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Futures & Options Segment 6

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6Futures & Options Segment

The Futures and Options segment of NSE witnessed huge increase in volumes during 2009-10 and continued to achieve a commendable place on the international front. In the year 2009 NSE ranked as the seventh largest derivatives exchange in the world1, the second largest exchange in single stock futures and stock index options and the third largest in the stock index futures category. The rankings are based in terms of number of contracts traded.2

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, Bank Nifty Nifty Midcap 50 Indices and 190 single stocks (Table 6-1) as of March 2010. 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 Equity 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, 2001CNX IT Futures & Options August 29, 2003Bank Nifty Futures & Options June 13, 2005Nifty 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, 2008

Since inception, NSE established itself as the sole market leader in this segment in the country and during 2009-10, 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.

At any point of time there are o nly three contract months available for trading, with 1 month,

1 FIA, March 20102 WFE

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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.

The long term option contracts are available for 3 serial month contracts, 3 quarterly months of the cycle March / June / September / December and 8 following semi-annual months of the cycle June / December. Thus, at any point in time there would be options contracts available up to 5 year tenure.

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 ` 5 lakh.

• The market wide position limit (MWPL) in the stock should not be less than ` 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 ` 60 crores and stock’s median quarter-sigma order size over the last six months shall be not less than ` 2 lakh. If the existing security fails to meet the eligibility criteria for three months consecutively, then no fresh month contract would be issued on that security. However, the existing unexpired contracts would be permitted to trade till expiry and new strikes would also be introduced in the existing contract 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 restructuring is as under. All the following conditions should be met in the case of shares of a company undergoing

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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 ` 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 increased by 60.43 % to ̀ 17,663,665 crore (US $ 3,913,085 million) during 2009-10 as compared with ` 11,010,482 crore (US $ 2,161,037 million) during 2008-09. The average daily turnover during 2009-10 was ` 72,392 crore (US $ 16,037 million). The business growth of F&O segment and the number of contracts traded during the year is presented in Table 6-5 and Chart 6-1.

Chart 6-1: Business Growth of F&O Segment

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The total number of contracts traded increased by 3 % to 68 crore contracts during 2009-10. Out of the total contracts traded, 50.26 % of the contracts were traded on Index options followed by index futures on which 26.25% of the contracts were traded. Number of contracts traded on Stock futures was 21.45% while 2.06% of the total contracts were traded on stock options. (Chart 6-2).

Chart 6-2 : Product wise Number of Contracts Traded during 2009-10

Product wise turnover on F&O Segment:

During 2009-10, the traded value of index futures saw a year-on-year increase of 10.20 % and amounted to ` 3,934,389 crore (US $ 871,597 million) in 2009-10 as against ` 3,570,111 crore (US $ 700,709 million) during 2008-09.

The traded value in stock futures increased by 49.30 % to ` 5,195,247 crore (US $ 1,150,919 million) during 2009-10 over the turnover of ` 3,479,642 crore (US $ 682,952 million) during 2008-09.

Index options recorded turnover of ` 8,027,964 crore (US $ 1,778,459 million) during 2009-10, an increase of 115.14 % over the turnover of ` 3,731,502 crore (US $ 732,385 million) during 2008-09.

Stock options recorded turnover of ` 506,065 crore (US $ 112,110 million) during 2009-10, a decrease of 120.77 % over the turnover of ` 229,227 crore (US $ 44,991 million) during 2008-09.

Index Options accounted for 45.45% of the total turnover during the 2009-10 fiscal followed by the trading in stock futures at 29.41 %. (Chart 6-3)

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Chart 6-3 Product wise trading volumes during 2009-10

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.

Benchmark Indices Contracts & Trading Volume in F&O Segment of NSE (2009-10)

Products

Underlying

No. of Contracts

Turnover

` cr. US $ mn

NIFTY S&P CNX Nifty 493,133,483 11,491,391 2,545,722

BANKNIFTY BANK Nifty 7,784,206 296,336 65,648

MINIFTY S&P CNX Nifty 18,699,392 170,675 37,810

JUNIOR* CNX Nifty Junior 23 2 0.33

CNXIT CNX IT 44,658 2,246 497

CNX100* CNX 100 99 3 1

Nifty Midcap 50 Nifty Midcap 50 24,551 1,699 376

Long term Option Contracts S&P CNX Nifty 657,205 16,632 3,684

DEFTY* S&P CNX Defty 0 0 0

TOTAL 520,343,617 11,978,985 2,653,740

* F&O contracts in Junior, CNX100 and Defty indices have been discountinued w.e.f. July 31,2009.

During 2009-10, the S&P CNX Nifty Index accounted for more than 95.93 % of the turnover in Index futures and options. The S&P CNX Nifty accounted for 94.77 % 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 Manufacturing Sector and Infrastructure Sector accounted for 31.81 % and 18.68% respectively of the total stock futures and options turnover on the Exchange .

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Sectorwise Classification of turnover of the Single Stock Futures during 2009-10

Classifi cation Total Turnover ( ` cr) Total Turnover ( US $ mn)

Manufacturing 1,183,445 401,738

Petrochemicals 675,955 149,746

Infrastructure 1,064,984 235,929

Banks 704,924 156,164

Information Technology 399,272 88,452

Finance 383,044 84,857

Telecommunication 225,280 49,907

Pharmaceuticals 118,527 26,258

ENGINEERING 115,135 25,506

FMCG 101,295 22,440

Media & Entertainment 36,461 8,077

Services 44,660 9,894

Miscellaneous 18,331 4,061

TOTAL 5,701,312 1,263,209

The stock futures and option turnover of top 5 companies in each sector for the period 2009-10 is presented in Table 6-6.

Participant wise turnover on F&O Segment:

During 2009-10, the retail investors accounted for 54.86 % 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` 19,378,966 crore (US $ 4,293,081 million) followed by the Proprietary segment with gross turnover of ` 11,175,447 crore (US $ 2,475,730 million) and the Institutional players with gross turnover of ` 4,772,915 crore (US $ 1,057,358 million). The share of proprietary participants and institutional participants in the gross turnover was 31.63 % and 13.51 % respectively.

The month wise details of the turnover for the participants in the F&O segment is presented in Table 6-7 and Chart 6-4 shows the participant wise F&O turnover during 2009-10.

Chart 6-4 Participant wise F&O Turnover during 2008-09

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Memberwise turnover on the Exchange:

During 2009-10, there were 780 members which accounted for turnover of ` 1,000 crore and more while 67 members registered turnover between ` 500 crore and ` 1,000 crore collectively in the futures and options category. In the month of March 2010, 366 trading members accounted for a turnover of ` 1,000 crore and more, which was the highest number of members during the fiscal year 2009-10.

The number of members in different turnover brackets in Futures and Options segment is presented 6-8a & 6-8 b.

High Volume Members

In the Futures segment, the share of top 5 and top ‘10’ members in turnover was 15% and 22% respectively , while in the options segment the share of top 5 and top 10 trading members in turnover was 25% and 32 % respectively. (Table 6-8 c).

Internet Trading

At the end of March 2010, a total number of 356 members were permitted to allow investor’s web based access to NSE’s trading system. The members of the exchange in turn had registered 3,529,947 clients for web based access as on March 31, 2010. In the Futures and Options Segment the trading volume of ̀ 2,694,513 crore (US $ 596,924 million) during the year 2009-10, constituting 15.25 % of total trading volume was routed and executed through the internet. The following table shows the growth of internet trading during the during 2006-07 to 2009-10.

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

( ` cr) (US $ mn)

2006-07 242 1,616,218 1,214,961 278,725 16.52

2007-08 305 3,432,771 2,417,165 604,745 18.47

2008-09 337 4,426,577 1,686,208 330,953 15.31

2009-10 356 3,529,947 2,694,513 596,924 15.25

* At the end of financial year.

Traded Value Records

Trading volumes in the F&O Segment during 2009-10 reached a high of ` 166,193 crore (US $ 36,817 million) on January 28, 2010. The following table gives the record turnover of different products in the F&O Segment.

Records Achieved in the F&O Segment : 2009-10

Product Traded Value ( ` cr.)

Traded Value (US $ mn.)

