Embed Size (px)
Citation preview
Futures & Options Segment 6
116
117
6Futures & Options Segment
In the year 2008, NSE ranked as the eighth largest derivatives exchange in the world, the second largest exchange in terms of number of contracts traded in single stock futures and the third largest in terms number of contracts traded in the index futures category.
The derivatives trading at NSE commenced on June 12, 2000 with futures trading on S&P CNX Nifty Index. Subsequently, the product base has been increased to include trading in options on S&P CNX Nifty Index, futures and options on CNX IT Index, Bank Nifty Index, CNX Nifty Junior, CNX 100, Nifty Midcap 50 Indices, S&P CNX Defty and 234 single stocks (Table 6-1) as of March 2009. The various products on the derivative segment of NSE and their date of launch is shown in the table below.
Products available for trading on Derivatives Segment
Products on Derivative Segment Date of Launch
S&P CNX Nifty Futures June 12, 2000S&P CNX Nifty Options June 4, 2001Single Stock Options July 2, 2001Single Stock Futures November 9, 2001Interest Rate Futures June 24, 2003CNX IT Futures & Options August 29, 2003Bank Nifty Futures & Options June 13, 2005CNX Nifty Junior Futures & Options June 1, 2007CNX 100 Futures & Options June 1, 2007Nifty Midcap 50 Futures & Options October 5, 2007Mini Nifty Futures & Options on S&P CNX Nifty January 1, 2008Long term Options on S&P CNX Nifty March 3, 2008S&P CNX Defty Futures and Options December 10, 2008
Number of Securities on which F&O Contracts were available for Trading (2008-09)
Month/Year Number of Securities*
Apr-08 227May-08 230Jun-08 229Jul-08 230
Aug-08 266Sep-08 267Oct-08 267Nov-08 265Dec-08 263Jan-09 259Feb-09 255Mar-09 2342008-09 234
* at the end of the month
118
Trading on single stock options commenced on July 2, 2001 while single stock futures were launched on November 9, 2001.
Since inception, NSE established itself as the sole market leader in this segment in the country and during 2008-09, it accounted for 99 % of the market share.
Trading Mechanism
The derivatives trading system at NSE is called NEAT-F&O trading system. It provides a fully automated screen-based trading for all kind of derivative products available on NSE on a nationwide basis. It supports an anonymous order driven market, which operates on a strict price/time priority. It provides tremendous flexibility to users in terms of kinds of orders that can be placed on the system. Various time and price related conditions like Immediate or Cancel, Limit/Market Price, Stop Loss, etc. can be built into an order. Trading in derivatives is essentially similar to that of trading of securities in the CM segment.
The NEAT-F&O trading system distinctly identifies two groups of users. The trading user more popularly known as trading member has access to functions such as, order entry, order matching and order & trade management. The clearing user (clearing member) uses the trader workstation for the purpose of monitoring the trading member(s) for whom he clears the trades. Additionally, he can enter and set limits on positions, which a trading member can take.
Contract Specification
The contract specification for derivative products traded on NSE are summarised in Table 6-2 & Table 6-3.
The index futures and index options contracts traded on NSE are based on S&P CNX Nifty Index, CNX IT Index, Bank Nifty, CNX Nifty Junior, CNX 100, Nifty Midcap 50 and S&P CNX Defty while stock futures and options are based on individual securities. Mini futures and options contracts and long term options contracts are also available on S&P CNX Nifty. Stock futures and options were available on 234 securities as of March 2009.
At any point of time there are only three contract months available for trading, with 1 month, 2 months and 3 months to expiry. These contracts expire on last Thursday of the expiry month and have a maximum of 3-month expiration cycle. If the last Thursday is a trading holiday, the contracts expire on the previous trading day. A new contract is introduced on the next trading day following the expiry of the near month contract. All the derivatives contracts are presently cash settled.
119
The long term option contracts are available for 3 serial month contracts, 3 quarterly months of the cycle March / June / September / December and 5 following semi-annual months of the cycle June / December. Thus, at any point in time there are atleast 3 year tenure option available.
Introduction of strike prices for option contracts
Stock Options
NSE introduces option strikes on a daily basis based on the price of the underlying. With regard to options on stocks the Exchange provides a minimum of seven strike prices for every option type (i.e Call & Put) during the trading month. At any time, there are atleast three strikes in-the-money (ITM), three strikes out-of-the-money (OTM) and one strike at-the-money (ATM). The table below gives details of generation of strike price interval for stock options.
Generation of strikes for Stock Options
Price of underlying Strike Price Interval Schemes of Strikes
Less than or equal to Rs.50 2.5 3-1-3
> Rs.50 - Rs.250 5 3-1-3
> Rs.250 - Rs. 500 10 3-1-3
> Rs.500 - Rs.1000 20 3-1-3
> Rs.1000 - Rs.2500 30 3-1-3
> Rs.2500 50 3-1-3
Index Options
The number of strikes provided in options on Indices- S&P CNX Nifty, CNX Nifty Junior, CNX 100, CNX IT, Bank Nifty Nifty Midcap 50 and S&P CNX Defty are related to the range in which previous day’s closing value of the index falls as per the table below.
Generation of strikes for Index Options
Index Level From To Revised Strike Interval Revised number of strikesIn the money-At the money-Out of
the money
Upto 2000 2.5 4-1-4
2001 to 4000 5 6-1-6
4001 to 6000 10 6-1-6
> 6000 20 7-1-7
120
Selection Criteria for Stocks and Index eligibility for trading
Eligibility Criteria of Stocks
The eligibility criteria for inclusion of scrips in F&O segment is as under:
• The stock is chosen from amongst the top 500 stocks in terms of average daily market capitalization and average daily traded value in the previous six months on a rolling basis.
• The stock’s median quarter sigma order size over the last six months should not be less than Rs. 5 lakh.
• The market wide position limit (MWPL) in the stock should not be less than Rs. 100 crore.
The criteria for exclusion of scrips in F&O segment will be as under:
For an existing F&O stock, the continued eligibility criteria is that market wide position limit in the stock should not be less than Rs. 60 crores and stock’s median quarter-sigma order size over the last six months shall be not less than Rs. 2 lakh. The stock is excluded if the above criteria is not fulfilled for consecutively three months.
Further, once the stock is excluded from the F&O list, it is not considered for re-inclusion for a period of one year.
Eligibility Criteria of Indices
• The Exchange may consider introducing derivative contracts on an index if the stocks contributing to 80% weightage of the index are individually eligible for derivative trading. However, no single ineligible stocks in the index should have a weightage of more than 5% in the index.
• The above criteria is applied every month, if the index fails to meet the eligibility criteria for three months consecutively, then no fresh month contract are issued on that index. However, the existing unexpired contacts are permitted to trade till expiry and new strikes may also be introduced in the existing contracts.
Re-introduction of dropped stocks
A stock which is dropped from derivatives trading may become eligible once again. In such instances, the stock is required to fulfill the eligibility criteria for three consecutive months to be re-introduced for derivatives trading.
Eligibility criteria of stocks for derivatives trading especially on account of corporate restructuring
The eligibility criteria for stocks for derivatives trading on account of corporate
121
restructuring is as under. All the following conditions should be met in the case of shares of a company undergoing restructuring through any means for eligibility to reintroduce derivative contracts on that company from the first day of listing of the post restructured company/(s) (as the case may be) stock (herein referred to as post restructured company) in the underlying market.
a) The Futures and options contracts on the stock of the original (pre restructure) company were traded on any exchange prior to its restructuring;
b) The pre restructured company had a market capitalisation of at least Rs.1000 crores prior to its restructuring;
c) The post restructured company would be treated like a new stock and if it is, in the opinion of the exchange, likely to be at least one-third the size of the pre restructuring company in terms of revenues, or assets, or (where appropriate) analyst valuations; and
d) In the opinion of the exchange, the scheme of restructuring does not suggest that the post restructured company would have any characteristic (for example extremely low free float) that would render the company ineligible for derivatives trading.
If the above conditions are satisfied, then the exchange takes the following course of action in dealing with the existing derivative contracts on the pre-restructured company and introduction of fresh contracts on the post restructured company
a) In the contract month in which the post restructured company begins to trade, the Exchange introduce near month, middle month and far month derivative contracts on the stock of the restructured company.
b) In subsequent contract months, the normal rules for entry and exit of stocks in terms of eligibility requirements would apply. If these tests are not met, the exchange shall not permit further derivative contracts on this stock and future month series shall not be introduced.
Trading Value & Contract Traded
The total turnover on the F&O Segment declined by 15.89% to Rs. 11,010,482 crore (US $ 2,161,037 million) during 2008-09 as compared with Rs.13,090,478 crore (US $ 3,275,076 million) during 2007-08. The average daily turnover during 2008-09 was Rs.45,311 crore (US $ 8,893 million), a year on year decline of 13.12 %. The business growth of F&O segment and the number of contracts traded during the year is presented in Table 6-4 and Chart 6-1.
122
Chart 6-1 : Business Growth of F&O Segment
The total number of contracts traded increased by 54.68% to 66 crore contracts during 2008-09. Out of the total contracts traded, 33.71% of the contracts were traded on Stock futures followed by index options on which 32.26% of the contracts were traded. Number of contracts traded on Index futures was 32.01% while 2.02% of the total contracts were traded on stock options. (Chart 6-2).
Chart 6-2 : Product wise Number of Contracts Traded during 2008-09
123
Product wise turnover on F&O Segment:
During 2008-09, the traded value of index futures saw a year-on-year decline of 6.56 % and amounted to Rs.3,570,111 crore (US $ 700,709 million) in 2008-09 as against Rs.3,820,667 crore (US $ 955,884 million) during 2007-08.
The traded value in stock futures declined by 53.90 % to Rs.3,479,642 crore (US $ 682,952 million) during 2008-09 over the turnover of Rs.7,548,563 crore (US $ 1,888,557 million) during 2007-08.
Index options recorded turnover of Rs.3,731,502 crore (US $ 732,385 million) during 2008-09 , an increase of 173.95 % over the turnover of Rs.1,362,111 crore (US $ 340,783 million) during 2007-08.
Stock options recorded turnover of Rs. 229,227 crore (US $ 44,991 million) during 2008-09, a decrease of 36.17 % over the turnover of Rs. 359,137 crore (US $ 89,852 million) during 2007-08.
Index Options accounted for 33.89% of the total turnover during the 2008-09 fiscal followed by the trading in index futures at 32.42 %, Stock futures (31.60%) and stock options (2.08%) (Chart 6-3).
Chart 6-3 : Product wise trading volumes during 2008-09
Futures and Options on Benchmark Indices
The details of traded volumes on Index Futures and Options, having the underlying as the NSE indices is shown in the table below.
124
Benchmark Indices Contracts & Trading Volume in F&O Segment of NSE (2008-09)
Products
Underlying
No. of Contracts
Turnover
Rs.cr. US $ mn
NIFTY S&P CNX Nifty 396,820,905 7,067,827 1,387,208
BANKNIFTY BANK Nifty 7,473,386 104,377 20,486
MINIFTY S&P CNX Nifty 18,107,079 127,266 24,979
JUNIOR CNX Nifty Junior 6,370 128 25
CNXIT CNX IT 103,485 1,870 367
CNX100 CNX 100 154 3 1
Nifty Midcap 50 Nifty Midcap 50 2,459 58 11
Long term Option Contracts
S&P CNX Nifty 623,416 14,585 2,863
DEFTY S&P CNX Defty 2,709 84 17
TOTAL 423,139,963 7,316,198 1,435,956
During 2008-09, the S&P CNX Nifty Index accounted for more than 96.61 % of the turnover in Index futures and options. The S&P CNX Nifty accounted for 93.78 % of the total contracts.
Sectorwise Stock Futures & Options Turnover
Sectorwise turnover of stock futures and options is presented in the table below. Companies belonging to the IT Sector and FMCG Sector accounted for 20.90 % and 20.84% respectively of the total stock futures and options turnover on the Exchange.
Sectorwise Classification of turnover of the Single Stock Futures during 2008-09
Classification Total Turnover (Rs. crs) Total Turnover ( US $ mn)Manufacturing 775,253 152,160 Petrochemicals 772,781 151,674 Infrastructure 609,975 119,720 Banks 490,837 96,337 Information Technology 279,708 54,899 Finance 238,199 46,752 Telecommunication 214,268 42,055 Pharmaceuticals 115,267 22,624 Engineering 99,063 19,443 FMCG 66,115 12,976 Media & Entertainment 23,654 4,643 Services 14,357 2,818 Miscellaneous 9,391 1,843 TOTAL 3,708,869 727,943
The stock futures and option turnover of top 5 companies in each sector for the period 2008-09 is presented in Table 6-5.
