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INDIA50 INDEX Options
Contract Specifications Monthly INDIA50 INDEX Options
Symbol SENSEX50
Product Name INDIA50 Options
Underlying S&P BSE SENSEX 50 INDEX
Instrument Type OPTIDX
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 1 S&P BSE SENSEX 50
Quotation S&P BSE SENSEX 50 Index quoted in US Dollars (e.g. Bid 8420.05 / Ask 8420.10)
Premium Premium quoted in USD
Minimum Price Movement (Tick Size) USD 0.05
Strike Price Intervals Minimum 20 strikes at $50 strike increment above and below the at-the-money strike

Once the settlement price reaches close to the lower end or higher end of the option chain, additional option strikes will be introduced
Contract Months INDIA50 Options contracts have a maximum of 3-month trading cycle - the near month (one), the next month (two) and the far month (three). A new contract is introduced on the trading day following the expiry of the near month contract. The new contract will be introduced for a three month duration. This way, at any point in time, there will be 3 contracts available for trading in the market i.e., one near month, one mid-month and one far month duration respectively
Settlement Mechanism The contracts would be settled in cash in US Dollar (US $)
Contract value The contract value shall be = (Strike price + Premium)* 1USD
Underlying INDEX
Daily Settlement Price The daily settlement price of INDIA50 Index Option 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/Final Settlement Day Last Thursday of the Contract month. If it is a holiday in India INX, then the immediate preceding Business Day
Settlement Daily Settlement: The daily contracts for each session would be settled as follows:
Trading Session1 04:30:00 Hours to 17:00:00 Hours - Settlement on next working day by 08.30 Hours
Trading Session2 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 Official closing price of the S&P BSE SENSEX 50 Index as published by BSE Limited on the Last Day of trading
Position limits Eligible market participants are allowed to take positions in INDIA50 Index Futures contracts as prescribed below:
  • Position limits for stock brokers (Trading Members): Gross open position across all contracts shall not exceed 5000000 contracts
  • Position limits for Clients: Gross open position across all contracts shall not exceed 3000000 contracts
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
Calendar Spread Margins A futures position at one expiry month which is hedged by an offsetting position at a different maturity would be treated as a calendar spread. The benefit for a calendar spread would continue till expiry of the near month contract. The calendar spread margin shall be deducted from the liquid net worth of the clearing member on an online, real time basis. The margin for options calendar spread would be the same as specified for futures calendar spread. The margin would be calculated on the basis of delta Δ of the portfolio in each month. A portfolio consisting of a near month option with a delta Δ of 100 and a far month option with a delta Δ of –100 would bear a spread charge equal to the spread charge for a portfolio which is long 100 near month futures and short 100 far month futures
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
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
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
Assignment Margin Assignment Margin shall be levied on assigned positions of the clearing members towards exercise settlement obligations for option contracts. For option positions exercised, the seller of the options shall be levied assignment margins which shall be 100% of the net exercise settlement value payable by a clearing member towards exercise settlement. Assignment margin shall be levied till the completion of pay-in towards the exercise settlement. Assignment margins shall be computed as net of assignment settlement and futures final settlement

Contract Specifications Weekly INDIA50 INDEX Option
Symbol SENSEX50
Product Name INDIA50 Options
Underlying S&P BSE SENSEX 50 INDEX
Instrument Type OPTIDX
Option Exercise Style and Type European style Call Options 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 USD 1 x INDIA50 Index
Quotation INDIA50 Index Option Premium quoted in Index points
Minimum Price Movement (Tick Size) 0.05 of an Index point
Strike Price Intervals Minimum of 20 Options contracts shall be available with Strike price at intervals of 50 Index points increment above and below the At-the-Money (ATM) Option’s Strike price. Strike prices shall be in multiples of 50 index points – i.e. Strike prices shall be stated as an integer divisible by fifty (50) without remainder (e.g. 10500, 10550, 10600, etc.). When the ATM Option changes with the change in underlying Index movement, then additional Options contracts shall be launched to ensure that a minimum of 20 Options contracts shall be available above and below the ATM Option Strike price.
Contract Months 7 serial weekly Options contracts excluding the expiry week of the monthly Options contract shall be available for trading. The new farthest serial weekly Options contract shall be launched on the Business Day following the maturity date of the nearest weekly Options contract.
Settlement Mechanism The contracts would be cash-settled in US Dollars (USD).
Contract value The contract value shall be = USD 1 x (Strike Price + Option Premium quoted in Index points)
Last Trading Day The Last Trading Day or Expiry Date of the Options contracts shall be on the Thursday of each week at 15:30 Hours (IST) aligned with the underlying reference markets. In the event that the Last Trading Day is not a Business Day due to holiday in the reference markets, then the Last Trading Day shall be the preceding Business Day
Settlement Daily Settlement: Premium Settlement for each Trading Session shall be as per the following schedule:
Trading Session1 04:30:00 Hours to 17:00:00 Hours - Settlement on next working day by 08.30 Hours
Trading Session2 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 Options contracts.
Final Settlement Price Final Settlement Price (FSP) for Options contract shall be the Official Closing Price of the Underlying Index (S&P BSE SENSEX 50 Index) of BSE Limited on the Last Trading Day.
Final settlement shall be cash settled in USD based on Final Settlement Price.
Position limits Eligible market participants are allowed to take positions in INDIA50 Index Options contracts as prescribed below:
  • Position limits for stock brokers (Trading Members):
    Gross open position across all contracts shall not exceed 5000000 contracts.
  • Position limits for Clients:
    Gross open position across all contracts shall not exceed 3000000 contracts.
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 compliant with the PFMI including a margin model that provides coverage of at least a 99% singletailed 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.
Calendar Spread Margins Calendar Spread Margins in Options Contract shall be calculated by SPAN on the basis of delta of the portfolio consisting of futures and options contracts in each month.
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. Premium settlement shall be done at least twice in a business day.
Assignment Margin Assignment Margin shall be levied on assigned positions of the clearing members towards exercise settlement obligations for option contracts. For option positions exercised, the seller of the options shall be levied assignment margins which shall be 100% of the net exercise settlement value payable by a clearing member towards exercise settlement. Assignment margin shall be levied till the completion of pay-in towards the exercise settlement. Assignment margins shall be computed as net of assignment settlement and futures final settlement.
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