Date

Index Futures 36,745 8,140 27-Jan-10

Stock Futures 43,370 9,608 28-Jan-10

Index Options 84,101 18,631 28-Jan-10

Stock Options 3,436 761 15-Jun-09

Total F&O Traded Value 166,193 36,817 28-Jan-10

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Top 20 Futures and Option contracts

During 2009-10, 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 50.54% of the total no. of contracts traded in the Futures segment while top 20 Option contracts accounted for 21.91% of the total option contracts traded during 2009-10.

Among the top 20 future contracts, Nifty July 2009 futures accounted for 10.19% of the total top 20 contracts while Nifty May 2009 futures and Nifty August 2009 contributed 8.62% and 8.57% respectively.

Top 3 option contracts on the basis of number of contracts traded during 2009-10 were Nifty Feb 2010 CE 4900, Nifty Dec 2009 CE 5200 and Nifty Feb 2010 PE 4800. Together these three option contracts formed 19.86 % of the total number of contracts traded of top 20 option contracts.

Number of Trades

During 2009-10, maximum number of trades in the F&O Segment were witnessed in Stock Futures (45.14%), Index futures (21.63%), Index Options (28.91%) and Stock Options (4.32%) as mentioned in the table below.

Number of Trades in F&O Segment (2009-10)

Products Number of Trades (%)

Stock Futures 45.14

Index Futures 21.63

Index Options 28.91

Stock Options 4.32

TOTAL 100.00

The details of month wise trades on Index futures & options and stock futures & options is presented in Table 6-11.

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.

Transaction Charges

The transaction charges payable to the exchange by the trading member for the trades executed by him on the F&O segment were fixed at the rate of ` 2 per lakh of turnover (0.002%) subject to a minimum of ` 1,00,000 per year.

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In continuation of the above the Exchange has reduced the transaction charges for trades done in the Futures segment from its present level to a slab based structure as given below w.e.f 1st October 2009.

Total Traded Value in a month Revised Transaction Charges ( ` per lakh of Traded Value)

Up to First ` 2500 cores ` 1.90 each side

More than ` 2500 crores up to ` 7500 crores (on incremental volume)

` 1.85 each side

More than ` 7500 crores up to ` 15000 crores (on incremental volume)

` 1.80 each side

Exceeding ` 15000 crores (on incremental volume)

` 1.75 each side

The transactions in the options sub-segment the transaction charges are levied on the premium value at the rate of 0.05% (each side) instead of on the strike price as levied earlier.

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 Price at which such “Futures” is traded

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 ̀ 100 crore of the traded value (each side) in case of Futures segment and ` 1/- per ̀ 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.

Clearing Mechanism

The clearing mechanism essentially involves working out open positions and obligations of clearing (self-clearing/trading-cum-clearing/professional clearing) members. This position is considered for exposure and daily margin purposes. The open positions of CMs are arrived at by aggregating the open positions of all the TMs and all custodial participants clearing through him, in contracts in which they have traded. A TM’s open position is arrived at as the summation of his proprietary

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open position and clients’ open positions, in the contracts in which he has traded. While entering orders on the trading system, TMs are required to identify the orders. These orders can be proprietary (if they are their own trades) or client (if entered on behalf of clients) through ‘Pro/ Cli’ indicator provided in the order entry screen. Proprietary positions are calculated on net basis (buy - sell) for each contract. Clients’ positions are arrived at by summing together net (buy - sell) 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 settlement amount for a CM is netted across all their TMs/clients, with respect to their obligations on MTM, premium and exercise settlement. 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 T+1 day basis and the final settlement which happens on the next day of the expiry day

• 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.

• 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, premium settlement, interim exercise settlement in the case of option contracts on securities and final exercise settlement.

• Daily premium settlement

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

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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.

• Interim exercise settlement

Interim exercise settlement takes place only for option contracts on 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 exercise settlement value per unit of the option from the CM who has been assigned the option contract

• Final exercise settlement

Final exercise settlement is effected for all open long in-the-money strike price options existing at the close of trading hours, on the expiration day of an option contract. All such long positions are exercised and automatically assigned to short positions in option contracts with the same series, on a random basis. The investor who has long in-the-money options on the expiry date will receive the exercise settlement value per unit of the option from the investor who is short on the option

• Settlement Prices for Options

Interim exercise settlement price for option contracts on individual securities

Interim Exercise settlement price for an option contract is the closing price of the relevant underlying security in the Normal Market of the Capital market segment. 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 on the interim exercise day

Final Exercise settlement price for an option contract

Final Exercise settlement price for an option contract shall be the closing price of the relevant underlying security/index in the Normal Market of the Capital market segment on the expiry day. 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 on expiry day

Settlement Statistics

All derivative contracts are currently cash settled. The participants discharge their obligations through payment/receipt of cash. During 2009-109, such cash settlement amounted to ` 76,942.78 crore (US $ 17,045.37 million). The settlement of futures and options involved ` 62,050.97 crore (US $ 13,746.34 million) and ` 14,891.81 (US $ 3,299.03 million) respectively. The details of settlement in the futures and options segment is presented in Table 6-12.

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 deposits) are quite stringent. These requirements have already been explained in Table 2-1 in Chapter 2 of this publication.

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• 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(R)3∗ (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.

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.

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.

3 SPAN ® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under license.

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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.

• 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.

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• 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.

Trading Member wise Position Limits

Index Futures Contract:

The trading member position limits in equity index futures contracts is higher of ` 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 ` 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 ` 500 crores or more, the combined futures and options position limit is 20% of applicable MWPL or ` 300 crores, whichever is lower and within which stock futures position cannot exceed 10% of applicable MWPL or ` 150 crores, whichever is lower.

ii. For stocks having applicable market-wise position limit (MWPL) less than ` 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 ̀ 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.

121

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 ` 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 ` 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 deriv atives 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 ` 500 crores or more, the combined futures and options position limit is 20% of applicable MWPL or ` 300 crores, whichever is lower and within which stock futures position cannot exceed 10 % of applicable MWPL or ` 150 crores, whichever is lower.

For stocks having applicable market-wise position limit (MWPL) less than ̀ 500 crores, the combined futures and options position limit is 20% of applicable MWPL and futures position cannot exceed 20 % of applicable MWPL or ` 50 crore which ever is lower

122

Contd...

Table 6-1 : List of Securities on which Futures & Options available at NSE (as on 31 March 2010)