125
Participant wise turnover on F&O Segment:
During 2008-09, the retail investors accounted for 55.63 % of the turnover on the F&O segment of the Exchange. The gross turnover of the retail participants in the F&O Segment amounted to Rs.12,250,029 crore (US $ 2,404,324 million) followed by the Proprietory segment with gross turnover of Rs.6,826,484 crore (US $ 1,339,840 million) and the Institutional players with gross turnover of Rs. 2,944,454 crore (US $ 577,911 million). The share of retail participants and institutional participants in the gross turnover was 31.00 % and 13.37 % respectively.
The month wise details of the turnover for the participants in the F&O segment is presented in Table 6-6. Chart 6-4 shows the participantswise F&O turnover during 2008-09.
Chart 6-4 : Participant wise F&O Turnover during 2008-09
Memberwise turnover on the Exchange:
During 2008-09, there were 661 members which accounted for turnover of Rs.1,000 crore and more while 91 members registered turnover between Rs.500 crore and Rs.1,000 crore collectively in the futures and options category. In the month of September 2008, 301 trading members accounted for a turnover of Rs.1,000 crore and more, which was the highest number of members during the fiscal year 2008-09.
The number of members in different turnover brackets in Futures and Options segment is presented in table 6-7a & 6-7b.
High Volume Members
The turnover of the top ‘5’ and ‘10’ members accounted to Rs.1,198,458 crore (US $ 235,222.39 million) and Rs.1,762,438 crore (US $ 345,915.21 million) respectively in
126
2008-09 in the Futures segment. However, the turnover of the top ‘5’ and ‘10’ members in the options segment accounted to Rs.712,931 crore (US $ 139,927.61 million) and Rs. 1,227,826 crore (US $ 240,986.44 million) respectively in the same period.
In the Futures segment, the share of top 5 and top ‘10’ members in turnover was 17% and 25% respectively, while in the options segment the share of top 5 and top 10 trading members in in turnover was 18% and 31 % respectively. (Table 6-7c).
Internet Trading
At the end of March 2009, a total number of 337 members were permitted to allow investor’s web based access to NSE’s trading system. The members of the exchange in turn had registered 4,426,577 clients for web based access as on March 31, 2009. In the Futures and Options Segment the trading volume of Rs.1,685,692 crore (US $ 421,739 million) during the year 2008-09, constituting 7.65 % of total trading volume was routed and executed through the internet. The following table shows the growth of internet trading during 2007-08 to 2008-09.
Internet Trading in the F&O Segment of the Exchange
Year
Enabled Members*
Registered Clients*
Internet Trading Value
Internet Trading Value
% to Total Trading Value (Rs.cr) (US $ mn)
2007-08 305 3,432,780 2,372,514 593,574 9.06
2008-09 337 4,426,577 1,685,692 330,852 7.65
* At the end of Financial year.Note : Figures for IBT turnover and registered clients are as reported by trading members to the Exchange
Figures of Turnover are Buy Turnover + Sell turnover.
Traded Value Records
Trading volumes in the F&O Segment during 2008-09 reached a high of Rs.82,698 crore (US $ 16,231 million) on September 25, 2008. The following table gives the record turnover of different products in the F&O Segment.
Records Achieved in the F&O Segment during 2008-09
Product Traded Value (Rs. in crores)
Traded Value (US $ Mn)
Date
Index Futures 31,638 6,210 25-Jun-08
Stock Futures 32,501 6,379 29-May-08
Index Options 32,782 6,434 24-Mar-09
Stock Options 2,099 412 25-Mar-09
Total F&O Traded Value 82,698 16,231 25-Sep-08
127
Top 20 Futures and Option contracts
During 2008-09, top 20 Futures and options contracts in terms of number of contracts traded have been presented in Table 6-8 and Table 6-9.
The top 20 Futures contracts accounted for 46.41 % of the total no. of contracts traded in the Futures segment while top 20 Option contracts accounted for 21.61 % of the total option contracts traded during 2008-09.
Among the top 20 future contracts, Nifty July 2008 futures accounted for 10.12 % of the total top 20 contracts while Nifty October 2008 futures and Nifty November 2008 contributed 9.86 % and 9.17 % respectively.
Top 3 option contracts on the basis of number of contracts traded during 2008-09 were Nifty March 2009 CE 2800, Nifty February 2009 PE 2700 and Nifty Nifty February 2009 PE 2800. Together these three option contracts formed 19.13 % of the total number of top 20 option contracts.
Number of Trades
During 2008-09, maximum number of trades in the F&O Segment were witnessed in Stock Futures (57.78 %), Index futures (22.21 %), Index Options (16.49 %) and Stock Options (3.52 %) as mentioned in the table below.
Number of Trades in F&O Segment (2008-09)
Products Number of Trades (%)
Stock Futures 57.78
Index Futures 22.21
Index Options 16.49
Stock Options 3.52
TOTAL 100
The details of month wise trades on Index futures & options and stock futures & options is presented in Table 6-10.
Charges
Brokerage Charges
The maximum brokerage chargeable by a trading member in relation to trades effected in the contracts admitted to dealing on the F&O segment of NSE is fixed at 2.5% of the contract value in case of index futures and stock futures. In case of index options and stock options it is 2.5% of notional value of the contract [(Strike Price + Premium) × Quantity)], exclusive of statutory levies.
128
Transaction Charges
The transaction charges payable to the exchange by the trading member for the trades executed by him on the F&O segment are fixed at the rate of Rs. 2 per lakh of turnover (0.002%) subject to a minimum of Rs. 1,00,000 per year. However, for the transactions in the options sub-segment the transaction charges will be levied on the premium value at the rate of 0.05% (each side) instead of on the strike price as levied earlier.
For a trading Member participating in trading S&P CNX Defty at any time during the year till September 30, 2009 there would be no transaction charges. The trading member would be required to make a lump sum contribution of Rs.500/- for the whole year as a contribution to Investor Protection Fund.
Securities Transaction Tax
The trading members are also required to pay securities transaction tax (STT) on non-delivery transactions at the rate of 0.017 (payable by the seller) for derivatives w. e. f June 1, 2008.
Taxable securities transaction Rate (%) Taxable Value Payable by
Sale of an option in securities 0.017 Option premium Seller
Sale of an option in securities, where option is exercised
0.125 Settlement Price Purchaser
Sale of a futures in securities 0.017 Sale Price Seller
Value of taxable securities transaction relating to an “option in securities” will be the option premium, in case of sale of an option in securities.
Value of taxable securities transaction relating to an “option in securities” will be the settlement price, in case of sale of an option in securities, where option is exercised.
Contribution to Investor Protection Fund (F&O Segment)
The trading members contribute to Investor Protection Fund of F&O segment at the rate of Re.1/- per Rs. 100 crore of the traded value (each side) in case of Futures segment and Rs.1/- per Rs. 100 crore of the premium amount (each side) in case of Options segment.
CLEARING AND SETTLEMENT
Clearing and Settlement
NSCCL undertakes clearing and settlement of all trades executed on the F&O Segment of the Exchange. It also acts as legal counterparty to all trades on this segment and guarantees their financial settlement. The Clearing and Settlement process comprises of three main activities, viz., Clearing, Settlement and Risk Management.
129
Clearing Mechanism
The first step in clearing process is working out open positions and obligations of clearing (self-clearing/trading-cum-clearing/professional clearing) members (CMs). The open positions of a CM is arrived at by aggregating the open positions of all the trading members (TMs) and all custodial participants (CPs) clearing though him, in the contracts which they have traded. The open position of a TM is arrived at by summing up his proprietary open position and clients’ open positions, in the contracts which they have traded. While entering orders on the trading system, TMs identify orders as either proprietary or client. Proprietary positions are calculated on net basis for each contract and that of clients are arrived at by summing together net positions of each individual client. A TM’s open position is the sum of proprietary open position, client open long position and client open short position.
Settlement Mechanism
All futures and options contracts are cash settled i.e. through exchange of cash. The underlying for index futures/options of the index cannot be delivered. The settlement amount for a CM is netted across all their TMs/clients, across various settlements. For the purpose of settlement, all CMs are required to open a separate bank account with NSCCL designated clearing banks for F&O segment.
Settlement of Futures Contracts on Index or Individual Securities
Futures contracts have two types of settlements, the MTM settlement which happens on a continuous basis at the end of each day, and the final settlement which happens on the last trading day of the futures contract.
• MTM Settlement for Futures: The positions in futures contracts for each member are marked-to-market to the daily settlement price of the relevant futures contract at the end of each day. The CMs who have suffered a loss are required to pay the mark-to-market (MTM) loss amount in cash which is in turn passed on to the CMs who have made a MTM profit. This is known as daily mark-to-market settlement. CMs are responsible to collect and settle the daily MTM profits/losses incurred by the TMs and their clients clearing and settling through them. Similarly, TMs are responsible to collect/pay losses/ profits from/to their clients by the next day. The pay-in and pay-out of the mark-to-market settlement are effected on the day following the trade day (T+1).
After completion of daily settlement computation, all the open positions are reset to the daily settlement price. Such positions become the open positions for the next day.
• Final Settlement for Futures: On the expiry day of the futures contracts, after the close of trading hours, NSCCL marks all positions of a CM to the final settlement price and the resulting profit/loss is settled in cash. Final settlement loss/profit amount is debited/credited to the relevant CM’s clearing bank account on the day following expiry day of the contract.
130
• Settlement Prices for Futures: Daily settlement price on a trading day is the closing price of the respective futures contracts on such day. The closing price for a futures contract is currently calculated as the last half an hour weighted average price of the contract in the F&O Segment of NSE. Final settlement price is the closing price of the relevant underlying index/security in the Capital Market segment of NSE, on the last trading day of the Contract. The closing price of the underlying Index/security is currently its last half an hour weighted average value in the Capital Market Segment of NSE.
Settlement of Options Contracts on Index or Individual Securities
Options contracts have three types of settlements, daily premium settlement, interim exercise settlement in the case of option contracts on securities and final settlement.
• Daily Premium Settlement for Options: Buyer of an option is obligated to pay the premium towards the options purchased by him. Similarly, the seller of an option is entitled to receive the premium for the option sold by him. The premium payable amount and the premium receivable amount are netted to compute the net premium payable or receivable amount for each client for each option contract. The CMs who have a premium payable position are required to pay the premium amount to NSCCL which in turn passed on to the members who have a premium receivable position. This is known as daily premium settlement. CMs are also responsible to collect and settle for the premium amounts from the TMs and their clients clearing and settling through them. The pay-in and pay-out of the premium settlement is on T+1 day (T=Trade day). The premium payable amount and premium receivable amount are directly credited/debited to the CMs clearing bank account.
• Interim Exercise Settlement: Interim exercise settlement takes place only for option contracts on individual securities. An investor can exercise his in-the-money options at any time during trading hours, through his trading member. Interim exercise settlement is effected for such options at the close of the trading hours, on the day of exercise. Valid exercised option contracts are assigned to short positions in the option contract with the same series (i.e. having the same underlying, same expiry date and same strike price), on a random basis, at the client level. The CM who has exercised the option receives the actual profit or loss per unit of the option from the CM who has been assigned the option contract.
Exercise settlement value is debited/credited to the relevant CMs clearing bank account on T+1 day (T=exercise date).
• Final Exercise Settlement: Final Exercise settlement is effected for option positions at in-the-money strike prices existing at the close of trading hours, on the expiration day of an option contract. All long positions at in-the-money strike prices are automatically assigned to short positions in option contracts with the same series, on a random basis.
131
For index options contracts, exercise style is European style, while for options contracts on individual securities, exercise style is American style. Final Exercise is Automatic on expiry of the option contracts.
Final settlement loss/profit amount for option contracts on Index is debited/credited to the relevant CMs clearing bank account on T+1 day (T=expiry day). Final settlement loss/profit amount for option contracts on Individual Securities is debited/credited to the relevant CMs clearing bank account on T+1 day. Open positions, in option contracts, cease to exist after their expiration day.
The pay-in / pay-out of funds for a CM on a day is the net amount across settlements and all TMs/clients, in F&O Segment.
