Price (DSP) Last half hour VWAP of futures else theoretical price - Last half hour VWAP of futures else theoretical price -
Daily Price Limit (DPL) Operating range of 10% of the base price A contract specific price range based on its delta value is computed and updated on a daily basis Operating range of 10% of the base price A contract specific price range based on its delta value is computed and updated on a daily basis
Final Settlement (FSP) For NIFTY and NIFTYIT : Closing price of index on NSE on the expiry day
For MBANKNIFTY : 1/10th of the closing price of BANKNIFTY index on the expiry day
Indian Stocks-Closing price of the stock on NSE on the expiry day
Initial Margin Based on SPAN ®
Daily Settlement & Final Settlement Kindly refer to NSE International Clearing Circular for Daily settlement and final settlement
Parameter Currency Futures Currency Options
Underlying 5 currency pairs 5 currency pairs
Security Parameters:
Instrument FUTCUR OPTCUR
Underlying Asset & Symbol Symbol of Underlying Security
Currency US Dollars
Price Quotation US Dollars per EURO/POUND/CHF/AUD/100 JPY
Lot Sizes Underlying Specific
Tick Size US$ 0.0001
Contract Calendar Monthly expiring contracts for 3 months
Spread Contracts Near-Mid, Near-Far & Mid-Far for monthly contracts
Trade Timings Session 1 (S1) : 8.00 am to 5.00 pm IST
Session 2 (S2) : 5.02 pm to 11.30pm IST
Expiry Day 2 working days prior to 3rd Wednesday of the expiry month
Expiry day - Expiring Contract Trading hours :
1. AUDUSD : 8.00 am to 10.30 am (S1)*
2. CHFUSD : 8.00 am to 02.30 pm (S1)*
*Accordance with applicable daylight saving time
3. EURUSD : 8.00 am to 12:30 pm (S1)
4. GBPUSD : 8.00 am to 12:30 pm (S1)
5. JPYUSD : 8.00 am to 12:30 pm (S1)
Option Exercise - European Style
Option Type - Call (CE) & Put Options (PE)
No. of Strikes - 12 - 1 - 12
Strike Intervals - Underlying specific
Position Limits Kindly refer to the relevent position limit
Settlement Parameters:
Settlement Type Cash Settled
Daily Settlement Price (DSP) Last half hour VWAP of futures else theoretical price
Final Settlement Price (FSP) Derived rates using below mentioned sources for respective currency pairs on the last trading day of the contract.
Currency Pair
EURUSD
GBPUSD
JPYUSD
CHFUSD
AUDUSD
Source
Reserve Bank Of India
Reserve Bank Of India
Reserve Bank Of India
Swiss National Bank
Reserve Bank Of Australia
Daily Price Limit (DPL) 3% of base price for tenure less than 6 months, 5% of base price for tenure more than 6 months
Initial Margin Based on SPAN ®
Daily Settlement & Final Settlement Kindly refer to NSE International Clearing Circular for Daily settlement and final settlement
Parameter Commodity Futures
Underlying 2 metals
Security Parameters:
Instrument FUTCOM
Underlying Asset & Symbol Symbol of Underlying Security
Currency US Dollars
Price Quotation US Dollars per troy ounce
Lot Sizes Underlying Specific
Tick Size Click here
Contract Calendar Monthly expiring contracts for 3 months
Spread Contracts Near-Mid, Near-Far & Mid-Far for weekly and monthly contracts
Trade Timings Session 1 (S1) : 8.00 am to 5.00 pm IST
Session 2 (S2) : 5.02 pm to 11.30pm IST
Expiry Day SILVER
5th day of contract month
GOLD
Two working days prior to the last business day of the expiry month (i.e. third last business day of the contract month)
Expiry Day - Expiring Contract SILVER
Benchmark Publishing Time :12.00 pm London time;
Trading : 8:00 am to 4:30 pm (S1)*In accordance with applicable daylight saving time*
GOLD
Benchmark Publishing Time : 3.00 pm London time;
Trading hours : Trading : 8.00 am to 5.00 pm (S1); 5:02 p.m. to 7:30 p.m (S2)*In accordance with applicable daylight saving time*
Position Limits Kindly refer to the relevent position limit
Settlement Parameters:
Settlement Type Cash Settled
Daily Settlement Price (DSP) Last half hour VWAP of futures else theoretical price
Final Settlement Price (FSP) LBMA Gold “PM” price
LBMA Silver price
Daily Price Limit (DPL) Gold : Base Price Limit of 3%; Relaxation up to 9%; In case price movement in international markets is more than the maximum DPL, further relaxation in steps of 3% beyond maximum permitted limit

Silver : Base Price Limit of 4%; Relaxation up to 8%; In case price movement in international markets is more than the maximum DPL, further relaxation in steps of 4% beyond maximum permitted limit
Initial Margin Based on SPAN ®
Daily Settlement & Final Settlement Kindly refer to NSE International Clearing Circular for Daily settlement and final settlement
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