Sr.No Security Symbol Launch Date Market Lot

1 ABAN OFFSHORE LTD. ABAN 29-Dec-06 400

2 ABB LTD. ABB 20-Apr-05 500

3 ADITYA BIRLA NUVO LIMITED ABIRLANUVO 14-May-07 400

4 ACC LIMITED ACC 02-Jul-01 376

5 ADANI ENTERPRISES LIMITED ADANIENT 19-Feb-10 400

6 ALLAHABAD BANK ALBK 20-Apr-05 2450

7 AMBUJA CEMENTS LTD AMBUJACEM 02-Jul-01 4124

8 ANDHRA BANK ANDHRABANK 29-Aug-03 2300

9 ALSTOM PROJECTS INDIA LTD APIL 14-May-07 600

10 APOLLO TYRES LTD APOLLOTYRE 19-Feb-10 3400

11 AREVA T&D INDIA LIMITED AREVAT&D 19-Feb-10 750

12 ASHOK LEYLAND LTD ASHOKLEY 20-Apr-05 9550

13 ASIAN PAINTS LIMITED ASIANPAINT 21-Aug-08 200

14 AUROBINDO PHARMA LTD AUROPHARMA 12-May-05 700

15 AXIS BANK LIMITED AXISBANK 20-Apr-05 450

16 BAJAJ AUTO LIMITED BAJAJ-AUTO 26-May-08 200

17 BAJAJ HINDUSTAN LTD BAJAJHIND 29-Dec-06 1425

18 BALRAMPUR CHINI MILLS LTD BALRAMCHIN 29-Dec-06 2400

19 BANK OF BARODA BANKBARODA 29-Aug-03 700

20 BANK OF INDIA BANKINDIA 29-Aug-03 950

21 BHARAT ELECTRONICS LTD BEL 31-Jan-03 276

22 BEML LIMITED BEML 29-Dec-06 375

23 BGR ENERGY SYSTEMS LTD BGRENERGY 19-Feb-10 400

24 BHARAT FORGE LTD BHARATFORG 20-Apr-05 2000

25 BHARTI AIRTEL LIMITED BHARTIARTL 20-Apr-05 500

26 BHEL BHEL 02-Jul-01 150

27 BHUSHAN STEEL LIMITED BHUSANSTL 06-Sep-07 500

28 BIOCON LIMITED. BIOCON 06-Sep-07 1800

29 BOSCH LIMITED BOSCHLTD 30-Nov-07 100

30 BHARAT PETROLEUM CORP LT BPCL 02-Jul-01 550

31 BOMBAY RAYON FASHIONS LTD BRFL 14-May-07 1150

32 CAIRN INDIA LIMITED CAIRN 09-Jan-07 1250

33 CANARA BANK CANBK 29-Aug-03 800

34 CENTURY TEXTILES LTD CENTURYTEX 20-Apr-05 848

35 CESC LTD CESC 12-May-05 1100

36 CHAMBAL FERTILIZERS LTD CHAMBLFERT 12-May-05 3450

37 CHENNAI PETROLEUM CORP LT CHENNPETRO 20-Apr-05 1800

38 CIPLA LTD CIPLA 02-Jul-01 1250

39 COLGATE PALMOLIVE LTD. COLPAL 17-Dec-07 550

40 CONTAINER CORP OF IND LTD CONCOR 21-Aug-08 250

41 CROMPTON GREAVES LTD CROMPGREAV 29-Dec-06 1750

42 CUMMINS INDIA LTD CUMMINSIND 20-Apr-05 950

43 DABUR INDIA LTD DABUR 20-Apr-05 2700

44 DECCAN CHRONICLE HOLD LTD DCHL 21-Aug-08 3400

45 DENA BANK DENABANK 14-May-07 5250

46 DISH TV INDIA LTD. DISHTV 21-Aug-08 5150

47 DIVI’S LABORATORIES LTD DIVISLAB 12-May-05 620

123

Contd...

Contd...


48 DLF LIMITED DLF 05-Jul-07 800

49 DR. REDDY’S LABORATORIES DRREDDY 02-Jul-01 400

50 EDUCOMP SOLUTIONS LTD EDUCOMP 14-May-07 375

51 EVEREST KANTO CYLINDERLTD EKC 14-May-07 2000

52 ESSAR OIL LTD ESSAROIL 12-May-05 1412

53 FEDERAL BANK LTD FEDERALBNK 12-May-05 851

54 FINANCIAL TECHNO (I) LTD FINANTECH 14-May-07 150

55 FORTIS HEALTHCARE LTD FORTIS 19-Feb-10 1300

56 FIRSTSOURCE SOLU. LTD. FSL 21-Aug-08 9500

57 GAIL (INDIA) LTD GAIL 26-Sep-03 1125

58 THE GE SHPG.LTD GESHIP 27-Nov-06 1200

59 GLAXOSMITHKLINE PHARMA LT GLAXO 20-Apr-05 300

60 GMR INFRASTRUCTURE LTD. GMRINFRA 21-Aug-06 2500

61 GODREJ INDUSTRIES LTD GODREJIND 19-Feb-10 1300

62 GRASIM INDUSTRIES LTD GRASIM 02-Jul-01 176

63 GUJARAT STATE PETRO LTD GSPL 21-Aug-08 6100

64 GTL LTD GTL 29-Dec-06 750

65 GTL INFRA.LTD GTLINFRA 21-Aug-08 4850

66 GREAT OFFSHORE LTD GTOFFSHORE 30-Nov-07 1000

67 GVK POW. & INFRA LTD. GVKPIL 21-Aug-08 4750

68 HINDUSTAN CONSTRUCTION CO HCC 29-Dec-06 2100

69 HCL TECHNOLOGIES LTD HCLTECH 31-Jan-03 1300

70 HDFC LTD HDFC 02-Jul-01 150

71 HDFC BANK LTD HDFCBANK 29-Aug-03 200

72 HOUSING DEV & INFRA LTD HDIL 24-Jul-07 774

73 HERO HONDA MOTORS LTD HEROHONDA 31-Jan-03 200

74 HINDALCO INDUSTRIES LTD HINDALCO 02-Jul-01 3518

75 HINDUSTAN PETROLEUM CORP HINDPETRO 02-Jul-01 650

76 HINDUSTAN UNILEVER LTD. HINDUNILVR 02-Jul-01 1000

77 HINDUSTAN ZINC LIMITED HINDZINC 30-Nov-07 500

78 HOTEL LEELA VENTURES LTD HOTELEELA 14-May-07 7500

79 INDIABULLS REAL EST. LTD IBREALEST 21-Aug-08 1300

80 ICICI BANK LTD. ICICIBANK 31-Jan-03 350

81 ICSA (INDIA) LIMITED ICSA 21-Aug-08 1200

82 IDBI BANK LIMITED IDBI 20-Apr-05 2400

83 IDEA CELLULAR LIMITED IDEA 09-Mar-07 2700

84 INFRA. DEV. FIN. CO. LTD IDFC 12-Aug-05 2950

85 IFCI LTD IFCI 27-May-05 7880

86 THE INDIAN HOTELS CO. LTD INDHOTEL 20-Apr-05 3798

87 THE INDIA CEMENTS LIMITED INDIACEM 27-May-05 1450

88 INDIA INFOLINE LIMITED INDIAINFO 14-May-07 2500

89 INDIAN BANK INDIANB 01-Mar-07 2200

90 INFOSYS TECHNOLOGIES LTD INFOSYSTCH 02-Jul-01 200

91 INDIAN OVERSEAS BANK IOB 20-Apr-05 2950

92 INDIAN OIL CORP LTD IOC 26-Sep-03 1200

93 ISPAT INDUSTRIES LIMITED ISPATIND 30-Nov-07 12450

94 ITC LTD ITC 02-Jul-01 1125

95 IVRCL INFRAST & PROJ LTD. IVRCLINFRA 27-May-05 2000

124

Contd...

Contd...