Settlement of Custodial Participant (CP) Deals
NSCCL provides a facility to entities like institutions to execute trades through any TM, which may be cleared and settled by their own CM. Such entities are called Custodial Participants (CP). To avail of this facility, a CP is required to register with NSCCL through this CM, which allots them a unique CP code. The CP and the CM are required to enter into an agreement as per specified format. Thereafter, all trades executed by such CP through any TM are required to have the CP code in the relevant field on the F&O trading system at the time of order entry. Such trades executed on behalf of a CP are required to be confirmed by their CM (and not the CM of the TM through whom the trade was executed), within the time specified by NSE, using the confirmation facility provided by NSCCL to the CMs in the F&O segment. Till such time the trade is confirmed by the CM of the CP, the same is considered as a trade of the TM and the responsibility of settlement of such trade vests with the CM of the TM. Once the trades have been confirmed by the CM of the CP, they form part of the obligations of the CM of the CP and they shall be responsible for all obligations arising out of such trades including the payment of margins and settlement of obligations.
Settlement Statistics
All derivative contracts are currently cash settled. The participants discharge their obligations through payment/receipt of cash. During 2008-09, such cash settlement amounted to Rs. 91,839.97 crore (US $ 18,025.51 million). The settlement of futures and options involved Rs.76,691.89 crore (US $ 15,052.38 million) and Rs. 15,148.08 (US $ 2,973.13 million) respectively. The details of settlement in the futures and options segment is presented in Table 6-11.
Risk Management System
NSCCL has developed a comprehensive risk containment mechanism for the F&O segment. The salient features of risk containment measures on the F&O segment are:
• The financial soundness of the members is the key to risk management. Therefore, the requirements for membership in terms of capital adequacy (net worth, security
132
SPAN® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under license.
deposits) are quite stringent. These requirements have already been explained in Table 2-1 in Chapter 2 of this publication.
• NSCCL charges an upfront initial margin for all the open positions of a Clearing Member (CM). It specifies the initial margin requirements for each futures/options contract on a daily basis. It follows VaR-based margining computed through SPAN. The CM in turn collects the initial margin from the trading members (TMs) and their respective clients.
• The open positions of the members are marked to market based on contract settlement price for each contract at the end of the day. The difference is settled in cash on a T+1 basis.
• NSCCL’s on-line position monitoring system monitors a CM’s open position on a real-time basis. Limits are set for each CM based on his effective deposits. The on-line position monitoring system generates alert messages whenever a CM reaches 70 %, 80 %, 90 % and a disablement message at 100 % of the limit. NSCCL monitors the CMs for Initial Margin violation, Exposure margin violation, while TMs are monitored for Initial Margin violation and position limit violation.
• CMs are provided a trading terminal for the purpose of monitoring the open positions of all the TMs clearing and settling through him. A CM may set limits for a TM clearing and settling through him. NSCCL assists the CM to monitor the intra-day limits set up by a CM and whenever a TM exceed the limits, it stops that particular TM from further trading.
• A member is alerted of his position to enable him to adjust his exposure or bring in additional capital. Margin violations result in disablement of trading facility for all TMs of a CM in case of a violation by the CM.
• A separate Settlement Guarantee Fund for this segment has been created out of deposits of members.
The most critical component of risk containment mechanism for F&O segment is the margining system and on-line position monitoring. The actual position monitoring and margining is carried out on-line through Parallel Risk Management System (PRISM) using SPAN® (Standard Portfolio Analysis of Risk) system for the purpose of computation of on-line margins, based on the parameters defined by SEBI.
NSE - SPAN®
The objective of NSE-SPAN is to identify overall risk in a portfolio of all futures and options contracts for each member. The system treats futures and options contracts uniformly, while at the same time recognising the unique exposures associated with options portfolios, like extremely deep out-of-the-money short positions and inter-month risk.
133
Its over-riding objective is to determine the largest loss that a portfolio might reasonably be expected to suffer from one day to the next day based on 99% VaR methodology.
SPAN considers uniqueness of option portfolios. The following factors affect the value of an option:
i. Underlying market price.
ii. Volatility (variability) of underlying instrument, and
iii. Time to expiration.
iv. Interest rate
v. Strike price
As these factors change, the value of options maintained within a portfolio also changes. Thus, SPAN constructs scenarios of probable changes in underlying prices and volatilities in order to identify the largest loss a portfolio might suffer from one day to the next. It then sets the margin requirement to cover this one-day loss.
The complex calculations (e.g. the pricing of options) in SPAN are executed by NSCCL. The results of these calculations are called risk arrays. Risk arrays, and other necessary data inputs for margin calculation are provided to members daily in a file called the SPAN Risk Parameter file. Members can apply the data contained in the Risk Parameter files, to their specific portfolios of futures and options contracts, to determine their SPAN margin requirements.
Hence, members need not execute a complex option pricing calculations, which is performed by NSCCL. SPAN has the ability to estimate risk for combined futures and options portfolios, and also re-value the same under various scenarios of changing market conditions.
NSCCL generates six risk parameters file for a day taking into account price and volatilities at various time intervals and are provided on the website of the Exchange.
Margins
The margining system for F&O segment is as below:
• Initial margin: Margin in the F&O segment is computed by NSCCL upto client level for open positions of CMs/TMs. These are required to be paid up-front on gross basis at individual client level for client positions and on net basis for proprietary positions. NSCCL collects initial margin for all the open positions of a CM based on the margins computed by NSE-SPAN. A CM is required to ensure collection of adequate initial margin from his TMs up-front. The TM is required to collect adequate initial margins up-front from his clients.
• Premium Margin: In addition to Initial Margin, Premium Margin is charged at client level. This margin is required to be paid by a buyer of an option till the premium settlement is complete.
134
• Assignment Margin for Options on Securities: Assignment margin is levied in addition to initial margin and premium margin. It is required to be paid on assigned positions of CMs towards interim and final exercise settlement obligations for option contracts on individual securities, till such obligations are fulfilled. The margin is charged on the net exercise settlement value payable by a CM towards interim and final exercise settlement.
• Exposure Margins: Clearing members are subject to exposure margins in addition to initial margins.
• Client Margins: NSCCL intimates all members of the margin liability of each of their client. Additionally members are also required to report details of margins collected from clients to NSCCL, which holds in trust client margin monies to the extent reported by the member as having been collected form their respective clients.
Position Limits
The market wide limit of open position (in terms of the number of underlying stock) on futures and option contracts on a particular underlying stock should be 20% of the number of shares held by non-promoters in the relevant underlying security i.e. free–float holding. This limit is applicable on all open positions in all futures and option contracts on a particular underlying stock. The enforcement of the market wide limits is done in the following manner:
• At end of the day the exchange tests whether the market wide open interest for any scrip exceeds 95% of the market wide position limit for that scrip. In case it does so, the exchange takes note of open position of all client/TMs as at end of that day for that scrip and from next day onwards they can trade only to decrease their positions through offsetting positions.
• At the end of each day during which the ban on fresh positions is in force for any scrip, the exchange tests whether any member or client has increased his existing positions or has created a new position in that scrip. If so, that client is subject to a penalty equal to a specified percentage (or basis points) of the increase in the position (in terms of notional value). The penalty is recovered before trading begins next day.
• The normal trading in the scrip is resumed after the open outstanding position comes down to 80% or below of the market wide position limit. Further, the exchange also checks on a monthly basis, whether a stock has remained subject to the ban on new position for a significant part of the month consistently for three months. If so, then the exchange phases out derivative contracts on that underlying.
135
Trading Member wise Position Limits
Index Futures Contract:
The trading member position limits in equity index futures contracts is higher of Rs.500 Crore or 15% of the total open interest in the market in equity index futures contracts. This limit would be applicable on open positions in all futures contracts on a particular underlying index.
Index Options Contract:
The trading member position limits in equity index option contracts is higher of Rs.500 Crore or 15% of the total open interest in the market in equity index option contracts. This limit would be applicable on open positions in all option contracts on a particular underlying index.
Futures and Option contracts on individual securities :
i. For stocks having applicable market-wise position limit (MWPL) of Rs. 500 crores or more, the combined futures and options position limit is 20% of applicable MWPL or Rs. 300 crores, whichever is lower and within which stock futures position cannot exceed 10% of applicable MWPL or Rs. 150 crores, whichever is lower.
ii. For stocks having applicable market-wise position limit (MWPL) less than Rs. 500 crores, the combined futures and options position limit would be 20% of applicable MWPL and futures position cannot exceed 20% of applicable MWPL or Rs. 50 crore which ever is lower. The Clearing Corporation shall specify the trading member-wise position limits on the last trading day of the month which shall be reckoned for the purpose during the next month.
Client level position limits
The gross open position for each client, across all the derivative contracts on an underlying, should not exceed 1% of the free float market capitalization (in terms of number of shares) or 5% of the open interest in all derivative contracts in the same underlying stock (in terms of number of shares) whichever is higher.
Disclosure for Client Positions in Index based contracts
Any person or persons acting in concert who together own 15% or more of the open interest on a particular underlying index is required to report this fact to the Exchange/ Clearing Corporation. Failure to do so shall be treated as a violation and shall attract appropriate penal and disciplinary action in accordance with the Rules, Byelaws and Regulations of Clearing Corporation.
136
Position limits for FII, Mutual Funds:
FII & MF Position limits in Index options contracts: FII & MF position limit in all index options contracts on a particular underlying index is Rs.500 Crores or 15 % of the total open interest of the market in index options, whichever is higher. This limit would be applicable on open positions in all options contracts on a particular underlying index.
FII & MF Position limits in Index futures contracts : FII & MF position limit in all index futures contracts on a particular underlying index is Rs. 500 crores or 15 % of the total open interest of the market in index futures, whichever is higher. This limit would be applicable on open positions in all futures contracts on a particular underlying index.
In addition to the above, FIIs & MF’s shall take exposure in equity index derivatives subject to the following limits:
a) Short positions in index derivatives (short futures, short calls and long puts) not exceeding (in notional value) the FII’s / MF’s holding of stocks.
b) Long positions in index derivatives (long futures, long calls and short puts) not exceeding (in notional value) the FII’s / MF’s holding of cash, government securities, T-Bills and similar instruments.
The FIIs should report to the clearing members (custodian) the extent of the FIIs holding of stocks, cash, government securities, T-bills and similar instruments before the end of the day. The clearing member (custodian) in turn should report the same to the exchange. The exchange monitors the FII position limits. The position limit for sub-account is same as that of client level position limits.
Stock Futures & Options:
For stocks having applicable market-wise position limit (MWPL) of Rs. 500 crores or more, the combined futures and options position limit is 20% of applicable MWPL or Rs. 300 crores, whichever is lower and within which stock futures position cannot exceed 10 % of applicable MWPL or Rs.150 crores, whichever is lower.
For stocks having applicable market-wise position limit (MWPL) less than Rs. 500 crores, the combined futures and options position limit is 20% of applicable MWPL and futures position cannot exceed 20 % of applicable MWPL or Rs. 50 crore which ever is lower
137
Table 6-1 : List of Securities on which Futures & Options are available at NSE (as on 31 March 2009)
Sr.No
Security Symbol Launch Date
Market Lot
1 3I Infotech Ltd. 3IINFOTECH 06-Sep-07 10800
2 Aban Offshore Ltd. ABAN 29-Dec-06 400
3 ABB Ltd. ABB 20-Apr-05 500
4 ABG Shipyard Limited ABGSHIP 21-Aug-08 3300
5 Aditya Birla Nuvo Limited ABIRLANUVO 14-May-07 400
6 Adlabs Films Ltd ADLABSFILM 14-May-07 1800
7 Allahabad Bank ALBK 20-Apr-05 4900
8 Alok Industries Ltd. ALOKTEXT 27-May-05 22152
9 Alstom Projects India Ltd APIL 14-May-07 1200
10 Ambuja Cements Ltd. AMBUJACEM 02-Jul-01 4124
11 Amtek Auto Ltd. AMTEKAUTO 29-Dec-06 4800
12 Andhra Bank ANDHRABANK 29-Aug-03 4600
13 Aptech Limited APTECHT 06-Sep-07 3900
14 Arvind Limited ARVIND 26-Sep-03 17200
15 Ashok Leyland Ltd ASHOKLEY 20-Apr-05 19100
16 Asian Paints Limited ASIANPAINT 21-Aug-08 400
17 Associated Cement Co. Ltd. ACC 02-Jul-01 752
18 Aurobindo Pharma Ltd. AUROPHARMA 12-May-05 2800
19 Axis Bank Ltd. AXISBANK 20-Apr-05 900
20 Bajaj Auto Limited BAJAJ-AUTO 26-May-08 800
21 Bajaj Hindustan Ltd. BAJAJHIND 29-Dec-06 5700
22 Bajaj Holdings & Investment Ltd. BAJAJHLDNG 14-Mar-08 1000
23 Balaji Telefilms Ltd. BALAJITELE 21-Aug-08 5000
24 Ballarpur Industries Limited BALLARPUR 31-Mar-08 14600
25 Balrampur Chini Mills Ltd. BALRAMCHIN 29-Dec-06 9600
26 Bank Of Baroda BANKBARODA 29-Aug-03 1400
27 Bank Of India BANKINDIA 29-Aug-03 950
28 Bata India Ltd. BATAINDIA 29-Dec-06 4200
29 Bharat Earth Movers Ltd. BEML 29-Dec-06 750
30 Bharat Electronics Ltd. BEL 31-Jan-03 552
31 Bharat Forge Co Ltd BHARATFORG 20-Apr-05 4000
32 Bharat Heavy Electricals Ltd. BHEL 02-Jul-01 300
33 Bharat Petroleum Corporation Ltd. BPCL 02-Jul-01 1100
34 Bharti Airtel Ltd BHARTIARTL 20-Apr-05 500
35 Bhushan Steel & Strips Lt BHUSANSTL 06-Sep-07 1000
36 Biocon Limited. BIOCON 06-Sep-07 3600
37 Birla Corporation Ltd BIRLACORPN 14-May-07 3400
38 Bombay Dyeing & Mfg. Co Ltd. BOMDYEING 29-Dec-06 1800
Contd...
