InvestorQ : How is the settlement price determined in case of futures and options?
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sarah Leo made post

How is the settlement price determined in case of futures and options?

Answer
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Arusha Ray answered.
2 years ago


The following table captures how the settlement is determined for the futures and options

Product

Settlement

Schedule

Futures Contracts on Index or Global Index 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 (including Global Indices)

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.

Futures Contracts on Global Indices (S&P 500 and DJIA)

Final Settlement

The Special Opening Quotation (SOQ) of the Global Indices S&P 500 and DJIA on the last trading day of the futures contracts

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.

Options Contracts on Global Indices

Final Exercise Settlement

The Special Opening Quotation (SOQ) of the Global Indices S&P 500 and DJIA on the last trading day of the options contracts