INDIA INX

Gold

Contract Specifications GOLD Future
Symbol GOLD
Underlying Spot Gold
Trading hours Monday to Friday
Session 1 : 04:30:00 Hours to 17:00:00 Hours,
Session 2 : 17:00:01 Hours to 02:30:00 Hours
Size of the Contract 32 Troy Ounces (1 kg)
Quotation US$ per Troy Ounce (e.g. Bid 1200.10 – Ask 1200.20)
Minimum Price Movement (Tick Size) USD 0.10
Contract Months January, March, May, July, September & November contracts shall be available for trading
Settlement Mechanism The contracts would be settled in cash in US Dollar (US $)
Contract Value The contract value shall be = (Quoted Price*32) USD
Daily Settlement Price The daily settlement price of Gold contracts shall be the last half an hour volume weighted average price of the contract. In the absence of last half an hour trading, volume weighted average futures price of trades in the entire day, subject to a minimum of 5 trades in the day will be taken for the computation
Last Trading Day Third last business day of the month
Settlement Daily Settlement:
The daily contracts for each session would be settled as follows:
Trading Session 1 - 04:30:00 Hours to 17:00:00 Hours – Settlement on next working day by 08.00 Hours
Trading Session 2 - 17:00:01 Hours to 02:30:00 Hours – Settlement on the same day by 16:30 Hours

Final Settlement:

Along with daily settlement cycle for the respective contracts.
Final Settlement Price India INX Gold Future Contract will be settled at respective DGCX Gold Future Contract Closing Price on Expiry Date at 23:00 hrs IST.
Position limits Eligible market participants are allowed to take positions in Gold Futures contracts as prescribed below:
(i) Position limits for stock brokers (Trading Members): Gross open position across all contracts shall not exceed 30% of the total open interest or 5 lakhs contracts whichever is higher.
(ii) Position limits for Clients: Gross open position across all contracts shall not exceed 10% of the total open interest or 50000 contracts whichever is higher
Price Bands Initial Price Band will be 3%. Relaxation upto 6% after breaching 3% limit
Relaxation upto 9% after breaching 6% limit
After 9%, Price Band will be relaxed to 2% and this shall continue in multiple.
Risk Management The margins shall be collected in USD
Initial Margin
Initial Margin would be calculated using SPAN; the margining framework of India ICC shall be compliant with the PFMI including a margin model that provides coverage of at least a 99% single-tailed confidence interval of the estimated distribution of future exposure. India ICC shall conduct daily stress testing, back testing and reverse stress testing for credit risk to ascertain the impact of failures of members and adequacy of its financial resources in meeting any shortfall arising out of such failures

Extreme Loss Margin
The clearing corporation may impose an extreme loss margin to provide additional risk coverage. The extreme loss margin shall be deducted from the liquid assets of the clearing member on an online, real time basis
Real-Time Computation The computation of worst scenario loss would have two components. The first is the valuation of the portfolio under the various scenarios of price changes. At the second stage, these scenario contract values would be applied to the actual portfolio positions to compute the portfolio values and the initial margin. The scenario contract values shall be updated at the start of the business day, then every 1.5 hours and finally at the end of the business day. The latest available scenario contract values would be applied to member/client portfolios on a real time basis
Mark-to-Market (MTM) Settlement The MTM settlement shall be done at least twice in a business day, at settlement times as specified by the clearing corporation from time to time

Contract Launch Calendar for Gold contract expiring during the year 2017-18.

Sr. No. Contract Launch Month Contract Expiry Month
1 13th April 2017 26th May 2017
2 13th April 2017 27th July 2017
3 13th April 2017 27th September 2017
4 13th April 2017 28th November 2017
5 13th April 2017 29th January 2018
6 13th April 2017 28th March 2018

Contract Specifications GOLD Option
Symbol GOLD
Underlying India INX Gold Futures
Instrument Type OPTCOM
Option Type Premium Style European Call and Put Options
Trading hours Monday to Friday
Session 1 : 04:30:00 Hours to 17:00:00 Hours,
Session 2 : 17:00:01 Hours to 02:30:00 Hours
Size of the Contract One India INX Gold futures contract
Quotation US$ per Troy Ounce
Premium Premium quoted in USD
Minimum Price Movement (Tick Size) Minimum Price Movement (Tick Size) USD 0.10
Strike Price Intervals Minimum 40 strikes at $5 per troy ounce strike increment above and below the at-the-money strike.
Contract Months January, March, May, July, September & November contracts shall be available for trading
Settlement Mechanism The contracts would be settled in cash in US Dollar (US $)
Contract Value The contract value shall be = (Strike Price + Premium)* 32 USD
Settlement Logic Devolvement into underlying futures contract
Last Trading Day Fourth last business day of the month
Settlement Daily Settlement:
The Options Premium settlement will be done on T+1 day basis.