138
Sr.No
Security Symbol Launch Date
Market Lot
39 Bombay Rayon Fashions Ltd BRFL 14-May-07 2300
40 Cairn India Limited CAIRN 09-Jan-07 2500
41 Canara Bank CANBK 29-Aug-03 1600
42 Central Bank Of India CENTRALBK 21-Aug-07 8000
43 Century Textiles Ltd CENTURYTEX 20-Apr-05 1696
44 CESC Ltd. CESC 12-May-05 1100
45 Chambal Fertilizers Ltd. CHAMBLFERT 12-May-05 6900
46 Chennai Petroleum Corporation Ltd. CHENNPETRO 20-Apr-05 3600
47 Cipla Ltd. CIPLA 02-Jul-01 1250
48 Colgate Palmolive Ltd COLPAL 17-Dec-07 550
49 Container Corporation Of India Limited CONCOR 21-Aug-08 500
50 Corporation Bank CORPBANK 12-May-05 1200
51 Crompton Greaves Ltd. CROMPGREAV 29-Dec-06 2000
52 Cummins India Ltd CUMMINSIND 20-Apr-05 1900
53 Dabur India Ltd. DABUR 20-Apr-05 2700
54 Deccan Chronicle Holdings Ltd. DCHL 21-Aug-08 6800
55 Dena Bank DENABANK 14-May-07 10500
56 Develop Credit Bank Ltd DCB 30-Nov-07 14000
57 Dish Tv India Limited DISHTV 21-Aug-08 20600
58 Divi’S Laboratories Ltd. DIVISLAB 12-May-05 310
59 DLF Limited DLF 05-Jul-07 1600
60 Dr. Reddy’S Laboratories Ltd. DRREDDY 02-Jul-01 800
61 Edelweiss Capital Ltd EDELWEISS 12-Dec-07 1000
62 Educomp Solutions Ltd EDUCOMP 14-May-07 150
63 Escorts India Ltd. ESCORTS 27-May-05 9600
64 Essar Oil Ltd. ESSAROIL 12-May-05 2824
65 Everest Kanto Cylinder Ltd EKC 14-May-07 2000
66 Everonn Systems India Limited EVERONN 21-Aug-08 800
67 Federal Bank Ltd. FEDERALBNK 12-May-05 1702
68 Financial Technologies (I) Ltd FINANTECH 14-May-07 600
69 Firstsource Solutions Limited FSL 21-Aug-08 19000
70 GAIL (India) Ltd. GAIL 26-Sep-03 1125
71 Gateway Distriparks Ltd. GDL 29-Dec-06 5000
72 Gitanjali Gems Limited GITANJALI 30-Nov-07 4000
73 Glaxosmithkline Pharma Ltd. GLAXO 20-Apr-05 300
74 Gmr Infrastructure Ltd. GMRINFRA 21-Aug-06 5000
75 Grasim Industries Ltd. GRASIM 02-Jul-01 352
76 Great Offshore Ltd GTOFFSHORE 30-Nov-07 1000
77 GTL Infrastructure Limited GTLINFRA 21-Aug-08 9700
78 GTL Ltd. GTL 29-Dec-06 1500
Contd...
Contd...
139
Sr.No
Security Symbol Launch Date
Market Lot
79 Gujarat Alkalies & Chem GUJALKALI 29-Dec-06 5600
80 Gujarat Narmada Fertilizer Co. Ltd. GNFC 12-May-05 5900
81 Gujarat State Petronet Limited GSPL 21-Aug-08 12200
82 GVK Power & Infrastructure Limited GVKPIL 21-Aug-08 19000
83 Havells India Limited HAVELLS 06-Sep-07 2400
84 HCL Infosystems Ltd HCL-INSYS 21-Aug-08 3400
85 HCL Technologies Ltd. HCLTECH 31-Jan-03 2600
86 HDFC Bank Ltd. HDFCBANK 29-Aug-03 400
87 Hero Honda Motors Ltd. HEROHONDA 31-Jan-03 400
88 Hindalco Industries Ltd. HINDALCO 02-Jul-01 7036
89 Hindustan Construction Co HCC 29-Dec-06 8400
90 Hindustan Oil Exploration HINDOILEXP 30-Nov-07 6400
91 Hindustan Petroleum Corporation Ltd. HINDPETRO 02-Jul-01 1300
92 Hindustan Unilever Ltd HINDUNILVR 02-Jul-01 1000
93 Hindustan Zinc Limited HINDZINC 30-Nov-07 1000
94 Hotel Leela Ventures Ltd HOTELEELA 14-May-07 15000
95 Housing Development And Infrastructure Ltd. HDIL 24-Jul-07 3096
96 Housing Development Finance Corporation Ltd. HDFC 02-Jul-01 150
97 ICICI Bank Ltd. ICICIBANK 31-Jan-03 700
98 ICSA (India) Limited ICSA 21-Aug-08 2400
99 Idea Cellular Ltd. IDEA 09-Mar-07 5400
100 IFCI Ltd. IFCI 27-May-05 15760
101 India Cements Ltd. INDIACEM 27-May-05 2900
102 India Infoline Limited INDIAINFO 14-May-07 5000
103 Indiabulls Real Estate Limited IBREALEST 21-Aug-08 2600
104 Indian Bank INDIANB 01-Mar-07 2200
105 Indian Hotels Co. Ltd. INDHOTEL 20-Apr-05 7596
106 Indian Oil Corporation Ltd. IOC 26-Sep-03 600
107 Indian Overseas Bank IOB 20-Apr-05 5900
108 Indusind Bank Ltd. INDUSINDBK 12-May-05 7700
109 Industrial Development Bank Of India Ltd. IDBI 20-Apr-05 4800
110 Infosys Technologies Ltd. INFOSYSTCH 02-Jul-01 200
111 Infrastructure Development Finance Company Ltd. IDFC 12-Aug-05 5900
112 IRB Infrastructure Developers Ltd IRB 25-Feb-08 4400
113 Ispat Industries Limited ISPATIND 30-Nov-07 24900
114 ITC Ltd. ITC 02-Jul-01 2250
115 IVRCL Infrastructure & Projects Ltd. IVRCLINFRA 27-May-05 2000
116 Jaiprakash Associates Ltd. JPASSOCIAT 29-Dec-06 4500
117 Jaiprakash Hydro-Power Ltd. JPHYDRO 18-Apr-05 12500
118 Jet Airways (India) Ltd. JETAIRWAYS 14-Mar-05 2400
Contd...
Contd...
140
Sr.No
Security Symbol Launch Date
Market Lot
119 Jindal Saw Limited JINDALSAW 30-Nov-07 1000
120 Jindal Steel & Power Ltd JINDALSTEL 20-Apr-05 320
121 JSL Ltd. JSL 12-May-05 8000
122 JSW Steel Ltd. JSWSTEEL 29-Dec-06 1650
123 K S Oils Limited KSOILS 21-Aug-08 5900
124 Kesoram Industries Ltd KESORAMIND 14-May-07 2000
125 Kingfisher Airlines Limited KFA 14-May-07 8500
126 Kotak Mahindra Bank Ltd. KOTAKBANK 29-Dec-06 1100
127 KSK Energy Ventures Ltd. KSK 14-Jul-08 1700
128 Lakshmi Machines Ltd LAXMIMACH 06-Sep-07 400
129 Lanco Infratech Ltd. LITL 27-Nov-06 2550
130 Larsen & Toubro Ltd. LT 15-Sep-06 400
131 LIC Housing Finance Ltd LICHSGFIN 20-Apr-05 1700
132 Lupin Ltd. LUPIN 29-Dec-06 350
133 Mahanagar Telephone Nigam Ltd. MTNL 02-Jul-01 3200
134 Maharashtra Seamless Ltd. MAHSEAMLES 12-May-05 2400
135 Mahindra & Mahindra Ltd. M&M 02-Jul-01 1248
136 Mahindra Lifespace Developers Ltd MAHLIFE 14-May-07 1400
137 Mangalore Refinery And Petrochemicals Ltd. MRPL 20-Apr-05 8900
138 Maruti Udyog Ltd. MARUTI 09-Jul-03 800
139 Mercator Lines Limited MLL 21-Aug-08 9800
140 Mindtree Limited MINDTREE 21-Aug-08 1200
141 Monnet Ispat Ltd MONNETISPA 21-Aug-08 1800
142 Moser-Baer (I) Ltd MOSERBAER 14-May-07 4950
143 Motor Industries Co Ltd BOSCHLTD 30-Nov-07 100
144 Mphasis Ltd. MPHASIS 12-May-05 1600
145 MRF Ltd. MRF 21-Aug-08 200
146 Nagarjuna Constrn. Co. Ltd. NAGARCONST 29-Dec-06 4000
147 Nagarjuna Fertiliser & Chemicals Ltd. NAGARFERT 27-May-05 21000
148 National Aluminium Co. Ltd. NATIONALUM 31-Jan-03 2300
149 National Thermal Power Corporation Ltd. NTPC 05-Nov-04 1625
150 Nava Bharat Ventures Limited NBVENTURES 21-Aug-08 3200
151 NDTV Ltd. NDTV 12-May-05 3300
152 Network 18 Fincap Ltd. NETWORK18 30-Nov-07 2000
153 Neyveli Lignite Corporation Ltd. NEYVELILIG 20-Apr-05 5900
154 NIIT Limited NIITLTD 30-Nov-07 8700
155 Noida Toll Bridge Company Ltd NOIDATOLL 21-Aug-08 16400
156 Oil & Natural Gas Corp. Ltd. ONGC 31-Jan-03 450
157 Opto Circuits (India) Limited OPTOCIRCUI 21-Aug-08 4080
158 Oracle Financial Services Software Limited OFSS 30-May-03 600
Contd...
Contd...
