| Underlying |
Underlying shall be Crude Oil Mini Futures contract traded on MCX |
| Description |
Options on Crude Oil Mini Futures |
| Option Type |
European Call & Put Options |
| Contract Listing |
Contracts will be available as per the Contract Launch Calendar |
| Contract Start Day |
The next business day immediately after the expiry of the near month futures contracts |
| Expiry Day (Last Trading Day) |
Two business days prior to the Expiry Day of the underlying futures contract |
| Trading Period |
Mondays through Fridays |
| Trading Session |
Monday to Friday: 9.00 a.m. to 11.30 / 11.55 p.m.* (* Based on US daylight saving time) |
| Trading Unit |
One MCX Crude Oil Mini futures contract (10 bbl) |
| Underlying Quotation/ Base Value |
Rs. Per barrel |
| Underlying Price Quote |
Ex – Mumbai (excluding all taxes, levies, and other expenses) |
| Strikes |
25 In-the-money, 25 Out-of-the-money and 1 Near-the money (51 CE and 51 PE). The Exchange, at its discretion, may may introduce additional strikes, if required. |
| Strike Price Intervals |
Rs. 50 |
| Tick Size (Minimum Price Movement) |
Rs. 0.05 |
| Settlement of premium/ Final Settlement |
T+1 day |
| Mode of settlement |
On expiry of options contract, the open position shall devolve into underlying futures position as follows: |
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| – long call position shall devolve into long position in the underlying futures contract. |
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| – long put position shall devolve into short position in the underlying futures contract. |
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| – short call position shall devolve into short position in the underlying futures contract. |
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| – short put position shall devolve into long position in the underlying futures contract. |
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| All such devolved futures positions shall be opened at the strike price of the exercised options |
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| Exercise Mechanism at expiry |
– All In the money (ITM)# option contracts shall be exercised automatically, unless ‘contrary instruction’ has been given by long position holders of such contracts for not doing so. |
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| – The ITM option contract holders, who have not submitted contrary instructions, shall receive the difference between the Settlement Price and Strike schedule.Price in Cash as per the settlement schedule. |
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| – In the event contrary instruction are given by ITM option position holders, the positions shall expire worthless. |
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| – All Out of the money (OTM) option contracts shall expire worthless. |
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| – All devolved futures positions shall be considered to be opened at the strike price of the exercised options. |
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| – All exercised contracts within an option series shall be assigned to short positions in that series in a fair and non-preferential manner. |
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| Margins |
The Initial Margin shall be computed using SPAN (Standard Portfolio Analysis of Risk) software, which is a portfolio based margining system |
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| Extreme Loss Margin – Minimum 1% (to be levied only on short option positions) |
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| Margining at client Level |
Initial Margins shall be computed at the level of portfolio of individual clients comprising of the positions in futures and options contracts on each commodity |
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| Additional and/ or Special Margin |
At the discretion of the Exchange when deemed necessary |
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| Due Date Rate (Final Settlement Price) |
Daily settlement price of underlying futures contract on the expiry day of options contract. |
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| Maximum Allowable Open Position |
Position limits for options would be separate from the position limits applicable on futures contracts. |
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| For individual clients: 9,60,000 barrels or 5% of the market wide open position, whichever is higher for all Crude Oil Options contracts combined together. |
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| For a member collectively for all clients: 96,00,000 barrels or 20% of the market wide open position, whichever is higher for all Crude Oil Options contracts combined together. |
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