96 JINDAL SAW LIMITED JINDALSAW 30-Nov-07 5000

97 JINDAL STEEL & POWER LTD JINDALSTEL 20-Apr-05 960

98 JAIN IRRIGATION SYSTEMS JISLJALEQS 19-Feb-10 250

99 JAIPRAKASH ASSOCIATES LTD JPASSOCIAT 29-Dec-06 1688

100 JAIPRAKASH POWER VEN. LTD JPPOWER 18-Apr-05 3125

101 JSW STEEL LIMITED JSWSTEEL 29-Dec-06 412

102 KINGFISHER AIRLINES LTD KFA 14-May-07 4250

103 KOTAK MAHINDRA BANK LTD KOTAKBANK 29-Dec-06 550

104 K S OILS LIMITED KSOILS 21-Aug-08 5900

105 LIC HOUSING FINANCE LTD LICHSGFIN 20-Apr-05 425

106 LANCO INFRATECH LTD. LITL 27-Nov-06 6380

107 LARSEN & TOUBRO LTD. LT 15-Sep-06 200

108 LUPIN LIMITED LUPIN 29-Dec-06 350

109 MAHINDRA & MAHINDRA LTD M&M 02-Jul-01 624

110 MARUTI SUZUKI INDIA LTD. MARUTI 09-Jul-03 200

111 UNITED SPIRITS LIMITED MCDOWELL-N 29-Dec-06 250

112 MCLEOD RUSSEL INDIA LTD. MCLEODRUSS 19-Feb-10 900

113 MERCATOR LINES LIMITED MLL 21-Aug-08 4900

114 MOSER-BAER (I) LTD MOSERBAER 14-May-07 2475

115 MPHASIS LIMITED MPHASIS 12-May-05 800

116 MRPL MRPL 20-Apr-05 4450

117 MAHANAGAR TELEPHONE NIGAM MTNL 02-Jul-01 3200

118 MUNDRA PORT & SEZ LTD MUNDRAPORT 19-Feb-10 300

119 NAGARJUNA CONSTRN. CO. LT NAGARCONST 29-Dec-06 2000

120 NAGARJUNA FERT & CHEM LTD NAGARFERT 27-May-05 5250

121 NATIONAL ALUMINIUM CO LTD NATIONALUM 31-Jan-03 575

122 NEYVELI LIGNITE CORPORATI NEYVELILIG 20-Apr-05 1475

123 NOIDA TOLL BRIDGE CO LTD NOIDATOLL 21-Aug-08 8200

124 NTPC LTD NTPC 05-Nov-04 1625

125 ORACLE FIN SERV SOFT LTD. OFSS 30-May-03 300

126 OIL AND NATURAL GAS CORP. ONGC 31-Jan-03 225

127 ONMOBILE GLOBAL LTD. ONMOBILE 19-Feb-10 550

128 OPTO CIRCUITS (I) LTD. OPTOCIRCUI 21-Aug-08 2040

129 ORCHID CHEM & PHARMA LTD ORCHIDCHEM 12-May-05 2100

130 ORIENTAL BANK OF COMMERCE ORIENTBANK 29-Aug-03 1200

131 PANTALOON RETAIL (I) LTD PANTALOONR 14-May-07 850

132 PATEL ENGINEERING LTD. PATELENG 14-May-07 1000

133 PATNI COMPUTER SYST LTD PATNI 20-Apr-05 1300

134 PETRONET LNG LIMITED PETRONET 14-May-07 4400

135 POWER FIN CORP LTD. PFC 23-Feb-07 1200

136 PIRAMAL HEALTHCARE LTD PIRHEALTH 15-Feb-08 1500

137 PUNJAB NATIONAL BANK PNB 29-Aug-03 300

138 POLARIS SOFTWARE LAB LTD POLARIS 31-Jan-03 2800

139 POWER GRID CORP. LTD. POWERGRID 05-Oct-07 1925

140 PRAJ INDUSTRIES LTD PRAJIND 29-Dec-06 2200

141 PTC INDIA LIMITED PTC 21-Aug-08 2350

142 PUNJ LLOYD LIMITED PUNJLLOYD 06-Jan-06 1500

143 RANBAXY LABS LTD RANBAXY 02-Jul-01 800

125

Contd...


144 RELIANCE COMMUNICATIONS L RCOM 15-Sep-06 700

145 RURAL ELEC CORP. LTD. RECLTD 12-Mar-08 1950

146 RELIANCE CAPITAL LTD RELCAPITAL 20-Apr-05 276

147 RELIANCE INDUSTRIES LTD RELIANCE 02-Jul-01 300

148 RELIANCE INFRASTRUCTU LTD RELINFRA 02-Jul-01 276

149 RELIANCE MEDIAWORKS LTD RELMEDIA 31-Jul-09 600

150 SHREE RENUKA SUGARS LTD RENUKA 29-Dec-06 5000

151 REL. NAT. RESOURCES LTD. RNRL 14-May-07 3576

152 ROLTA INDIA LTD ROLTA 14-May-07 1800

153 RELIANCE POWER LTD. RPOWER 11-Feb-08 2000

154 STEEL AUTHORITY OF INDIA SAIL 15-Sep-06 1350

155 STATE BANK OF INDIA SBIN 02-Jul-01 132

156 SHIPPING CORP OF INDIA LT SCI 31-Jan-03 2400

157 SESA GOA LTD SESAGOA 29-Dec-06 1500

158 SIEMENS LTD SIEMENS 20-Apr-05 752

159 SINTEX INDUSTRIES LTD SINTEX 21-Aug-08 1400

160 STERLITE INDS (IND) LTD STER 20-Apr-05 438

161 STERLING BIOTECH LTD STERLINBIO 14-May-07 2500

162 SUN PHARMACEUTICALS IND. SUNPHARMA 20-Apr-05 225

163 SUN TV NETWORK LIMITED SUNTV 24-Apr-06 1000

164 SUZLON ENERGY LIMITED SUZLON 19-Oct-05 3000

165 SYNDICATE BANK SYNDIBANK 26-Sep-03 3800

166 TATA CHEMICALS LTD TATACHEM 20-Apr-05 1350

167 TATA COMMUNICATIONS LTD TATACOMM 20-Apr-05 525

168 TATA MOTORS LIMITED TATAMOTORS 02-Jul-01 850

169 TATA POWER CO LTD TATAPOWER 02-Jul-01 200

170 TATA STEEL LIMITED TATASTEEL 02-Jul-01 764

171 TATA TEA LTD TATATEA 02-Jul-01 550

172 TATA CONSULTANCY SERV LT TCS 25-Aug-04 1000

173 TECH MAHINDRA LIMITED TECHM 06-Sep-07 600

174 TITAN INDUSTRIES LTD TITAN 12-May-05 206

175 TRIVENI ENGG. & INDS. LTD TRIVENI 29-Dec-06 3850

176 TATA TELESERV(MAHARASTRA) TTML 29-Dec-06 10450

177 TULIP TELECOM LIMITED TULIP 06-Sep-07 500

178 TV18 INDIA LIMITED TV-18 21-Aug-08 1825

179 UCO BANK UCOBANK 21-Aug-08 5000

180 ULTRATECH CEMENT LIMITED ULTRACEMCO 29-Dec-06 400

181 UNION BANK OF INDIA UNIONBANK 29-Aug-03 1050

182 UNITED PHOSPHORUS LIMITED UNIPHOS 14-May-07 1400

183 UNITECH LTD UNITECH 14-May-07 4500

184 VIDEOCON INDUSTRIES LIMIT VIDEOIND 19-Feb-10 854

185 VIJAYA BANK VIJAYABANK 20-Apr-05 6900

186 VOLTAS LTD VOLTAS 29-Dec-06 2700

187 WELSPUN GUJ ST. RO. LTD. WELGUJ 06-Sep-07 1600

188 WIPRO LTD WIPRO 31-Jan-03 600

189 YES BANK LIMITED YESBANK 06-Sep-07 2200

190 ZEE ENTERTAINMENT ENT LTD ZEEL 12-Feb-07 1400

126

Tabl

e 6-

2 :

Cont

ract

Spe

cifi

cati

on f

or In

dex

Futu

res

and

Opt

ions

Part

icul

ars

Inde

x Fu

ture

sIn

dex

Opt

ions

M

ini I

ndex

Fut

ures

Min

i Ind

ex O

ptio

nsLo

ng T

erm

Inde

x O

ptio

ns

Secu

rity

Des

crip

tion

FUTI

DX

OPT

IDX

FUTI

DX

----

----

----

----

----

----

----

----

OPT

IDX-

----

----

----

----

----

----

----

---

Und

erly

ing

Inde

xS&

P CN

X N

ifty

/ Ba

nk N

ifty

/ CN

X IT

/Nif

ty M

idca

p 50

----

----

----

----

----

----

----

----

----

----

----

--S&

P CN

X N

ifty

----

----

----

----

----

----

----

----

----

----

----

--

Styl

e of

Opt

ion

NA

Euro

pean

NA

----

----

----

----

----

----

----

---E

urop

ean-

----

----

----

----

----

----

----

--

Cont

ract

Siz

eAs

spe

cifi

ed b

y SE

BI,

curr

entl

y m

inim

um `

2 la

khs

at t

he

tim

e of

intr

oduc

tion

As s

peci

fied

by

SEBI

cur

rent

ly m

inim

um `

1 la

kh a

t th

e ti

me

of in

trod

ucti

onAs

spe

cifi

ed b

y SE

BI c

urre

ntly

m

inim

um `

2 la

khs

at t

he

tim

e of

intr

oduc

tion

Pric

e St

ep `

0.0

5

Last

Tra

ding

/Exp

irat

ion

Day

Last

Thu

rsda

y of

the

exp

iry

mon

th o

r th

e pr

eced

ing

trad

ing

day,

if la

st T

hurs

day

is a

tra

ding

hol

iday

Expi

rati

on P

erio

dup

to 3

mon

ths

upto

5 y

ears

Trad

ing

Cycl

e3

mon

th t

radi

ng c

ycle

- t

he n

ear

mon

th (

one)

, th

e ne

xt m

onth

(tw

o) a

nd t

he f

ar m

onth

(th

ree)

Thre

e qu

arte

rly

expi

ries

(M

arch

, Ju

ne,

Sept

& D

ec

cycl

e) a

nd n

ext

8 ha

lf y

earl

y ex

piri

es (

Jun,

Dec

cyc

le)