141
Sr.No
Security Symbol Launch Date
Market Lot
159 Orchid Chemicals Ltd. ORCHIDCHEM 12-May-05 4200
160 Oriental Bank Of Commerce ORIENTBANK 29-Aug-03 2400
161 Pantaloon Retail (I) Ltd PANTALOONR 14-May-07 1700
162 Patel Engineering Ltd. PATELENG 14-May-07 2000
163 Patni Computer Syst Ltd PATNI 20-Apr-05 2600
164 Peninsula Land Limited PENINLAND 14-May-07 16500
165 Petronet Lng Limited PETRONET 14-May-07 8800
166 Piramal Healthcare Ltd PIRHEALTH 15-Feb-08 1500
167 Polaris Software Lab Ltd. POLARIS 31-Jan-03 5600
168 Power Finance Corporation Ltd. PFC 23-Feb-07 2400
169 Power Grid Corporation Of India Ltd. POWERGRID 05-Oct-07 3850
170 Praj Industries Ltd. PRAJIND 29-Dec-06 4400
171 PTC India Limited PTC 21-Aug-08 4700
172 Punj Lloyd Ltd. PUNJLLOYD 06-Jan-06 1500
173 Punjab National Bank PNB 29-Aug-03 600
174 Rajesh Exports Ltd RAJESHEXPO 14-May-07 9900
175 Ranbaxy Laboratories Ltd. RANBAXY 02-Jul-01 1600
176 Reliance Natural Resources Ltd. RNRL 14-May-07 7152
177 Reliance Capital Ltd RELCAPITAL 20-Apr-05 552
178 Reliance Communications Ltd. RCOM 15-Sep-06 1400
179 Reliance Industrial Infrastructure Limited RIIL 21-Aug-08 800
180 Reliance Industries Ltd. RELIANCE 02-Jul-01 300
181 Reliance Infrastructure Limited RELINFRA 09-Nov-01 552
182 Reliance Petroleum Ltd. RPL 11-May-06 3350
183 Reliance Power Ltd. RPOWER 11-Feb-08 2000
184 Rolta India Ltd ROLTA 14-May-07 1800
185 Rural Electrification Corporation Ltd. RECLTD 12-Mar-08 3900
186 S Kumars Nationwide Ltd SKUMARSYNF 14-May-07 11400
187 Sesa Goa Ltd. SESAGOA 29-Dec-06 3000
188 Shipping Corporation Of India Ltd. SCI 31-Jan-03 4800
189 Shree Renuka Sugars Ltd. RENUKA 29-Dec-06 5000
190 Siemens Ltd SIEMENS 20-Apr-05 1504
191 Sintex Industries Ltd. SINTEX 21-Aug-08 1400
192 SREI Infrastructure Finance Limited SREINTFIN 21-Aug-08 7000
193 SRF Ltd. SRF 27-May-05 3000
194 State Bank Of India SBIN 02-Jul-01 264
195 Steel Authority Of India Ltd. SAIL 15-Sep-06 5400
196 Sterling Biotech Ltd STERLINBIO 14-May-07 1250
197 Sterlite Industries (I) Ltd STER 20-Apr-05 876
198 Strides Arcolab Ltd. STAR 27-May-05 3400
Contd...
Contd...
142
Sr.No
Security Symbol Launch Date
Market Lot
199 Sun Pharmaceuticals India Ltd. SUNPHARMA 20-Apr-05 225
200 Sun Tv Network Ltd. SUNTV 24-Apr-06 2000
201 Suzlon Energy Ltd. SUZLON 19-Oct-05 6000
202 Syndicate Bank SYNDIBANK 26-Sep-03 3800
203 Tata Chemicals Ltd TATACHEM 20-Apr-05 2700
204 Tata Communications Ltd TATACOMM 20-Apr-05 1050
205 Tata Consultancy Services Ltd TCS 25-Aug-04 500
206 Tata Motors Ltd. TATAMOTORS 02-Jul-01 1700
207 Tata Power Co. Ltd. TATAPOWER 02-Jul-01 400
208 Tata Steel Ltd. TATASTEEL 02-Jul-01 1528
209 Tata Tea Ltd. TATATEA 02-Jul-01 550
210 Tata Teleserv(Maharastra) TTML 29-Dec-06 10450
211 Tech Mahindra Limited TECHM 06-Sep-07 1200
212 Television Eighteen India Ltd. TV-18 21-Aug-08 3400
213 The Great Eastern Shipping Co. Ltd. GESHIP 27-Nov-06 2400
214 The Karnataka Bank Ltd. KTKBANK 27-May-05 5000
215 Thermax Ltd THERMAX 21-Aug-08 1800
216 Titan Industries Ltd. TITAN 12-May-05 412
217 Torrent Power Limited TORNTPOWER 21-Aug-08 3400
218 Triveni Engg. & Inds. Ltd. TRIVENI 29-Dec-06 7700
219 Tulip It Services Ltd TULIP 06-Sep-07 1000
220 TVS Motor Company Ltd. TVSMOTOR 12-May-05 11800
221 UCO Bank UCOBANK 21-Aug-08 10000
222 Ultratech Cement Ltd. ULTRACEMCO 29-Dec-06 800
223 Union Bank Of India UNIONBANK 29-Aug-03 2100
224 Unitech Ltd UNITECH 14-May-07 9000
225 United Phosphorous Ltd UNIPHOS 14-May-07 2800
226 United Spirits Ltd. MCDOWELL-N 29-Dec-06 250
227 UTV Software Communications Limited UTVSOF 21-Aug-08 1200
228 Vijaya Bank VIJAYABANK 20-Apr-05 6900
229 Voltas Ltd. VOLTAS 29-Dec-06 5400
230 Welspun Guj St. Ro. Ltd. WELGUJ 06-Sep-07 3200
231 Wipro Ltd. WIPRO 31-Jan-03 1200
232 Wockhardt Ltd. WOCKPHARMA 20-Apr-05 2400
233 Yes Bank Limited YESBANK 06-Sep-07 4400
234 Zee Entertainment Enterprises Ltd. ZEEL 12-Feb-07 2800
Contd...
143
Tab
le 6
-2 :
Con
trac
t Spe
cific
atio
n fo
r In
dex
Futu
res a
nd O
ptio
ns
Par
ticu
lars
Inde
x F
utur
esIn
dex
Opt
ions
M
ini I
ndex
Fut
ures
Min
i Ind
ex O
ptio
nsLo
ng T
erm
Ind
ex O
ptio
ns
Secu
rity
Des
crip
tion
FUT
IDX
O
PTID
X
FUT
IDX
------
------
------
------
------
------
OPT
IDX
------
------
------
------
------
------
----
Und
erly
ing
Inde
xS&
P C
NX
Nift
y/ C
NX
Nift
y Ju
nior
/ C
NX
100
/ Ba
nk
Nift
y/ C
NX
IT/N
ifty
Mid
cap
50/S
&P
CN
X D
efty
------
------
------
------
------
------
------
------
S&P
CN
X N
ifty-
------
------
------
------
------
------
------
------
------
Styl
e of
Opt
ion
NA
Euro
pean
NA
------
------
------
------
------
------
---Eu
rope
an---
------
------
------
------
------
------
Con
trac
t Siz
eA
s spe
cifie
d by
SEB
I, cu
rren
tly m
inim
um R
s.2 la
khs a
t the
tim
e of
intr
oduc
tion
As s
peci
fied
by S
EBI c
urre
ntly
min
imum
Rs.1
lakh
at t
he
time
of in
trod
uctio
nA
s spe
cifie
d by
SEB
I cu
rren
tly m
inim
um
Rs.2
lakh
s at t
he ti
me
of
intr
oduc
tion
Pric
e St
epR
s. 0.
05
Last
Tra
ding
/Exp
irat
ion
Day
Last
Thu
rsda
y of
the
expi
ry m
onth
or
the
prec
edin
g tr
adin
g da
y, if
last
Thu
rsda
y is
a tr
adin
g ho
liday
Expi
ratio
n Pe
riod
upto
3 m
onth
sup
to 3
.5 y
ears
Tra
ding
Cyc
leA
max
imum
of t
hree
mon
th tr
adin
g cy
cle
- •
Nea
r m
onth
(One
)•
Nex
t mon
th (T
wo)
and
•
Far
mon
th (T
hree
).
New
con
trac
t is i
ntro
duce
d on
the
next
trad
ing
day
follo
win
g th
e ex
piry
of n
ear
mon
th c
ontr
act
• 3
near
mon
th e
xpir
ies
• T
hree
follo
win
g qu
arte
rly
expi
ries
of t
he c
ycle
(Mar
ch,
June
, Sep
t & D
ec)
• A
fter
thes
e 5
follo
win
g ha
lf ye
arly
exp
irie
s of c
ycle
Ju
ne /
Dec
)Pr
ice
Band
sN
o pr
ice
band
how
ever
O
pera
ting
rang
e ha
s bee
n ke
pt w
hich
is 1
0 %
of t
he
base
pri
ce
No
Pric
e ba
nd h
owev
er
Ope
ratin
g ra
nge
has b
een
kept
as:
Upp
er r
ange
- 99
%
of th
e ba
se p
rice
or
Rs.
20
whi
ch e
ver
is hi
gher
. Low
er
rang
e - 0
.05
(tick
size
)
No
pric
e ba
nd h
owev
er
Ope
ratin
g ra
nge
has b
een
kept
whi
ch is
10
% o
f the
ba
se p
rice
No
Pric
e ba
nd h
owev
er O
pera
ting
rang
e ha
s bee
n ke
pt a
s: U
pper
ran
ge -
99 %
of t
he b
ase
pric
e or
Rs.
20 w
hich
eve
r is
high
er. L
ower
ran
ge -
0.05
(tic
k siz
e)
Con
td...
144
Par
ticu
lars
Inde
x F
utur
esIn
dex
Opt
ions
M
ini I
ndex
Fut
ures
Min
i Ind
ex O
ptio
nsLo
ng T
erm
Ind
ex O
ptio
ns
No.
of S
trik
e Pr
ices
NA
For
ever
y op
tion
type
( i.e
C
all &
Put
)
Upt
o 20
00 -
9 st
rike
s (4-
1-4)
4 IT
M, 1
AT
M &
4 O
TM
> 2
001
upto
600
0- 1
3 st
rike
s (6-
1-6)
6 IT
M, 1
AT
M, 6
OT
M
>60
00- 1
5 st
rike
s (7-
1-7)
7 IT
M, 1
AT
M, 7
AT
M
NA
For
ever
y op
tion
type
( i.e
Cal
l & P
ut)
Upt
o 20
00 -
9 st
rike
s (4-
1-4)
4 IT
M, 1
AT
M &
4 O
TM
> 2
001
upto
600
0- 1
3 st
rike
s (6-
1-6)
6 IT
M, 1
AT
M, 6
OT
M
>60
00- 1
5 st
rike
s (7-
1-7)
7 IT
M, 1
AT
M, 7
AT
M
Stri
ke P
rice
Inte
rval
(in
Rs.)
NA
Upt
o 20
00
5
0>
200
0
100
NA
Upt
o 20
00
5
0>
200
0
100
Sett
lem
ent
In c
ash
on T
+1
basis
Sett
lem
ent D
ayLa
st tr
adin
g da
y
Mar
gins
Up-
fron
t ini
tial m
argi
n on
dai
ly b
asis
Dai
ly S
ettle
men
t Pri
ceC
losin
g pr
ice
of fu
ture
s co
ntra
ct o
n th
e tr
adin
g da
yPr
emiu
m V
alue
(net
)C
losin
g pr
ice
of fu
ture
s co
ntra
ct o
n th
e tr
adin
g da
yPr
emiu
m V
alue
(net
)Pr
emiu
m V
alue
(net
)
Fina
l Set
tlem
ent P
rice
C
losin
g va
lue
unde
rlyi
ng
Inde
x on
the
last
trad
ing
day
of th
e fu
ture
s con
trac
t.
Clo
sing
valu
e un
derl
ying
In
dex
on th
e la
st tr
adin
g da
y of
the
Opt
ions
con
trac
t.
Clo
sing
valu
e un
derl
ying
In
dex
on th
e la
st tr
adin
g da
y of
the
futu
res c
ontr
act.
Clo
sing
valu
e un
derl
ying
In
dex
on th
e la
st tr
adin
g da
y of
the
Opt
ions
con
trac
t.
Clo
sing
valu
e un
derl
ying
In
dex
on th
e la
st tr
adin
g da
y of
the
Opt
ions
con
trac
t.
Con
td...
145
Table 6-3 : Contract Specification for Stock Futures and Options
Particulars Stock Futures Stock Options
Security Description FUTSTK OPTSTK
Underlying Individual Securities
Style of Option NA American
Contract Size As specified by SEBI; Currently minimum Rs.2 lakhs at the time of introduction
Price Steps Rs. 0.05
Expiration Period Upto 3 months
Trading Cycle A maximum of three month trading cycle - the near month (one), the next month (two) and the far month (three). New contract is introduced on the next trading day following the expiry of near month contract
Last Trading/Expiration Day Last Thursday of the expiry month or the preceding trading day, if last Thursday is a trading holiday
Price Bands No price bands however Operating range has been kept which is 20% of the base price.
No price band however Operating range has been kept which is: Upper range - 99% of the base price or Rs. 20 which ever is higher, Lower range - 0.05 (tick size)
No. of strike Prices NA 7 strikes (3 ITM, 1 ATM and 3 OTM) for every option type (i.e call and put)
Strike Price Interval (in Rs.) NA Between 2.5 and 100 depending on the price of underlying
Settlement In cash on T+1 basis
Settlement Day Last trading day
Margins Up-front initial margin on daily basis
Daily Settlement Price Closing price of futures contract on the trading
day
Premium Value (net)
Final Settlement Price Closing value underlying security on the last trading day of the futures contract.
Closing value of such underlying security on the last trading day of the options
contract.
