Available from July 18, 2014
Options on INR futures open the door to a host of versatile trading strategies; by using options alone, or in combination with INR futures, strategies can be found to cover multiple risk profiles and time horizons.
Because the underlying instrument of the options contract is a futures contract, market participants can use options to protect themselves against volatile swings in INR futures prices, just as futures can be used to protect against volatile move in the price of the underlying INR spot market.
DINRO
European
One DGCX INR Futures contract
US Dollars in Cents per 100 Indian Rupees
US$ 0.000001 per INR or US$ 2 per tick
No Daily Limit#
The nearest two (2) Contract Months are available at all times The options are European-style and can be exercised at expiry
Last Trading Day for INR options shall be two (2) Business Days prior to the Last Day of Trading of the month. (Same as the INR Futures) If the Last Day of Trading falls on an Exchange holiday, Last Trading Day shall occur on the previous business day. If the Last Day of Trading for underlying INR Futures is amended for any reason, the Last Trading Day for INR Options will be amended accordingly.
Business day immediately following the Last Trading Day.
On the last trading day, all in-the-money options are exercised automatically against Daily Settlement Price. All out-of-the-money options automatically expire worthless and will not be exercised.
For each INR Option series, there shall be an INR option chain with a strike interval of INR 0.25 converted into US cents equivalent in 2 decimal points. At the outset, INR option chain will initially be available at an interval of INR 5 from the at the money strike converted into US cents equivalent in 2 decimal points. At all times there will be a minimum of 3 in-the-money, 1 at-the-money and 3 out-of-money options available. Once the settlement price reaches close to the lower end or higher end of the INR option chain, additional option strikes will be introduced for a minimum INR 5.00 with an interval of INR 0.25 converted into US cents equivalent in 2 decimal points.
To be determined by the exchange
Buyer pays full premium, while the seller is margined on the SPAN basis
07:00 - 23:30 Hours Dubai time (GMT+4)
Monday through to Friday