Pric

e Ba

nds

Ope

rati

ng r

ange

of

10%

of

the

base

pri

ceA

cont

ract

spe

cifi

c pr

ice

rang

e ba

sed

on it

s de

lta

valu

e is

com

pute

d an

d up

date

d on

a d

aily

bas

is

Ope

rati

ng r

ange

of

10%

of

the

base

pri

ceA

cont

ract

spe

cifi

c pr

ice

rang

e ba

sed

on it

s de

lta

valu

e is

co

mpu

ted

and

upda

ted

on a

dai

ly b

asis

Stri

ke P

rice

Inte

rval

s N

AD

epen

ding

on

the

unde

rlyi

ng

pric

e as

in T

able

6-2

aN

AD

epen

ding

on

the

unde

rlyi

ng p

rice

as

in T

able

6-2

a

Tabl

e 6-

2 a

: St

rike

Pri

ce In

terv

als

for

Inde

x O

ptio

ns

The

num

ber

of c

ontr

acts

pro

vide

d in

opt

ions

on

inde

x is

bas

ed o

n th

e ra

nge

in p

revi

ous

day’

s cl

osin

g va

lue

of t

he

unde

rlyi

ng in

dex

and

appl

icab

le a

s pe

r th

e fo

llow

ing

tabl

e:In

dex

Leve

lSt

rike

Inte

rval

Sche

me

of S

trik

e to

be

intr

oduc

ed

upto

200

050

4-

1- 4

>200

1 up

to 4

000

100

6-

1- 6

>400

1 up

to 6

000

100

6-

1- 6

>600

010

0 7

- 1-

7

The

abov

e st

rike

par

amet

ers

sche

me

shal

l be

appl

icab

le f

or a

ll Lo

ng t

erm

s co

ntra

cts

also

.

127

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 ` 2 lakhs at the time of introduction

Price Steps ` 0.05

Expiration Period Upto 3 months

Trading Cycle 3 month trading cycle - the near month (one), the next month (two) and the far month (three)

Last Trading/Expiration Day Last Thursday of the expiry month or the preceding trading day, if last Thursday is a trading holiday

Price Bands Operating range of 20% of the base price

A contract specific price range based on its delta value is computed and updated on a daily basis

Strike Price Intervals NA Depending on the underlying price as in Table 6-3 a

Table 6-3 a : Strike Price Intervals for Index Options

Underlying Closing Price Strike Price Interval No. of Strikes Provided In the money- At the money- Out of the

money

No. of additional strikes which may be enabled intraday in

either direction

Less than or equal to ` 50 2.5 5- 1- 5 5

> ` 50 to ≤ ` 100 5 5- 1- 5 5

> ` 100 to ≤ ` 250 10 5- 1- 5 5

> ` 250 to ≤ ` 500 20 5- 1- 5 5

> ` 500 to ≤ ` 1000 20 10- 1- 10 10

> ` 1000 50 10- 1- 10 10

The Exchange, at its discretion, may enable additional strikes as mentioned in the above table in the direction of the price movement, intraday, if required. The additional strikes may be enabled during the day at regular intervals and message for the same shall be broadcast to all trading terminals.

New contracts with new strike prices for existing expiration date are introduced for trading on the next working day based on the previous day’s underlying close values, as and when required. In order to decide upon the at-the-money strike price, the underlying closing value is rounded off to the nearest strike price interval.

The in-the-money strike price and the out-of-the-money strike price are based on the at-the-money strike price interval.

128

Table 6-4 : Settlement Price Equity Derivatives

Product Settlement Schedule

Futures Contracts on Index or Individual Security

Daily Settlement Closing price of the futures contracts on the trading day. (closing price for a futures contract shall be calculated on the basis of the last half an hour weighted average price of such contract)

Un-expired illiquid futures contracts

Daily Settlement Theoretical Price computed as per formula F=S * ert

Futures Contracts on Index or Individual Securities

Final Settlement Closing price of the relevant underlying index / security in the Capital Market segment of NSE, on the last trading day of the futures contracts.

Options Contracts on Individual Securities

Interim Exercise Settlement Closing price of such underlying security on the day of exercise of the options contract.

Options Contracts on Index and Individual Securities

Final Exercise Settlement Closing price of such underlying security (or index) on the last trading day of the options contract.

129

Cont

d...

Tabl

e 6-

5 :

Busi

ness

Gro

wth

of

Futu

res

& O

ptio

ns M

arke

t Se

gmen

t

Mon

th/

Year

Inde

x Fu

ture

sSt

ock

Futu

res

Inde

x O

ptio

ns S

tock

Opt

ions

Tota

lAv

erag

e Da

ily

Trad

ing

Volu

me

Call

Put

Call

Put

Cont

ract

s Tr

aded

Trad

ing

Volu

me

Cont

ract

s Tr

aded

Trad

ing

Valu

e Co

ntra

cts

Tra

ded

Notio

nal

Trad

ing

Volu

me

Cont

ract

s Tr

aded

Notio

nal

Trad

ing

Volu

me

Cont

ract

s Tr

aded

otio

nal

Trad

ing

Volu

me

Cont

ract

s Tr

aded

Notio

nal

Trad

ing

Volu

me

Cont

ract

s Tr

aded

Trad

ing

Volu

me

(No.

) (

` cr

.)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(U

S $

mn)

( ` 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

1,51

3,79

1 7

9,58

6,85

2 27

9172

1 6

,413

,467

1

68,6

32

6,5

21,6

49

169

,837

4

,165

,996

14

3,75

2 1

,074

,780

3

6,51

8 15

6,30

0,63

0 4

,824

,250

1,

081,

428

19,

220

4308

.48

2006

-07

81,

487,

424

2,53

9,57

5 10

4,95

5,40

1 3

,830

,972

1

2,63

2,34

9 3

98,2

19

12,

525,

089

393

,693

4

,394

,292

16

1,90

2 8

89,0

18

31,

909

216,

883,

573

7,3

56,2

71

1,68

7,60

5 2

9,54

3 67

77.5

3

2007

-08

156,

598,

579

3,82

0,66

7 20

3,58

7,95

2 7

,548

,563

2

6,66

7,88

2 6

68,8

16

28,

698,

156

693

,295

8

,002

,713

30

8,44

3 1

,457

,918

5

0,69

3 42

5,01

3,20

0 1

3,09

0,47

8 3

,275

,076

5

2,15

3 1

3,04

8

Apr-

08 1

2,06

3,17

2 28

0,10

0 1

5,60

1,53

1 33

6,90

1 2

,672

,588

6

7,95

4 2

,692

,643

6

5,61

1 5

73,7

44

13,

139

126

,146

2

,725

3

3,72

9,82

4 7

66,4

31

150

,428

3

8,32

2 7

,521

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 1

4,43

3,98

4 30

0,44

9 1

7,59

4,21

6 32

4,01

1 7

,568

,163

1

74,7

97

6,2

67,4

79

137

,305

8

20,8

95

16,

880

208

,806

4

,003

4

6,89

3,54

3 9

57,4

45

187

,919

4

7,87

2 9

,396

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 1

9,47

1,36

7 25

6,95

0 1

7,94

9,27

0 18

7,21

1 1

0,29

6,36

1 1

58,0

42

9,6

24,5

63

134

,092

5

61,8

64

6,4

29

241

,953

2

,632

5

8,14

5,37

8 7

45,3

56

146

,292

4

1,40

9 8

,127

Dec-

08 2

0,00

7,89

5 2

69,9

97

22,

262,

785

230

,466

1

1,14

4,62

3 1

71,6

97

10,

014,

156

141

,919

9

27,4

67

10,

562

436

,840

4

,526

6

4,79

3,76

6 8

29,1

66

162

,741

3

9,48

4 7

,750

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

130

Cont

d...

Mon

th/

Year

Inde

x Fu

ture

sSt

ock

Futu

res

Inde

x O

ptio

ns S

tock

Opt

ions

Tota

lAv

erag

e Da

ily

Trad

ing

Volu

me

Call

Put

Call

Put

Cont

ract

s Tr

aded

Trad

ing

Volu

me

Cont

ract

s Tr

aded

Trad

ing

Valu

e Co

ntra

cts

Tra

ded

Notio

nal

Trad

ing

Volu

me

Cont

ract

s Tr

aded

Notio

nal

Trad

ing

Volu

me

Cont

ract

s Tr

aded

otio

nal

Trad

ing

Volu

me

Cont

ract

s Tr

aded

Notio

nal

Trad

ing

Volu

me

Cont

ract

s Tr

aded

Trad

ing

Volu

me

(No.