Note:ITM: In-the-MoneyATM: At-the-MoneyOTM-Out-of-the-Money
146
Tab
le 6
-4 :
Busi
ness
Gro
wth
of F
utur
es &
Opt
ions
Mar
ket S
egm
ent
Mon
th/
Yea
rIn
dex
Futu
res
Stoc
k Fu
ture
s In
dex
Opt
ions
Stoc
k O
ptio
nsT
otal
Ave
rage
Dai
ly
Tra
ding
Val
ueC
all
Put
Cal
lPu
tN
o. o
f C
ontr
acts
T
rade
d
Tra
ding
V
alue
N
o. o
f C
ontr
acts
T
rade
d
Tra
ding
V
alue
No.
of
Con
trac
ts
Tra
ded
Not
iona
l T
radi
ng
Val
ue
No.
of
Con
trac
ts T
rade
d
Not
iona
l T
radi
ng
Val
ue
No.
of
Con
trac
ts
Tra
ded
Not
iona
l T
radi
ng
Val
ue
No.
of
Con
trac
ts
Tra
ded
No-
tiona
l T
radi
ng
Val
ue
No.
of
Con
trac
ts
Tra
ded
Tra
ding
Val
ue
(Rs.
cr.)
(Rs.
cr)
(Rs.
cr)
(Rs.
cr)
(Rs.
cr)
(Rs.c
r)(U
S $
mn)
(Rs.c
r)(U
S $
mn)
Jun-
00 t
o M
ar-0
190
,580
2,36
5-
--
--
--
--
-90
,580
2,36
555
512
2.49
2001
-02
1,02
5,58
821
,482
1,95
7,85
651
,516
113,
974
2,46
661
,926
1,30
076
8,15
918
,780
269,
370
6,38
34,
196,
873
101,
927
20,8
8741
38.
46
2002
-03
2,12
6,76
343
,951
10,6
76,8
4328
6,53
226
9,67
45,
670
172,
567
3,57
72,
456,
501
69,6
441,
066,
561
30,4
8916
,768
,909
439,
864
92,6
031,
752
368.
94
2003
-04
17,1
91,6
6855
4,46
232
,368
,842
1,30
5,94
91,
043,
894
31,8
0168
8,52
021
,022
4,24
8,14
916
8,17
41,
334,
922
49,0
3856
,886
,776
2,13
0,64
9 4
91,0
46
8,38
819
33.2
5
2004
-05
21,6
35,4
4977
2,17
447
,043
,066
1,48
4,06
71,
870,
647
69,3
731,
422,
911
52,5
813,
946,
979
132,
066
1,09
8,13
336
,792
77,0
17,1
852,
547,
053
582,
183
10,0
6723
01.1
2
2005
-06
58,
537,
886
1,5
13,7
91
79,5
86,8
52
2,79
1,72
1 6
,413
,467
1
68,6
32
6,5
21,6
49
169
,837
4,
165,
996
143
,752
1,
074,
780
36,
518
157
,619
,271
4
,824
,250
1
,081
,428
19
,220
43
08.4
8
2006
-07
81,
487,
424
2,5
39,5
75
104,
955,
401
3,83
0,97
2 1
2,63
2,34
9 3
98,2
19
12,
525,
089
393
,693
4,
394,
292
161
,902
8
89,0
18
31,
909
216
,883
,573
7
,356
,271
1
,687
,605
29
,543
67
77.5
3
Apr
-07
10,
383,
282
205
,458
1
0,64
7,86
6 2
96,6
29
2,4
02,7
64
48,
574
2,4
71,6
98
48,
576
506
,497
1
3,73
5 1
28,8
60
3,3
15
26,
540,
967
616
,287
1
54,1
87
30,
814
7,7
09
May
-07
10,
219,
149
214
,523
1
3,35
0,66
7 4
00,0
96
1,9
93,7
61
42,
577
2,0
61,9
21
42,
888
625
,846
1
9,38
0 1
32,4
60
3,9
77
28,
383,
804
723
,443
1
80,9
96
34,
450
8,6
19
Jun-
07 1
1,40
7,86
5 2
40,7
97
14,
287,
983
451
,314
2
,116
,761
4
5,56
8 2
,224
,230
4
6,93
6 5
79,0
74
18,
359
115
,515
3
,569
3
0,73
1,42
8 8
06,5
42
201
,787
3
8,40
7 9
,609
Jul-0
7 1
0,60
5,48
3 2
38,5
77
18,
888,
008
647
,356
1
,684
,458
3
8,41
5 2
,537
,127
5
6,14
6 8
50,1
53
28,
895
172
,005
5
,687
3
4,73
7,23
4 1
,015
,077
2
53,9
60
46,
140
11,
544
Aug
-07
17,
052,
495
363
,988
1
5,79
8,35
1 5
19,3
85
3,1
58,7
58
69,
705
3,2
80,9
21
71,
256
774
,381
2
6,76
9 1
71,0
19
5,6
29
40,
235,
925
1,0
56,7
31
264
,381
4
8,03
3 1
2,01
7
Sep-
07 1
0,90
4,56
4 2
56,4
70
17,
653,
654
670
,968
2
,020
,510
4
8,37
0 2
,599
,916
5
9,59
4 7
97,2
64
31,
958
143
,404
5
,527
3
4,11
9,31
2 1
,072
,889
2
68,4
24
53,
644
13,
421
Oct
-07
17,
842,
671
485
,079
2
4,00
8,47
0 1
,120
,263
2
,808
,150
7
8,73
1 3
,599
,639
9
5,26
2 9
84,1
50
47,
981
142
,394
6
,347
4
9,38
5,47
4 1
,833
,663
4
58,7
60
83,
348
20,
853
Nov
-07
12,
668,
280
365
,564
1
8,03
3,29
4 9
89,1
13
2,0
14,5
33
60,
097
1,9
94,1
75
56,
855
710
,304
4
0,29
7 1
01,3
27
5,3
79
35,
521,
913
1,5
17,3
04
379
,611
6
8,96
8 1
7,25
5
Dec
-07
9,6
09,2
09
287
,357
1
6,56
5,23
6 8
49,9
97
1,6
24,3
54
49,
964
1,8
05,0
71
53,
202
578
,100
3
0,27
9 7
1,33
4 3
,432
3
0,25
3,30
4 1
,274
,230
3
18,7
97
67,
065
16,
779
Con
td...
147
Mon
th/
Yea
rIn
dex
Futu
res
Stoc
k Fu
ture
s In
dex
Opt
ions
Stoc
k O
ptio
nsT
otal
Ave
rage
Dai
ly
Tra
ding
Val
ueC
all
Put
Cal
lPu
tN
o. o
f C
ontr
acts
T
rade
d
Tra
ding
V
alue
N
o. o
f C
ontr
acts
T
rade
d
Tra
ding
V
alue
No.
of
Con
trac
ts
Tra
ded
Not
iona
l T
radi
ng
Val
ue
No.
of
Con
trac
ts T
rade
d
Not
iona
l T
radi
ng
Val
ue
No.
of
Con
trac
ts
Tra
ded
Not
iona
l T
radi
ng
Val
ue
No.
of
Con
trac
ts
Tra
ded
No-
tiona
l T
radi
ng
Val
ue
No.
of
Con
trac
ts
Tra
ded
Tra
ding
Val
ue
(Rs.
cr.)
(Rs.
cr)
(Rs.
cr)
(Rs.
cr)
(Rs.
cr)
(Rs.c
r)(U
S $
mn)
(Rs.c
r)(U
S $
mn)
Jan-
08 1
6,14
8,83
8 4
50,6
57
23,
736,
610
851
,213
2
,018
,823
6
0,75
3 1
,957
,642
5
8,07
4 7
64,9
89
29,
383
103
,561
3
,800
4
4,73
0,46
3 1
,453
,881
3
63,7
43
63,
212
15,
815
Feb-
08 1
4,06
4,21
1 3
52,2
26
14,
491,
601
421
,838
2
,185
,165
5
9,93
1 1
,934
,412
5
0,32
0 4
27,4
83
12,
733
82,
832
2,1
68
33,
185,
704
899
,217
2
24,9
73
42,
820
10,
713
Mar
-08
15,
692,
532
359
,970
16
,126
,212
3
30,3
90
2,6
39,8
45
66,
131
2,2
31,4
04
54,
186
404
,472
8
,674
9
3,20
7 1
,862
3
7,18
7,67
2 8
21,2
15
205
,458
4
5,62
3 1
1,41
4
2007
-08
156,
598,
579
3,8
20,6
67
203,
587,
952
7,54
8,56
3 2
6,66
7,88
2 6
68,8
16
28,
698,
156
693
,295
8,
002,
713
308
,443
1,
457,
918
50,
693
425
,013
,200
13
,090
,478
3
,275
,076
52
,153
1
3,04
8
Apr
-08
12,
063,
172
280,
100
15,
601,
531
336,
901
2,6
72,5
88
67,
954
2,6
92,6
43
65,
611
573
,744
1
3,13
9 1
26,1
46
2,7
25
33,
729,
824
766
,431
1
50,4
28
38,
322
7,5
21
May
-08
11,
161,
427
267,
641
16,
693,
260
380,
161
2,2
43,1
73
58,
115
2,8
35,7
87
70,
951
740
,079
1
7,23
9 1
66,3
29
3,8
01
33,
840,
055
797
,908
1
56,6
06
39,
895
7,8
30
Jun-
08 1
7,94
1,87
0 37
7,93
9 1
9,15
4,94
6 37
5,98
7 6
,056
,056
1
39,9
19
7,5
08,3
80
168
,790
7
40,2
29
17,
009
199
,648
4
,421
5
1,60
1,12
9 1
,084
,064
2
12,7
70
51,
622
10,
132
Jul-0
8 2
0,42
3,13
9 39
5,38
0 2
2,23
2,22
7 38
2,60
1 9
,144
,707
1
98,1
74
7,7
44,9
97
159
,035
9
44,6
02
19,
354
307
,688
5
,630
6
0,79
7,36
0 1
,160
,174
2
27,7
08
50,
442
9,9
00
Aug
-08
14,
433,
984
300,
449
17,
594,
216
324,
011
7,5
68,1
63
174
,797
6
,267
,479
1
37,3
05
820
,895
1
6,88
0 2
08,8
06
4,0
03
46,
893,
543
957
,445
1
87,9
19
47,
872
9,3
96
Sep-
08 1
9,33
2,34
3 38
0,19
8 2
0,07
6,13
8 33
2,72
8 1
2,16
1,14
8 2
68,0
33
9,2
37,2
82
193
,589
1
,035
,531
1
8,68
8 2
69,1
24
4,6
36
62,
111,
566
1,1
97,8
72
235
,107
5
7,04
2 1
1,19
6
Oct
-08
21,
649,
445
324,
962
19,
858,
409
239,
264
12,
967,
476
231
,565
7
,769
,905
1
32,9
45
689
,231
9
,951
2
00,3
62
2,9
60
63,
134,
828
941
,646
1
84,8
18
47,
082
9,2
41
Nov
-08
19,
471,
367
256,
950
17,
949,
270
187,
211
10,
296,
361
158
,042
9
,624
,563
1
34,0
92
561
,864
6
,429
2
41,9
53
2,6
32
58,
145,
378
745
,356
1
46,2
92
41,
409
8,1
27
Dec
-08
20,
007,
895
269
,997
2
2,26
2,78
5 2
30,4
66
11,
144,
623
171
,697
1
0,01
4,15
6 1
41,9
19
927
,467
1
0,56
2 4
36,8
40
4,5
26
64,
793,
766
829
,166
1
62,7
41
39,
484
7,7
50
Jan-
09 1
7,69
5,54
2 2
34,1
41
22,
814,
332
215
,830
1
0,57
3,68
6 1
58,7
02
10,
641,
985
150
,570
1
,214
,695
1
2,87
2 5
62,4
25
6,0
04
63,
502,
665
778
,118
1
52,7
22
38,
906
7,6
36
Feb-
09 1
5,75
0,76
7 2
05,6
79
17,
156,
838
185
,121
9
,986
,938
1
47,3
29
11,
488,
263
158
,270
8
93,0
75
10,
387
468
,695
5
,585
5
5,74
4,57
6 7
12,3
70
139
,818
3
7,49
3 7
,359
Mar
-09
20,
497,
152
276
,677
1
0,18
4,02
8 2
89,3
62
15,
617,
055
228
,218
1
5,83
1,03
0 2
15,8
81
621
,556
1
9,33
2 3
44,9
86
10,
461
63,
095,
807
1,0
39,9
31
204
,108
5
1,99
7 1
0,20
5
2008
-09
210,
428,
103
3,5
70,1
11
221,
577,
980
3,47
9,64
2 11
0,43
1,97
4 2,
002,
544
101
,656
,470
1,
728,
957
9,76
2,96
8 1
71,8
43
3,53
3,00
2 5
7,38
4 6
57,3
90,4
97
11,0
10,4
82
2,1
61,0
37
45,3
11
8,8
93
Con
td...