Final Settlement:

On exercise, Options positions shall devolve into underlying Futures position as follows:-
1.Long Call position shall devolve into long position in the underlying Futures contract
2.Long Put position shall devolve into short position in the underlying Futures contract
3.Short Call position shall devolve into short position in the underlying Futures contract
4.Short Put position shall devolve into long position in the underlying Futures contract

On Expiry of options contract, all such devolved Futures positions shall be opened at the strike price of the exercised Options.
Exercise Mechanism at expiry All option contracts belonging to at the money (ATM) & In the Money (ITM) option shall be exercised.
Position limits Eligible market participants are allowed to take positions in Gold Option Contracts as prescribed below:
(i)Position limits for stock brokers (Trading Members): Gross open position across all contracts shall not exceed 30% of the total open interest or 5 lakhs contracts whichever is higher.
(ii) Position limits for Clients: Gross open position across all contracts shall not exceed 10% of the total open interest or 50000 contracts whichever is higher.
Price Bands A contract specific price range based on its delta value computed and updated on daily basis.
Risk Management The margins shall be collected in USD
Initial Margin
Initial Margin would be calculated using SPAN; the margining framework of India ICC shall be compliant with the PFMI including a margin model that provides coverage of at least a 99% single-tailed confidence interval of the estimated distribution of future exposure. India ICC shall conduct daily stress testing, back testing and reverse stress testing for credit risk to ascertain the impact of failures of members and adequacy of its financial resources in meeting any shortfall arising out of such failures.

Extreme Loss Margin
The clearing corporation may impose an extreme loss margin to provide additional risk coverage. The extreme loss margin shall be deducted from the liquid assets of the clearing member on an online, real time basis.
Real-Time Computation The computation of worst scenario loss would have two components. The first is the valuation of the portfolio under the various scenarios of price changes. At the second stage, these scenario contract values would be applied to the actual portfolio positions to compute the portfolio values and the initial margin. The scenario contract values shall be updated at the start of the business day, then every 1.5 hours and finally at the end of the business day. The latest available scenario contract values would be applied to member/client portfolios on a real time basis.
Short Option Minimum Margin Deep-out-of-the-money short options may show zero or minimal Scan Risk given the price and volatility moves in the 16 market scenarios, yet still present risk in the event that these options move closer-to-the-money or in-the-money, thereby generating potentially large losses. Hence a Short Option Minimum Margin is applied to each product to account for this potential exposure. The Short Option Minimum Margin is calculated on the Notional Value of all short options.
Net Option Value The Net Option Value is the current market value of the option times the number of options (positive for long options and negative for short options) in the portfolio. The Net Option Value would be added to the Liquid Net Worth of the clearing member. Thus, mark to market gains and losses would not be settled in cash for options positions.
Settlement of Premium Premium would be settled in $US and would be paid in by the buyer in cash and paid out to the seller in cash. Until the buyer pays in the premium, the premium due shall be deducted from the available liquid assets on a real time basis.

Contract Launch Calendar for Gold contract expiring during the year 2017-18.

Sr. No. Symbol Instrument Type Instrument Type Contract Month Futures Contract
Expiry Date
Contract Expiry Month
1 GOLD OPTCOM Sep-17 27-Sep-17 27-Jul-18
2 GOLD OPTCOM Nov-17 28-Nov-17 27-Nov-17
3 GOLD OPTCOM Jan-18 29-Jan-18 25-Jan-18
4 GOLD OPTCOM Mar-18 27-Mar-18 26-Mar-18
5 GOLD OPTCOM May-18 29-May-18 28-May-18
6 GOLD OPTCOM Jul-18 27-Jul-18 25-Jul-18