) (

` cr

.)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(N

o.)

( ` c

r)(U

S $

mn)

( ` c

r)(U

S $

mn)

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

3,57

0,11

1 22

1,57

7,98

0 3

,479

,642

11

0,43

1,97

4 2

,002

,544

10

1,65

6,47

0 1,

728,

957

9,7

62,9

68

171,

843

3,5

33,0

02

57,

384

657,

390,

497

11,

010,

482

2,1

61,0

37

45,

311

8,8

93

Apr-

09 1

8,66

2,38

2 3

01,7

64

9,85

8,64

235

6,38

3 1

3,68

7,46

8 2

40,1

50

13,

194,

502

213

,639

5

58,3

80

22,

168

248

,943

9

,259

5

6,21

0,31

7 1

,143

,362

2

53,2

93

67,

257

14,

900

May

-09

16,

617,

516

317

,415

9,

528,

178

448,

155

11,

196,

349

235

,522

1

0,29

9,19

2 1

94,9

93

485

,011

2

4,18

5 1

59,2

69

6,9

83

48,

285,

515

1,2

27,2

52

271

,877

6

1,36

3 1

3,59

4

Jun-

09 1

6,20

7,95

9 3

46,9

34

11,1

27,6

4958

9,65

7 1

2,68

9,87

2 2

95,5

11

11,

499,

770

250

,133

7

18,5

36

41,

345

164

,411

8

,400

5

2,40

8,19

7 1

,531

,980

3

39,3

84

69,

635

15,

427

Jul-0

9 1

8,27

1,80

5 3

82,9

24

15,5

00,5

3545

0,63

2 1

6,45

3,61

1 3

76,7

53

15,

333,

132

324

,495

9

63,5

41

30,

092

304

,462

8

,615

6

6,82

7,08

6 1

,573

,509

3

48,5

84

68,

413

15,

156

Aug-

09 1

6,89

2,21

7 3

66,3

12

13,1

13,1

1841

2,36

3 1

4,77

8,75

5 3

51,8

30

13,

757,

102

306

,927

8

63,8

60

28,

215

265

,335

7

,999

5

9,67

0,38

7 1

,473

,646

3

26,4

61

70,

174

15,

546

Sep-

09 1

3,03

2,24

2 3

02,4

25

13,1

57,6

2143

4,11

9 1

1,00

9,11

7 2

76,6

47

14,

064,

924

332

,429

9

43,6

18

32,

975

293

,810

9

,783

5

2,50

1,33

2 1

,388

,378

3

07,5

72

69,

419

15,

379

Oct

-09

13,

615,

447

329

,610

14

,044

,526

465,

829

12,

398,

618

318

,747

1

4,27

2,63

4 3

50,8

44

1,0

64,6

44

35,

426

313

,925

9

,961

5

5,70

9,79

4 1

,510

,417

3

34,6

07

75,

521

16,

730

Nov-

09 1

5,17

8,55

2 3

63,5

23

13,2

60,5

4643

8,22

0 1

4,79

9,48

8 3

77,4

39

18,

165,

786

438

,968

1

,001

,744

3

2,62

2 3

58,9

59

11,

044

62,

765,

075

1,6

61,8

16

368

,147

8

3,09

1 1

8,40

7

Dec-

09 1

3,33

7,83

3 3

29,4

96

11,3

07,3

3239

5,95

4 1

4,57

0,56

6 3

82,9

75

14,

955,

374

373

,702

9

46,8

83

32,

696

306

,015

1

0,16

0 5

5,42

4,00

3 1

,524

,982

3

37,8

34

72,

618

16,

087

Jan-

10 1

2,05

6,35

9 2

98,8

49

12,5

46,6

7944

4,13

4 1

3,18

4,72

1 3

45,8

96

13,

899,

884

349

,964

1

,083

,640

3

9,50

2 3

30,5

38

11,

951

53,

101,

821

1,4

90,2

97

330

,150

7

8,43

7 1

7,37

6

Feb-

10 1

3,89

1,84

3 3

26,8

71

10,7

25,7

8935

4,48

5 1

7,31

7,43

4 4

34,8

44

17,

271,

270

412

,391

9

22,7

28

31,

359

300

,899

9

,926

6

0,42

9,96

3 1

,569

,876

3

47,7

79

78,

494

17,

389

Mar

-10

10,

542,

734

268

,266

11

,420

,625

405,

316

15,

597,

929

412

,952

1

6,98

2,02

5 4

30,2

14

1,0

61,5

62

38,

572

355

,557

1

2,82

6 5

5,96

0,43

2 1

,568

,147

3

47,3

96

74,

674

16,

543

2009

-10

178,

306,

889

3,93

4,38

9 14

5,59

1,24

0 5

,195

,247

16

7,68

3,92

8 4

,049

,266

17

3,69

5,59

5 3,

978,

699

10,6

14,1

47

389,

158

3,4

02,1

23

116,

907

679,

293,

922

17,

663,

665

3,9

13,0

85

72,

392

16,

037

131

Contd...

Table 6-6 : Sectorwise Trading Value of Top 5 companiesin the F&O Segment (2009-10)

BANKS FMCG

Company Name Turnover ( ` cr)


ICICI Bank Ltd 194,232.37 ITC Ltd. 38,052.93

State Bank of India 172,700.39 Hindustan Unilever Limited 34,828.85

Axis Bank Limited 82,183.52 United Spirits Limited 18,137.83

HDFC Bank Ltd 51,039.65 Tata Tea Ltd 5,996.34

IDBI Bank Limited 38,393.79 Dabur India Ltd 1,824.47

INFRASTRUCTURE MEDIA & ENTERTAINMENT



Unitech Ltd 172,349.04 Dish TV India Limited 12,281.59

DLF Limited 169,442.30 Reliance MediaWorks Limited 12,268.30

Housing Development and Infrastructure Limited

106,817.11 Zee Entertainment Enterprises Ltd 6,387.85

Reliance Infrastructure Limited 100,778.49 Television Eighteen India Ltd. 3,086.71

Jaiprakash Associates Limited 95,597.96 Sun TV Network Limited 1,497.73

Pharmaceuticals TELECOMMUNICATION



Ranbaxy Laboratories Ltd 27,023.12 Bharti Airtel Limited 89,740.45

Cipla Ltd. 18,482.40 Reliance Communications Limited 75,561.36

Orchid Chemicals & Pharmaceuticals Ltd

13,504.72 Idea Cellular Limited 22,049.55

Biocon Limited 10,276.46 GTL Infrastructure Limited 10,012.78

Dr. Reddy’s Laboratories Ltd. 9,328.55 Mahanagar Telephone Nigam Ltd. 9,601.25

FINANCE INFORMATION TECHNOLOGY



Reliance Capital Limited 113,514.36 Infosys Technologies Ltd. 111,475.86

IFCI Limited 97,642.65 Tata Consultancy Services Limited 69,647.99

Infrastructure Development Finance Company Limited

58,062.63 Educomp Solutions Limited 47,565.59

Housing Development Finance Corporation Ltd.

54,183.50 Tech Mahindra Limited 26,905.02

LIC Housing Finance Ltd 27,147.21 Wipro Ltd 25,019.12

132

Contd...