148
Table 6-5 : Sectorwise Trading Value of Top 5 companies in the F&O Segment (2008-09)
BANKS FMCG
Company Name Turnover (Rs.cr)
Company Name Turnover (Rs.cr)
State Bank of India Ltd. 154,695.13 Hindustan Unilever Ltd. 26,806.87
ICICI Bank Ltd. 130,624.28 ITC LTD. 26,498.97
HDFC Bank 49,174.31 United Spirits Ltd. 9,724.07
AXIS Bank 38,587.19 Tata Tea Ltd. 1,704.15
Bank of India Ltd. 28,388.71 Dabur India Ltd. 897.59
INFRASTRUCTURE MEDIA & ENTERTAINMENT
Company Name Turnover (Rs.cr)
Company Name Turnover (Rs.cr)
DLF Ltd. 104,071.21 Adlabs Films Ltd. 11,240.05
NTPC Ltd. 94,375.84 Zee Entertainment Enterprises Ltd. 5,416.68
Reliance Infrastrucuture Ltd. 61,957.74 Wire and Wireless (India) Ltd. 1,826.93
Housing Development and Infrastrucuture Limited
48,544.36 New Delhi Television Ltd. 1,718.84
UNITECH Ltd. 44,534.44 Dish TV India Ltd. 1,110.56
PHARMACEUTICALS TELECOMMUNICATION
Company Name Turnover (Rs.cr)
Company Name Turnover (Rs.cr)
Ranbaxy Laboratories Ltd. 58,826.24 Reliance Communications Ltd. 87,444.98
Orchid Chemicals & Pharmaceuticals Ltd.
12,836.9 Bharti Airtel Ltd. 75,999.36
Sun Pharmaceuticals Industries Ltd. 9,488.12 Idea Cellular Limited 22,680.14
CIPLA Ltd. 7,741.93 Tata Teleservices (Maharashtra) Ltd.
11,468.56
Sterling Biotech Limited 6,576.48 Tata Communications Limited 7,313.08
Contd...
149
FINANCE INFORMATION TECHNOLOGY
Company Name Turnover (Rs.cr)
Company Name Turnover (Rs.cr)
Reliance Capital Ltd. 123,087.76 Infosys Technologies Ltd. 106,209.29
Housing Development Finance Corporation Ltd.
41,593.76 Satyam Computer Services Ltd. 44,243.64
IFCI Ltd. 31,215.33 Educomp Solutions Ltd. 34,024.03
Infrastructure Development Finance Company Ltd.
22,356.03 Tata Consultancy Services Ltd. 28,587.54
LIC Housing Finance Ltd. 5,832.87 WIPRO Ltd. 18,832.94
PETROCHEMICALS MANUFACTURING
Company Name Turnover (Rs.cr)
Company Name Turnover (Rs.cr)
Reliance Industries Ltd. 368,248.83 Tata Steel Ltd. 104,187.28
Reliance Petroleum Ltd. 145,866.62 Reliance Natural Resources Ltd. 70,316.3
Oil & Natural Gas Corpn. Ltd. 62,888.53 Bharat Heavy Electricals Ltd. 65,734.51
Cairn India Ltd. 50,964.19 Shree Renuka Sugars Ltd. 65,076.77
Essar Oil Ltd. 36,248.97 Steel Authority of India Ltd. 58,808.27
SERVICES ENGINEERING
Company Name Turnover (Rs.cr)
Company Name Turnover (Rs.cr)
The Great Eastern Shipping Co. Ltd.
2,554.72 Larsen & Toubro Ltd. 87,232.74
Indian Hotels Co. Ltd. 1,965.07 Praj Industries Ltd. 10,994.26
Jet Airways (India) Ltd. 1,960.11 BEML Ltd. 356.24
Shipping Corporation of India Ltd. 1,764.49 Reliance Industrial Infrastructure Ltd.
239.88
Hotel Leela Venture Ltd. 1,542.52 Walchandnagar Industries Ltd. 239.6
Contd...
150
Tab
le 6
-6 :
Part
icip
ant w
ise
Tra
ding
Val
ue in
the
F&O
Seg
men
t (20
08-0
9)
Mon
th/Y
ear
Inst
itut
iona
l inv
esto
rsR
etai
lP
ropr
ieta
ryG
ross
Tra
ded
Val
ue%
to
Gro
ssT
urno
ver
Gro
ss T
rade
d V
alue
% t
o G
ross
Tur
nove
rG
ross
Tra
ded
Val
ue
% t
o G
ross
Tur
nove
rR
s. c
rore
US
$ m
nR
s. c
rore
US
$ m
nR
s. c
rore
US
$ m
n
Apr
-07
155
,557
3
8,91
8 1
2.62
7
48,6
14
187
,294
6
0.74
3
28,4
02
82,
162
26.6
4M
ay-0
7 1
47,9
21
37,
008
10.
22
919
,717
2
30,1
02
63.
57
379
,247
9
4,88
3 26
.21
Jun-
07 1
93,9
73
48,
530
12.
03
1,0
05,4
14
251
,542
6
2.33
4
13,6
97
103
,502
25
.64
Jul-0
7 2
53,2
75
63,
366
12.
48
1,2
58,1
73
314
,779
6
1.97
5
18,7
05
129
,774
25
.55
Aug
-07
303
,332
7
5,89
0 1
4.35
1
,263
,505
3
16,1
13
59.
79
546
,625
1
36,7
59
25.8
6Se
p-07
258
,570
6
4,69
1 1
2.05
1
,350
,709
3
37,9
31
62.
95
536
,498
1
34,2
25
25.0
0O
ct-0
7 3
90,7
44
97,
759
10.
66
2,3
49,7
07
587
,868
6
4.07
9
26,8
75
231
,893
25
.27
Nov
-07
258
,570
6
4,69
1 8
.52
2,0
39,4
21
510
,238
6
7.21
7
36,6
18
184
,293
24
.27
Dec
-07
310
,552
7
7,69
6 1
2.19
1
,659
,533
4
15,1
95
65.
11
578
,375
1
44,7
02
22.7
0Ja
n-08
399
,283
9
9,89
6 1
3.73
1
,817
,156
4
54,6
30
62.
49
691
,323
1
72,9
60
23.7
8Fe
b-08
311
,195
7
7,85
7 1
7.30
1
,063
,876
2
66,1
69
59.
16
423
,363
1
05,9
20
23.5
4M
ar-0
8 2
73,0
62
68,
317
16.
63
1,0
09,8
99
252
,664
6
1.48
3
59,4
68
89,
934
21.8
920
07-0
8 3
,256
,034
8
14,6
19
12.
44
16,
485,
724
4,1
24,5
24
62.
97
6,4
39,1
96
1,6
11,0
07
24.5
9A
pr-0
8 2
66,0
39
52,
216
17.
36
852
,917
1
67,4
03
55.
64
413
,906
8
1,23
8 27
.00
May
-08
274
,787
5
3,93
3 1
7.22
8
76,1
67
171
,966
5
4.90
4
44,8
63
87,
314
27.8
8Ju
n-08
331
,733
6
5,11
0 1
5.30
1
,158
,405
2
27,3
61
53.
43
677
,991
1
33,0
70
31.2
7Ju
l-08
319
,854
6
2,77
8 1
3.78
1
,265
,173
2
48,3
17
54.
53
735
,320
1
44,3
22
31.6
9A
ug-0
8 2
50,9
35
49,
251
13.
10
1,0
79,9
34
211
,960
5
6.40
5
84,0
21
114
,626
30
.50
Sep-
08 2
90,7
13
57,
058
12.
13
1,3
61,9
14
267
,304
5
6.85
7
43,1
18
145
,852
31
.02
Oct
-08
233
,594
4
5,84
8 1
2.40
1
,034
,923
2
03,1
25
54.
95
614
,776
1
20,6
63
32.6
4N
ov-0
8 1
66,7
00
32,
718
11.
18
835
,439
1
63,9
72
56.
04
488
,574
9
5,89
3 32
.77
Dec
-08
178
,521
3
5,03
8 1
0.77
9
34,3
67
183
,389
5
6.34
5
45,4
44
107
,055
32
.89
Jan-
09 1
84,7
01
36,
251
11.
87
869
,059
1
70,5
71
55.
84
502
,477
9
8,62
2 32
.29
Feb-
09 1
83,6
07
36,
037
12.
89
807
,243
1
58,4
38
56.
66
433
,891
8
5,16
0 30
.45
Mar
-09
263
,270
5
1,67
2 1
2.66
1
,174
,488
2
30,5
18
56.
47
642
,103
1
26,0
26
30.8
720
08-0
9 2
,944
,454
5
77,9
11
13.
37
12,
250,
029
2,4
04,3
24
55.
63
6,8
26,4
84
1,3
39,8
40
31.0
0
151
Table 6-7a : Number of Members in different turnover brackets during 2008-09
Turnover
Month/Year
Upto Rs. 10 crores
Rs. 10 crores upto
Rs. 50 crores
Rs. 50 crores upto
Rs.250 crores
Rs. 250 crores upto
Rs.500 crores
Rs. 500 crores upto
Rs.1000 crores
Rs. 1000 crores and
more
Apr-07 50 100 192 116 101 220
May-07 38 93 181 116 107 253
Jun-07 37 81 188 103 131 254
Jul-07 36 64 172 106 125 296
Aug-07 35 58 185 108 130 286
Sep-07 27 68 167 113 123 308
Oct-07 18 45 140 97 114 400
Nov-07 20 60 144 106 104 385
Dec-07 25 71 158 100 111 356
Jan-08 25 63 154 104 116 359
Feb-08 51 93 197 117 95 270
Mar-08 55 103 189 105 111 258
2007-08 12 13 45 37 54 691
Apr-08 55 95 218 112 103 242
May-08 59 104 215 109 110 243
Jun-08 50 100 211 109 89 289
Jul-08 58 99 195 126 85 297
Aug-08 64 114 210 117 97 273
Sep-08 58 107 219 114 87 301
Oct-08 78 130 229 102 102 246
Nov-08 90 127 251 96 102 212
Dec-08 80 112 248 106 100 237
Jan-09 93 123 253 99 110 220
Feb-09 100 124 252 103 102 215
Mar-09 72 126 201 118 104 280
2008-09 21 28 81 65 91 661
152
Tab
le 6
-7b
: N
o. o
f mem
bers
in d
iffer
ent T
urno
ver
Brac
kets
in F
utur
es a
nd O
ptio
ns S
egm
ent f
or 2
008-
09
Mon
thF
utur
es S
egm
ent
Opt
ions
Seg
men
t
Num
ber
of M
embe
rsN
umbe
r of
Mem
bers
Upt
o R
s.
10 c
rore
sR
s. 1
0 cr
ores
upt
o R
s. 5
0 cr
ores
Rs.
50
cror
es u
pto
Rs.
250
cror
es
Rs.
250
cr
ores
upt
o R
s.50
0 cr
ores
Rs.
500
cr
ores
upt
o R
s.10
00
cror
es
Rs.
100
0 cr
ores
and
m
ore
Upt
o R
s.
10 c
rore
sR
s. 1
0 cr
ores
upt
o R
s. 5
0 cr
ores
Rs.
50
cror
es u
pto
Rs.
250
cror
es
Rs.
250
cr
ores
upt
o R
s.50
0 cr
ores
Rs.
500
cr
ores
upt
o R
s.10
00
cror
es
Rs.
