Trading Members are requested to note that based on feedback received from market participants, Exchange shall revise certain contract specifications of futures and options contract on S&P BSE SENSEX with effect from February 26,2016 as follows-
S&P BSE SENSEX Futures –
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SPECIFICATIONS
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CURRENT CONTRACT SPECIFICATION
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REVISED CONTRACT SPECIFICATION
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Price Quote
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Underlying index value
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Underlying index value divided by 10 (E.g. 26000/10 = 2600)
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Contract Multiplier/Market Lot
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20
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200
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Derivative Asset Code
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BSX
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BSXN
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Tick Size
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Rs. 1
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Rs. 0.05
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Final Settlement
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Cash Settlement. (On the last trading day, the closing value of the underlying index would be the final settlement price of the expiring future contract)
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Cash Settlement. (On the last trading day, the closing value of the underlying index divided by 10 would be the final settlement price of the expiring future contract) E.g. 26000/10 = 2600.00
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S&P BSE SENSEX Options -
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SPECIFICATIONS
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CURRENT CONTRACT SPECIFICATION
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REVISED CONTRACT SPECIFICATION
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Contract Multiplier/Market Lot
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20
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200
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Derivative Asset Code
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BSX
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BSXN
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Strike Price
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Based on underlying index value and in multiples of 200 index points For (E.g. 26000,26200,26400)
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Based on underlying index value divided by 10 and in multiples of 25 index points (For E.g. 2600,2625,2650)
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In view of the aforesaid trading members may note the following -
· Existing future and option contracts with old specifications having derivative asset code ‘BSX’ shall continue upto April 2016 expiry.
· Future and option contracts with revised specifications having derivative asset code ‘BSXN’ shall be generated on February 25, 2016 for May 2016 and new long dated option contracts.
· All Existing long dated option contracts as per Annexure with old specifications having derivative asset code ‘BSX’ shall expire on February 25, 2016.
· Post March 2016 expiry Calendar Spread Contracts on futures for derivative asset code ‘BSXN’ shall be available and calendar spread contracts having derivative asset code ‘BSX’ shall be discontinued.
· Paired options contract functionality shall continue to be available for trading.
· For theoretical price calculation of futures and options contracts having derivative asset code ‘BSXN’, closing value of the underlying index divided by 10 would be considered.
· All other existing contracts specifications like contract period, contract expiry day, trading hours, final settlement, etc. for both futures and options contract on S&P BSE SENSEX shall remain same.
For further clarification trading member may contact their Relationship Manager.
For & On Behalf of BSE,
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Ketan Jantre
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Sandeep Pujari
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GM- Trading Operations
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Sr. Manager – Trading Operations
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