PETROCHEMICALS MANUFACTURING



Reliance Industries Ltd 354,860.32 Tata Steel Limited 256,505.12

Aban Offshore Ltd. 84,616.52 Tata Motors Limited 153,789.84

Oil & Natural Gas Corpn Ltd 46,732.89 Suzlon Energy Limited 141,551.64

Essar Oil Limited 41,353.70 JSW Steel Limited 95,862.48

Cairn India Limited 39,032.02 Jindal Steel & Power Ltd. 91,679.06

SERVICES ENGINEERING (4 companies in this sector trade in the F&O segment)



Kingfisher Airlines Limited 8,592.50 Larsen & Toubro Limited 95,143.69

The Great Eastern Shipping Co. Limited

7,217.86 Praj Industries Ltd 11,421.71

Mercator Lines Limited 6,644.59 Reliance Industrial Infrastructure Limited

5,470.20

Deccan Chronicle Holdings Ltd. 6,008.46 BEML Limited 3,099.82

The Indian Hotels Company Limited

5,084.97

Miscellaneous


Pantaloon Retail (India) Ltd. 6,380.25

Titan Industries Ltd. 3,171.68

Noida Toll Bridge Company Ltd 3,079.95

Sintex Industries Ltd. 2,968.69

Fortis Healthcare Limited 1,733.27

133

Tabl

e 6-

7 :

Part

icip

ant

wis

e Tr

adin

g Va

lue

in t

he F

&O

Seg

men

t (2

009-

10)

Mon

th/Y

ear

Inst

itut

iona

l inv

esto

rsRe

tail

Prop

riet

ary

Gro

ss T

rade

d Va

lue

% t

o G

ross

Turn

over

Gro

ss T

rade

d Va

lue

% t

o G

ross

Turn

over

Gro

ss T

rade

d Va

lue

% t

o G

ross

Turn

over

` c

rore

US

$ m

n `

cro

reU

S $

mn

` c

rore

US

$ m

n

2007

-08

3,2

56,0

34

814

,619

1

2.44

1

6,48

5,72

4 4

,124

,524

6

2.97

6

,439

,196

1

,611

,007

24

.59

Apr-

08 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

9Au

g-08

250

,935

4

9,25

1 1

3.10

1

,079

,934

2

11,9

60

56.

40

584

,021

1

14,6

26

30.5

0Se

p-08

290

,713

5

7,05

8 1

2.13

1

,361

,914

2

67,3

04

56.

85

743

,118

1

45,8

52

31.0

2O

ct-0

8 2

33,5

94

45,

848

12.

40

1,0

34,9

23

203

,125

5

4.95

6

14,7

76

120

,663

32

.64

Nov

-08

166

,700

3

2,71

8 1

1.18

8

35,4

39

163

,972

5

6.04

4

88,5

74

95,

893

32.7

7D

ec-0

8 1

78,5

21

35,

038

10.

77

934

,367

1

83,3

89

56.

34

545

,444

1

07,0

55

32.8

9Ja

n-09

184

,701

3

6,25

1 1

1.87

8

69,0

59

170

,571

5

5.84

5

02,4

77

98,

622

32.2

9Fe

b-09

183

,607

3

6,03

7 1

2.89

8

07,2

43

158

,438

5

6.66

4

33,8

91

85,

160

30.4

5M

ar-0

9 2

63,2

70

51,

672

12.

66

1,1

74,4

88

230

,518

5

6.47

6

42,1

03

126

,026

30

.87

2008

-09

2,9

44,4

54

577

,911

1

3.37

1

2,25

0,02

9 2

,404

,324

5

5.63

6

,826

,484

1

,339

,840

31

.00

Apr-

0929

7,98

5 6

6,01

4 13

.03

1,24

5,05

6 2

75,8

21

54.4

574

3,68

5 1

64,7

51

32.5

2M

ay-0

934

5,86

4 7

6,62

0 14

.09

1,30

9,58

0 2

90,1

15

53.3

579

9,06

0 1

77,0

18

32.5

5Ju

n-09

391,

422

86,

713

12.7

81,

636,

840

362

,614

53

.42

1,03

5,69

9 2

29,4

42

33.8

0Ju

l-09

449,

782

99,

642

14.2

91,

628,

417

360

,748

51

.74

1,06

8,81

9 2

36,7

79

33.9

6Au

g-09

418,

249

92,

656

14.1

91,

625,

127

360

,019

55

.14

903,

915

200

,247

30

.67

Sep-

0940

5,22

1 8

9,77

0 14

.59

1,51

9,72

6 3

36,6

69

54.7

385

1,80

9 1

88,7

04

30.6

8O

ct-0

941

5,73

8 9

2,10

0 13

.76

1,66

5,16

5 3

68,8

89

55.1

293

9,93

2 2

08,2

26

31.1

1N

ov-0

944

4,19

7 9

8,40

4 13

.36

1,83

3,99

2 4

06,2

90

55.1

81,

045,

442

231

,600

31

.45

Dec

-09

370,

730

82,

129

12.1

61,

660,

586

367

,875

54

.45

1,01

8,64

9 2

25,6

64

33.4

0Ja

n-10

434,

120

96,

172

14.5

61,

619,

619

358

,799

54

.34

926,

855

205

,329

31

.10

Feb-

1041

1,09

1 9

1,07

0 13

.10

1,79

1,67

2 3

96,9

14

57.0

693

6,98

9 2

07,5

74

29.8

4M

ar-1

038

8,51

6 8

6,06

9 12

.39

1,84

3,18

6 4

08,3

27

58.7

790

4,59

3 2

00,3

97

28.8

420

09-1

04,

772,

915

1,0

57,3

58

13.5

119

,378

,966

4,2

93,0

81

54.8

611

,175

,447

2,4

75,7

30

31.6

3

134

Table 6-8a : Number of Members in different turnover brackets during 2009-10

Upto ` 10 crores

` 10 crores upto ` 50

crores


crores


crores


crores

` 1000 crores and

more

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

Apr-09 73 107 242 119 92 285

May-09 63 93 232 122 119 297

Jun-09 58 81 204 115 134 343

Jul-09 55 85 229 115 115 343

Aug-09 61 96 224 118 119 333

Sep-09 53 108 234 118 120 319

Oct-09 53 98 241 96 123 344

Nov-09 56 96 221 116 123 350

Dec-09 64 100 229 110 121 341

Jan-10 66 103 227 103 133 344

Feb-10 68 101 224 118 117 349

Mar-10 68 108 201 105 131 366

2009-10 19 38 68 48 67 780

135

Tabl

e 6-

8b :