100
0 cr
ores
and
m
ore
Apr
-07
5810
920
311
010
519
429
718
218
044
3343
May
-07
4310
318
811
610
523
329
418
918
742
3640
Jun-
0742
8919
811
011
723
829
818
518
754
2644
Jul-0
738
7617
611
311
927
729
118
218
755
3648
Aug
-07
3867
198
116
117
266
253
190
187
6640
66Se
p-07
3180
172
113
122
288
269
202
181
5839
57O
ct-0
719
5514
910
411
037
721
918
620
478
4582
Nov
-07
2273
145
107
114
358
255
210
186
6444
60D
ec-0
727
7217
010
411
433
430
219
617
260
3853
Jan-
0830
6417
095
116
346
289
198
188
5043
53Fe
b-08
5710
220
511
396
250
346
189
160
4040
48M
ar-0
863
111
211
9997
240
335
185
167
4739
4820
07-0
813
1450
4257
676
9896
176
9691
295
Apr
-08
6011
022
611
510
121
331
618
918
743
3555
May
-08
6611
123
010
611
521
232
518
919
438
3361
Jun-
0862
119
234
9798
238
271
179
180
6943
106
Jul-0
871
121
222
106
9724
326
216
319
664
6111
4A
ug-0
880
133
229
106
102
225
291
154
209
6357
101
Sep-
0878
121
245
118
9123
326
016
319
573
7012
5O
ct-0
810
315
025
199
9518
929
718
218
176
3811
3N
ov-0
811
415
225
510
582
170
314
190
175
6825
106
Dec
-08
9614
226
910
294
180
316
178
171
7347
98Ja
n-09
111
158
269
9787
176
32
418
017
768
4610
3Fe
b-09
120
156
273
9893
156
31
418
219
148
5510
6M
ar-0
999
142
241
108
104
207
27
017
919
667
4614
320
08-0
929
3695
7010
4 6
13
111
9916
210
390
382
153
Table 6-7c : Segment wise Contribution of Top ‘N’ Members to turnover on Futures and Options segment
(in percent)Month Futures Segment Options Segment
Top 5 Members
Top 10 Members
Top 15 Members
Top 25 Members
Top 5 Members
Top 10 Members
Top 15 Members
Top 25 Members
2005-06 12 20 26 36 23 36 45 55
2006-07 14 22 28 38 23 36 46 58
Apr-07 14 24 31 41 21 35 45 59
May-07 14 23 30 39 20 33 43 57
Jun-07 14 23 30 40 21 34 43 58
Jul-07 14 23 29 39 22 34 43 57
Aug-07 15 24 30 41 20 33 43 56
Sep-07 14 23 29 39 21 33 43 56
Oct-07 14 23 30 40 23 35 44 56
Nov-07 15 23 30 40 26 37 46 58
Dec-07 15 24 31 40 25 37 45 58
Jan-08 16 24 31 41 28 39 48 59
Feb-08 17 24 30 41 25 38 48 60
Mar-08 16 24 30 40 24 37 47 59
2007-08 14 23 29 39 23 34 43 56
Apr-08 17 26 33 43 22 37 48 61
May-08 16 25 32 42 21 35 45 59
Jun-08 17 26 33 43 18 32 42 55
Jul-08 18 26 33 43 17 30 40 54
Aug-08 17 26 32 42 18 31 42 56
Sep-08 16 25 31 41 20 33 42 56
Oct-08 16 23 30 41 21 34 44 56
Nov-08 17 25 31 42 22 34 43 56
Dec-08 17 25 32 42 23 35 44 57
Jan-09 16 24 31 41 21 32 41 55
Feb-09 16 24 31 42 21 32 41 55
Mar-09 15 23 30 41 23 34 42 55
2008-09 17 25 31 41 18 31 40 54
154
Table 6-8 : Top 20 Futures contracts according to number of contracts 2008-09
S. No.
Name of the Contract Number of Contracts
Turnover Percentage of contracts to
Top 20 contracts
(Rs.cr.) (US $ mn)
1 NIFTY JULY 2008 20,297,164 416,401.39 81,727.46 10.122 NIFTY OCTOBER 2008 19,769,423 336,376.23 66,020.85 9.863 NIFTY NOVEMBER 2008 18,387,751 260,656.14 51,159.20 9.174 NIFTY JANUARY 2009 16,821,763 241,115.92 47,324.03 8.395 NIFTY MARCH 2009 15,203,849 208,752.62 40,972.06 7.586 NIFTY DECEMBER 2008 15,002,383 214,939.19 42,186.30 7.487 NIFTY JUNE 2008 14,941,873 338,642.06 66,465.57 7.458 NIFTY SEPTEMBER 2008 14,779,152 313,961.67 61,621.53 7.379 NIFTY FEBRUARY 2009 13,407,466 188,124.83 36,923.42 6.69
10 NIFTY AUGUST 2008 12,456,987 275,209.78 54,015.66 6.2111 NIFTY MAY 2008 10,859,698 274,042.71 53,786.60 5.4212 NIFTY APRIL 2008 8,343,235 201,452.81 39,539.32 4.1613 NIFTY APRIL 2009 4,497,650 67,051.76 13,160.31 2.2414 RELIANCE JULY 2008 2,491,130 39,301.30 7,713.70 1.2415 RELIANCE JANUARY 2009 2,487,318 22,633.26 4,442.25 1.2416 RELIANCE OCTOBER 2008 2,345,192 27,622.72 5,421.53 1.1717 RELIANCE NOVEMBER 2008 2,307,119 20,751.84 4,072.98 1.1518 RELIANCE DECEMBER 2008 2,157,962 19,863.41 3,898.61 1.0819 RELIANCE JUNE 2008 2,007,933 34,002.70 6,673.74 1.0020 RELIANCE FEBRUARY 2009 1,937,277 18,908.86 3,711.26 0.97
TOTAL 200,502,325 3,519,811.20 690,836.35 100.00
Table 6-9 : Top 20 Option contracts according to no. of contracts traded 2008-09
S.No.
Name of the Contract Number of Contracts
Turnover Percentage of contracts to Top 20 contracts
(Rs.cr) (US $ mn)
1 NIFTY March 2009 CE 2800 3,224,838 46,028.25 6.622 NIFTY February 2009 PE 2700 3,056,883 42,109.77 6.283 NIFTY February 2009 PE 2800 3,039,443 43,809.91 6.244 NIFTY March 2009 CE 2700 2,742,878 38,082.10 5.635 NIFTY December 2008 CE 3000 2,722,357 41,735.03 5.596 NIFTY January 2009 PE 2700 2,652,939 36,698.92 5.457 NIFTY January 2009 PE 2800 2,590,551 37,455.22 5.328 NIFTY February 2009 CE 2800 2,583,973 37,171.88 5.309 NIFTY March 2009 PE 2600 2,566,821 34,225.26 5.27
10 NIFTY March 2009 CE 2900 2,505,805 36,878.73 5.1411 NIFTY March 2009 PE 2700 2,499,347 34,683.97 5.1312 NIFTY February 2009 CE 2900 2,411,719 35,799.32 4.9513 NIFTY March 2009 PE 2500 2,371,797 30,200.65 4.8714 NIFTY January 2009 CE 2800 2,337,225 33,470.20 4.8015 NIFTY November 2008 PE 2700 2,088,443 29,216.45 4.2916 NIFTY January 2009 CE 3000 2,009,187 30,995.26 4.1217 NIFTY March 2009 CE 3000 1,912,220 28,928.38 3.9318 NIFTY January 2009 CE 2900 1,859,902 27,610.15 3.8219 NIFTY July 2008 CE 4300 1,788,470 39,062.20 3.6720 NIFTY December 2008 CE 2900 1,748,845 26,223.13 3.59
TOTAL 48,713,643 710,384.78 100.00
155
Table 6-10 : Number of trades in the Futures & Options Segment 2008-09
Month/Year Index Futures Stock Futures Index Options Stock Options Total
Apr-07 2,038,185 8,170,413 769,882 517,312 11,495,792
May-07 2,098,729 10,413,251 707,752 630,424 13,850,156
Jun-07 2,251,004 11,127,763 716,888 578,186 14,673,841
Jul-07 1,871,019 14,313,227 616,592 818,098 17,618,936
Aug-07 3,069,790 12,159,749 1,053,308 760,914 17,043,761
Sep-07 2,125,228 13,888,158 716,206 806,026 17,535,618
Oct-07 3,554,883 18,816,027 1,349,886 983,678 24,704,474
Nov-07 2,572,671 14,446,566 919,748 709,814 18,648,799
Dec-07 1,905,167 13,298,252 720,893 568,343 16,492,655
Jan-08 3,004,614 16,404,002 812,499 635,442 20,856,557
Feb-08 3,149,318 10,189,345 904,751 399,656 14,643,070
Mar-08 3,256,450 9,961,015 1,082,078 359,972 14,659,515
2007-08 30,897,058 153,187,768 10,370,483 7,767,865 202,223,174
Apr-08 3,271,644 11,208,858 1,224,318 544,051 16,248,871
May-08 2,816,276 12,191,813 1,047,539 685,693 16,741,321
Jun-08 4,490,539 13,547,829 2,648,194 681,604 21,368,166
Jul-08 5,557,672 15,679,079 3,713,214 933,961 25,883,926
Aug-08 4,103,495 12,452,067 3,082,063 764,533 20,402,158
Sep-08 5,289,846 13,859,395 4,276,123 844,724 24,270,088
Oct-08 5,781,231 13,374,817 4,458,908 605,226 24,220,182
Nov-08 5,779,280 12,154,631 4,857,126 584,173 23,375,210
Dec-08 6,220,608 14,899,917 4,816,107 934,064 26,870,696
Jan-09 5,136,302 14,413,326 4,226,118 1,155,822 24,931,568
Feb-09 4,631,594 11,035,948 4,021,976 870,032 20,559,550
Mar-09 5,819,745 8,438,603 5,368,456 727,417 20,354,221
2008-09 58,898,232 153,256,283 43,740,142 9,331,300 265,225,957
156
Table 6-11 : Settlement Statistics in F&O Segment
Month/Year Index/Stock Futures Index/Stock Options Total
MTM Settle-ment
Final Settle-ment
Premium Settlement
Exercise Settlement
(Rs.cr) (Rs.cr) (Rs.cr) (Rs.cr) (Rs.cr) (US $ mn)
2000-01 84.08 1.93 -- -- 86.01 18.44
2001-02 505.25 21.93 164.76 93.95 785.88 161.04
2002-03 1,737.90 45.76 331.21 195.88 2,310.76 486.47
2003-04 10,821.98 138.95 858.94 476.12 12,295.98 2833.83
2004-05 13,024.18 227.50 941.06 455.87 14,648.62 3348.25
2005-06 25,585.51 597.89 1,520.58 817.84 28,521.80 6393.59
2006-07 61,313.70 797.54 3,194.38 1,188.84 66,494.47 15254.52
Apr-07 4,162.90 41.96 385.58 188.36 4,778.80 1,197.69
May-07 3,251.10 94.92 294.13 211.43 3,851.58 965.31
Jun-07 3,794.50 72.59 367.07 92.24 4,326.39 1,084.31
Jul-07 4,935.20 71.64 498.15 247.67 5,752.66 1,441.77
Aug-07 11,299.00 107.60 599.84 143.88 12,150.33 3,045.20
Sep-07 5,300.00 103.42 569.62 583.62 6,556.66 1,643.27
Oct-07 15,924.00 222.61 918.41 669.84 17,734.85 4,444.82
Nov-07 16,248.00 282.38 615.11 327.17 17,472.66 4,379.11
Dec-07 14,125.00 77.17 478.38 203.60 14,884.14 3,730.36
Jan-08 39,768.00 105.11 777.95 767.43 41,418.49 10,380.57
Feb-08 13,679.00 64.00 604.58 169.88 14,517.46 3,638.46
Mar-08 12,168.00 68.72 651.35 187.14 13,075.21 3,276.99
2007-08 144,654.70 1,312.12 6,760.17 3,792.26 156,519.23 39,227.88
Apr-08 5,391.50 66.71 785.96 164.02 6,408.19 1,257.74
May-08 5,601.50 203.64 603.59 190.78 6,599.51 1,295.29
Jun-08 9,182.80 137.30 1,126.00 341.86 10,787.96 2,117.36
Jul-08 11,070.00 59.52 1,015.90 208.83 12,354.25 2,424.78
Aug-08 4,844.80 129.30 742.07 145.52 5,861.69 1,150.48
Sep-08 7,120.40 225.92 921.39 178.64 8,446.35 1,657.77
Oct-08 9,409.20 54.34 1,384.10 1,418.90 12,266.54 2,407.56
Nov-08 5,782.10 45.97 785.52 160.42 6,774.01 1,329.54
Dec-08 4,300.70 151.65 770.55 581.94 5,804.84 1,139.32
Jan-09 4,476.70 58.28 936.39 154.79 5,626.16 1,104.25
Feb-09 3,247.10 65.42 800.53 134.22 4,247.27 833.62
Mar-09 4,766.80 300.24 1,088.50 507.66 6,663.20 1,307.79
2008-09 75,193.60 1,498.29 10,960.50 4,187.58 91,839.97 18,025.51
