Beruflich Dokumente
Kultur Dokumente
Tasneem Chherawala
NIBM 2015
Futures Contracts
Exchange traded forward contract between two parties, where one
commits to buy an asset and another to sell an asset on a specified
future date.
The exchange establishes standardized futures products
The standardized terms in the contract are for
N FUTIDX NIFTY
CONTRACT SIZE
UNDERLYING
PRICE STEPS
Rs. 0.05
PRICE BAND
SETTLEMENT
MODE OF SETTLEMENT
USDINR
UNDERLYING
TICK SIZE
SETTLEMENT
MODE OF SETTLEMENT
PRICE BAND
The Exchange
The exchange offers standardized derivative contracts
on various underlying assets (physical commodities,
risks, foreign currency and financial products) for trading
It comprises members that
Trade on the exchange
Control the operations of the exchange
Best Bid
Best Ask
Volume
Value (in
(Contrac
OI
Rs. Crores)
ts)
Spread LTP
USDINR 280915
782
66.18 66.1875
85 0.0075
USDINR 281015
12
66.55 66.5575
296 0.0075
USDINR 261115
12
66.895
66.91
0.015
66.9025
EURINR 280915
74.43
74.44
38
0.01
EURINR 281015
74.77 74.8075
EURINR 261115
10 75.1025
75.15
GBPINR 280915
44 100.8375 100.8475
GBPINR 281015
101.32 101.3975
GBPINR 261115
5 101.7525 101.9225
No. of
Trades
21358
41318
276.29 149,986
2057
74.44
71284
528.67 25,155
10232
9 0.0375
74.7875
29241
217.92 33,310
3201
1 0.0475
75.1225
953
0.01 100.8375
4 0.0775 101.3975
12
13
66.5575 527091
51145
7.13
2,669
178
46077
465.44 21,147
9223
21261
215.77 24,736
3054
0.17
101.755
544
5.55
862
107
JPYINR 280915
19
55.325 55.3475
19 0.0225
55.35
21393
118.11
6,820
3844
JPYINR 281015
10
55.62 55.6325
45 0.0125
55.6325
6510
36.13
6,545
802
JPYINR 261115
55.92
39
0.22
392
20
55.845
55.9
0.055
As on 24-Sep-2015 13:05:00
Underlying
RBI Reference Rate
1$
66.0993
1
100.8874
1
73.9585
100
55.08
Prev
Close
Last Price
Volume
Turnover
(Contracts) (Lacs)
Underlying
Value
NIFTY
24-Sep-15
7,826.50 7,896.00
7,797.15 7,855.45
7,869.15
6,69,444 13,13,519.42
7868.5
NIFTY
29-Oct-15
7,879.35 7,933.75
7,832.55 7,888.75
7,895.90
4,36,425 8,60,162.03
7868.5
NIFTY
26-Nov-15
7,897.65 7,965.00
7,865.00 7,918.50
7,930.00
BANKNI
FTY
BANKNI
FTY
29-Oct-15
BANKNI
FTY
2,332
13,843.51
7868.5
5,364.89 17196.65
Daily
Settlemen Open
t Price
Interest
No. of
Contract Value (Rs.
s
lakhs)
66.2125 9,32,170
1867832 12,35,826.85
66.0425 10,94,033
1624424 10,72,755.55
65.9625 12,30,544
1502491 9,88,735.04
65.82 12,96,540
1467546 9,65,956.62
65.8175 12,39,454
2128148 14,04,949.48
66.5625 11,02,627
1031869 6,86,584.98
66.5175 11,62,700
1115565 7,42,487.20
66.5125 13,88,923
797776 5,30,929.11
66.75 14,05,331
891098 5,93,934.11
66.65 13,82,579
1256770 8,39,220.03
Clearing
House
Seller
Clearing
A
Buy 1
CH
OI Volume
B
Sell 1
Cancelle
d
C
Buy 1
CH
A
Sell 1
C
Buy 1
CH
B
Sell 1
D
Buy 1
CH
E
Sell 1
ed
Cancell
E
Buy 1
CH
F
Sell 1
D
Buy 1
CH
F
Sell 1
Clearing
A Traders Position in a Specific Futures Contract
Day
Transaction
No. of Contracts
Open Position
Buy
200
+200
Sell
400
-200
Sell
300
-500
Buy
100
-400
Buy
500
+100
Sell
100
On Day 6, the Trader has fully offset his position in the Futures
Contract
EURINR
GBPINR
JPYINR
Minimum
Initial Margin
SPAN Based
2% of the
2% of the
initial
initial
value of
value of
the
the
position
position
2% of the
initial
value of
the
position
2.3% of the
initial
value of
the
position
Extreme Loss
Margin
(Maintenan
ce Margin)
1% of the
0.3% of the
MTM
MTM
value of
value of
gross
gross
open
open
position
position
0.5% of the
MTM
value of
gross
open
position
0.7% of the
MTM
value of
gross
open
position