Num

ber

of m

embe

rs i

n di

ffer

ent

turn

over

bra

cket

s in

Fut

ures

and

Opt

ions

Seg

men

t

Mon

thFu

ture

s Se

gmen

tO

ptio

ns S

egm

ent

Num

ber

of M

embe

rsN

umbe

r of

Mem

bers

Upt

o `

10

cror

es `

10

cror

es

upto

` 5

0 cr

ores

` 5

0 cr

ores

up

to `

250

cr

ores

` 2

50

cror

es

upto

` 5

00

cror

es

` 5

00

cror

es u

pto

` 10

00

cror

es

` 1

000

cror

es a

nd

mor

e

Upt

o `

10

cror

es `

10

cror

es

upto

` 5

0 cr

ores

` 5

0 cr

ores

up

to `

250

cr

ores

` 2

50

cror

es

upto

` 5

00

cror

es

` 5

00

cror

es u

pto

` 10

00

cror

es

` 1

000

cror

es a

nd

mor

e

2007

-08

1314

5042

5767

698

9617

696

9129

5Ap

r-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-

0871

121

222

106

9724

326

216

319

664

6111

4Au

g-08

8013

322

910

610

222

529

115

420

963

5710

1Se

p-08

7812

124

511

891

233

260

163

195

7370

125

Oct

-08

103

150

251

9995

189

297

182

181

7638

113

Nov

-08

114

152

255

105

8217

031

419

017

568

2510

6D

ec-0

896

142

269

102

9418

031

617

817

173

4798

Jan-

0911

115

826

997

87 1

76

324

180

177

6846

103

Feb-

0912

015

627

398

93 1

56

314

182

191

4855

106

Mar

-09

9914

224

110

810

4 2

07

270

179

196

6746

143

2008

-09

2936

9570

104

613

11

199

162

103

9038

2Ap

r-09

9413

025

912

291

222

28

218

020

659

6212

9M

ay-0

984

113

241

137

113

238

283

202

196

6459

122

Jun-

0975

102

223

114

133

288

260

194

203

8256

140

Jul-

0977

108

246

123

114

274

229

184

211

8771

160

Aug-

0984

119

242

131

106

269

255

180

207

9170

148

Sep-

0977

128

247

138

105

257

251

192

215

8265

147

Oct

-09

7812

824

511

212

426

824

819

121

178

6316

4N

ov-0

974

133

251

117

119

268

244

168

214

9470

172

Dec

-09

8913

125

311

911

725

624

917

820

584

7417

5Ja

n-10

9314

223

313

611

026

224

817

421

988

7517

2Fe

b-10

102

130

258

121

122

244

223

188

204

8972

201

Mar

-10

8813

924

614

311

524

824

515

719

192

7422

020

09-1

028

4193

5588

715

9685

146

8894

511

136

Table 6-8c : 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

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

Apr-09 16 24 31 42 25 37 45 59

May-09 16 25 31 41 25 36 45 58

Jun-09 16 23 30 40 26 36 45 59

Jul-09 15 22 28 38 26 36 44 57

Aug-09 14 22 29 39 26 37 45 59

Sep-09 15 22 29 39 26 37 45 57

Oct-09 15 22 28 38 27 38 45 56

Nov-09 14 22 28 38 26 37 45 56

Dec-09 15 22 29 39 25 34 42 54

Jan-10 14 22 28 38 24 33 40 52

Feb-10 14 21 28 38 24 33 40 51

Mar-10 14 22 28 37 23 32 39 50

2009-10 15 22 28 38 25 32 42 54

137

Table 6-9 : Top 20 Futures contracts according to number of contracts 2009-10

S.No.

Name of the Contract Number of Contracts

Turnover Percentage of contracts

to Top 20 contracts( ` cr.) (US $ mn)

1 NIFTY JULY 2009 16,685,014 360,347.82 79,828.94 10.19

2 NIFTY MAY 2009 14,108,649 272,041.49 60,266.17 8.62

3 NIFTY AUGUST 2009 14,027,712 318,562.24 70,572.05 8.57

4 NIFTY APRIL 2009 13,809,370 231,659.98 51,320.33 8.44

5 NIFTY JUNE 2009 13,049,245 288,559.59 63,925.47 7.97

6 NIFTY DECEMBER 2009 12,908,225 327,730.73 72,603.17 7.89

7 NIFTY FEBRUARY 2009 12,122,626 294,013.30 65,133.65 7.41

8 NIFTY NOVEMBER 2009 12,098,963 296,951.31 65,784.52 7.39

9 NIFTY OCTOBER 2009 11,805,291 294,906.84 65,331.60 7.21

10 NIFTY SEPTEMBER 2009 11,128,597 265,970.56 58,921.26 6.80

11 NIFTY JANUARY 2010 9,116,083 233,712.04 51,774.93 5.57

12 NIFTY MARCH 2010 8,563,741 217,939.59 48,280.81 5.23

13 NIFTY APRIL 2010 2,534,395 66,584.25 14,750.61 1.55

14 MINIFTY JULY 2009 1,860,576 16,042.41 3,553.92 1.14

15 MINIFTY AUGUST 2009 1,773,464 16,061.90 3,558.24 1.08

16 MINIFTY MAY 2009 1,742,971 13,146.58 2,912.40 1.06

17 MINIFTY DECEMBER 2009 1,738,887 17,609.85 3,901.16 1.06

18 MINIFTY APRIL 2009 1,602,742 10,726.92 2,376.37 0.98

19 MINIFTY NOVEMBER 2009 1,525,735 14,968.54 3,316.03 0.93

20 MINIFTY SEPTEMBER 2009 1,487,061 14,122.60 3,128.62 0.91

TOTAL 163,689,347 3,571,658.52 791,240.26 100.00

Table 6-10 : Top 20 Option contracts according to number of contracts traded 2009-10

S.No.

Name of the Contract Number of Contracts

Turnover Percentage of contracts

to Top 20 contracts( ` cr) (US $ mn)

1 NIFTY February 2010 CE 4900 5,449,250 135,003.53 29,907.74 7.00

2 NIFTY December 2009 CE 5200 5,149,244 135,253.46 29,963.11 6.61

3 NIFTY February 2010 PE 4800 4,868,777 118,405.92 26,230.82 6.25

4 NIFTY March 2010 CE 5200 4,663,405 122,331.46 27,100.46 5.99

5 NIFTY December 2009 CE 5100 4,282,227 111,168.38 24,627.47 5.50

6 NIFTY December 2009 PE 5000 4,213,118 106,988.38 23,701.46 5.41

7 NIFTY April 2009 CE 3400 4,041,812 70,130.84 15,536.30 5.19

8 NIFTY March 2010 CE 5100 3,725,904 96,682.95 21,418.46 4.78


10 NIFTY August 2009 CE 4700 3,690,850 87,956.82 19,485.34 4.74

11 NIFTY October 2009 CE 5100 3,633,995 94,044.64 20,833.99 4.67

12 NIFTY November 2009 CE 5000 3,579,202 90,806.46 20,116.63 4.60

13 NIFTY October 2009 PE 5000 3,487,231 88,796.34 19,671.32 4.48

14 NIFTY July 2009 CE 4500 3,473,793 79,493.63 17,610.46 4.46

15 NIFTY February 2010 PE 4700 3,460,789 82,323.31 18,237.33 4.44

16 NIFTY April 2009 CE 3500 3,391,384 60,111.34 13,316.65 4.35

17 NIFTY October 2009 PE 4900 3,323,287 82,624.92 18,304.15 4.27


19 NIFTY November 2009 CE 5100 3,271,285 84,049.90 18,619.83 4.20

20 NIFTY December 2009 PE 5100 3,189,001 82,769.70 18,336.22 4.09

TOTAL 77,875,812 1,902,203.71 421,400.91 100.00

138

Table 6-11 : Number of trades in the Futures & Options Segment

Month/Year Index Futures Stock Futures Index Options Stock Options Total

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

Apr-09 5,649,871 8,597,278 5,190,117 675,735 20,113,001

May-09 5,060,456 8,426,655 4,522,973 556,564 18,566,648

Jun-09 4,973,415 9,869,779 5,620,651 758,811 21,222,656

Jul-09 5,718,277 12,707,974 7,059,595 1,012,373 26,498,219

Aug-09 5,564,804 10,828,499 6,884,745 879,903 24,157,951

Sep-09 4,352,169 10,694,165 6,728,710 1,008,393 22,783,437

Oct-09 4,509,316 11,348,231 6,354,351 1,121,540 23,333,438

Nov-09 5,093,232 10,775,226 7,914,266 1,092,392 24,875,116

Dec-09 4,832,800 9,233,972 6,759,250 1,069,940 21,895,962

Jan-10 3,838,625 10,207,739 5,917,021 1,164,875 21,128,260

Feb-10 4,621,592 8,587,808 7,174,462 1,002,358 21,386,220

Mar-10 3,349,892 8,885,707 6,823,851 1,151,828 20,211,278

2009-10 57,564,449 120,163,033 76,949,992 11,494,712 266,172,186

139

Table 6-12 : Settlement Statistics in F&O Segment

Month/Year Index/Stock Futures Index/Stock Options Total

MTM Settlement

Final Settlement

Premium Settlement

Exercise Settlement

( ` cr) ( ` cr) ( ` cr) ( ` cr) ( ` 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

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

Apr-09 4,855.50 273.61 944.53 494.81 6,568.45 1,455.13

May-09 7,817.80 141.21 1,289.20 1,068.90 10,317.11 2,285.58

Jun-09 6,960.70 157.54 915.78 572.96 8,606.97 1,906.73

Jul-09 6,108.80 108.56 1,065.90 217.81 7,501.07 1,661.73

Aug-09 5,022.40 36.94 894.05 124.88 6,078.27 1,346.54

Sep-09 3,243.30 65.76 848.17 214.06 4,371.29 968.39

Oct-09 4,705.90 180.26 696.71 140.63 5,723.51 1,267.95

Nov-09 5,312.90 148.63 870.25 173.88 6,505.65 1,441.22

Dec-09 3,955.10 58.57 954.82 332.57 5,301.06 1,174.36

Jan-10 4,759.00 107.57 762.19 188.94 5,817.70 1,288.81

Feb-10 5,140.00 45.83 798.36 133.03 6,117.23 1,355.17

Mar-10 2,774.30 70.79 971.08 218.30 4,034.47 893.77

2009-10 60,655.70 1,395.27 11,011.04 3,880.77 76,942.78 17,045.37

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