InvestorQ : How are the INR currency futures structured in India?
Arti Chavan made post

How are the INR currency futures structured in India?

Answer
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2 years ago


To understand this point we need to understand how the contracts are structured. Currently, the exchange offers INR currency futures on the US Dollar, Euro, Pound and the Japanese Yen. Normally, end of day benchmarking of currency rates is done based on the RBI reference rate announced each day.

USDINR

EURINR

GBPINR

JPYINR

Market Type

N

N

N

N

Instrument Type

FUTCUR

FUTCUR

FUTCUR

FUTCUR

Unit of trading

1 - 1 unit denotes 1000 USD.

1 - 1 unit denotes 1000 EURO.

1 - 1 unit denotes 1000 POUND STERLING.

1 - 1 unit denotes 100000 JAPANESE YEN.

Underlying / Order Quotation

The exchange rate in Indian Rupees for US Dollars

The exchange rate in Indian Rupees for Euro.

The exchange rate in Indian Rupees for Pound Sterling.

The exchange rate in Indian Rupees for 100 Japanese Yen.

Tick size

0.25 paisa or INR 0.0025

Trading hours

Monday to Friday

9:00 a.m. to 5:00 p.m.

Contract trading cycle

12 month trading cycle.

Last trading day

Two working days prior to the last business day of the expiry month at 12:30 pm.

Final settlement day

Last working day (excluding Saturdays) of the expiry month.

The last working day will be the same as that for Interbank Settlements in Mumbai.

Quantity Freeze

10,001 or greater

Base price

Theoretical price on the 1st day of the contract.

Theoretical price on the 1st day of the contract.

Theoretical price on the 1st day of the contract.

Theoretical price on the 1st day of the contract.

On all other days, DSP of the contract.

On all other days, DSP of the contract.

On all other days, DSP of the contract.

On all other days, DSP of the contract.

Price operating range

Tenure up to 6 months

+/-3 % of base price.

Tenure greater than 6 months

+/- 5% of base price.

Position limits

Initial margin

SPAN Based Margin

Extreme loss margin

1% of MTM value of gross open position

0.3% of MTM value of gross open position

0.5% of MTM value of gross open position

0.7% of MTM value of gross open position

Calendar spreads

Rs.400 for spread of 1 month

Rs.700 for spread of 1 month

Rs.1500 for spread of 1 month

Rs.600 for spread of 1 month

Rs.500 for spread of 2 months

Rs.1000 for spread of 2 months

Rs.1800 for spread of 2 months

Rs.1000 for spread of 2 months

Rs.800 for spread of 3 months

Rs.1500 for spread of 3 months and more

Rs.2000 for spread of 3 months and more

Rs.1500 for spread of 3 months and more

Rs.1000 for spread of 4 months and more

Settlement

Daily settlement : T + 1

Final settlement : T + 2

Mode of settlement

Cash settled in Indian Rupees

Daily settlement price

Calculated on the basis of the last half an hour weighted average price.

(DSP)

Final settlement price

RBI reference rate

RBI reference rate

Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro

Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro