Currency Derivative
Derivatives are financial instruments whose value is derived from one or more underlying assets or indices. Currency Derivatives are standardised contracts, where the underlying is the Exchange rate between two currencies.
G.A.VASANT(Future) facilitates trading in Currency derivatives segment of MCX-SX. Currency Derivatives, which broadly includes both Currency Futures and Currency Options, are an effective tool to hedge against Exchange rate fluctuations. The highly increasing liquidity and volatility experienced in this segment gives immense opportunity for Intra-day and Positional trading.
Currency Futures: Currency Future contracts are available in four major pairs USD/INR, EUR/INR, GBP/INR and JPY/INR. Each pair has 12 contracts of one-month duration. The expiry date of each contract will be two days prior to the last working day.
Currency Options: Two years since the introduction of Currency Futures, the year 2010 saw the launch of Currency Options in Exchange trading platform. Currency Option was introduced and is currently available only in USDINR.
Symbol |
USDINR |
EURINR |
GBPINR |
JPYINR |
Instrument Type |
FUTCUR |
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Unit of trading |
1 (1 unit denotes 1000 USD) |
1 (1 unit denotes 1000 EURO) |
1 (1 unit denotes 1000 POUND STERLING) |
1 (1 unit denotes 100000 YEN) |
Underlying |
USD |
EURO |
POUND STERLING |
JPY |
Quotation/Price Quote |
Rs. per USD |
Rs. per EUR |
Rs. per GBP |
Rs per 100 YEN |
Tick size |
0.25 paise or INR 0.0025 |
0.25 paise or INR 0.0025 |
0.25 paise or INR 0.0025 |
0.25 paise or INR 0.0025 |
Final settlement price (FSP) |
RBI reference rate |
Exchange rate published by the Reserve Bank in its Press Release captioned RBI Reference Rate for US$ and Euro |
Exchange rate published by the Reserve Bank in its Press Release captioned RBI Reference Rate for US$ and Euro |
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Minimum initial margin |
1.75% on first day & 1% thereafter |
2.8% on First day & 2% thereafter |
3.2% on first day & 2% thereafter |
4.50% on first day & 2.30% thereafter |
Extreme loss margin |
1% of MTM value of gross open positions. |
0.3% of MTM value of gross open positions. |
0.5% of MTM value of gross open positions. |
0.7% of MTM value of gross open positions. |
Calendar spreads |
Rs. 400/- for a spread of 1 month, Rs. 500/- for a spread of 2 months, Rs. 800/- for a spread of 3 months & Rs. 1000/- for a spread of 4 months or more |
Rs.700/- for a spread of 1 month, 1000/- for a spread of 2 months, Rs.1500/- for a spread of 3 months or more |
Rs.1500/- for a spread of 1 month, Rs. 1800/- for a spread of 2 months, Rs.2000/- for a spread of 3 months or more |
Rs. 600 for a spread of 1 month, Rs. 1000 for a spread of 2 months and Rs 1500 for a spread of 3 months or more |
Trading hours |
Monday to Friday (9:00 a.m. to 5:00 p.m.) |
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Contract trading cycle |
12 month trading cycle |
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Last trading day |
Two working days prior to the last business day of the expiry month at 12:15pm. |
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Final settlement day |
Last working day (excluding Saturdays) of the expiry month |
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The last working day will be the same as that for Interbank Settlements in Mumbai |
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Contract Specifications for USD - INR (Options) |
|
Symbol |
USDINR |
Instrument Type |
OPTCUR |
Unit of trading/ Market Lot |
1 (1 unit denotes 1000 USD) |
Underlying |
US Dollar – Indian Rupee (USD-INR) spot rate |
Type of Option |
Premium styled European Call and Put Options |
Quotation/Price Quote |
Premium quoted in INR |
Tick size |
0.10 paise or INR 0.0010 |
Strike Price |
Twelve in-the-money, Twelve out-of the-money and One near-the-money strikes would be provided for all available contracts for both Call and Put options (25 CE and 25 PE) |
Strike Price Interval |
INR 0.2500 |
Trading hours |
Monday to Friday |
9:00 a.m. to 5:00 p.m. |
|
Contract trading cycle |
Three serial monthly contracts followed by one quarterly contract of the cycle March/June/September/December |
Expiry/ Last trading day |
Two working days prior to the last working day of the expiry month at 12:15pm. |
Exercise at Expiry |
All in-the-money open long contracts shall be automatically exercised at the Final Settlement Price (FSP) and assigned on a random basis to the open short positions of the same strike and series |
Final settlement day |
Last working day (excluding Saturdays) of the expiry month |
Final Settlement price |
RBI Reference Rate on the date of expiry of the contract. The last working day will be the same as that for Interbank Settlements in Mumbai |
Initial margin |
SPAN based Margin |
Extreme loss margin |
1.5% of the Notional Value of the open short option position. Notional Value for this purpose shall be calculated on the basis of the latest available Reserve Bank Reference Rate for USD-INR |
Calendar spreads |
The margin for options calendar spread would be the same as specified for USD-INR currency futures calendar spread |
The margin would be calculated on the basis of delta of the portfolio in each month. A portfolio consisting of a near month option with a delta of 100 and a far month option with a delta of –100 would bear a spread charge equal to the spread charge for a portfolio which is long 100 near month currency futures and short 100 far month currency futures |
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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. |
Mode of settlement |
Cash settled in Indian Rupees |
Settlement of Premium |
Premium to be paid by the buyer in cash on T+1 day |
Final settlement |
T+2 day |
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