In response to feedback from market participants, and in accordance with the SEBI circular on “Expiry Date for Equity Derivatives Contracts”, dated November 13, 2009, it has been decided to make certain changes in the expiry of Index & Stock-based based Futures & Options contracts. It has been decided to transition the expiry cycle of Futures and Options contracts from the 3rd last Thursday to the last Thursday of each contract month with effect from February 2012 contracts and onwards, by giving a 1 month advance notice to all the market participants. To facilitate this transition of expiry cycle, new monthly futures & options contracts on SENSEX having end-of-month expiry shall be introduced in addition to the existing mid-month monthly futures & options contracts on SENSEX for the months of February & March 2012.
In view of this, members of BSE F&O segment are requested to note the following changes –
1. Monthly Futures and Options Contracts
A. SENSEX Futures & Options Contracts
· Existing monthly contracts for the month of January 2012 expiring on Thursday, January 12, 2012 shall retain their current expiry date.
· Existing monthly contracts for the months of February 2012 and March 2012 expiring on Thursday, February 09, 2012 and March 15, 2012 respectively shall continue to be available for trading. Additionally, fresh monthly contracts for February 2012 and March 2012 expiring on the last Thursday, February 23, 2012 and March 29, 2012 respectively shall be introduced for trading.
|
Sr. No.
|
Monthly Contract
|
Existing Contract Expiry
|
Additional Contract Expiry
|
|
1
|
January 2012
|
January 12, 2012
|
No change
|
|
2
|
February 2012
|
February 09, 2012
|
February 23, 2012
|
|
3
|
March 2012
|
March 15, 2012
|
March 29, 2012
|
· April 2012 contracts to be introduced with effect from Friday, January 13, 2012 shall expire on Thursday, April 26, 2012.
· Fresh monthly futures & options contracts for May 2012 & onwards shall be introduced having expiry on last Thursday of that month.
· Nomenclature for Additional monthly contracts on SENSEX for February & March 2012 shall be as given in Table 1 below –
|
Sr. No.
|
Contract Type
|
Contract Month
|
Existing Mid-month Expiry
|
Additional End-of-month Expiry
|
|
1
|
Futures
|
February
|
BSXFEB2012
|
BSXEFEB2012
|
|
|
|
March
|
BSXMAR2012
|
BSXEMAR2012
|
|
2
|
Spread Futures
|
February-March
|
BSX2312S
|
BSXE2312S
|
|
|
|
February-April
|
BSX2412S
|
BSXE2412S
|
|
|
|
March-April
|
BSX3412S
|
BSXE3412S
|
|
3
|
Monthly Options
|
February
|
BSX22C16000
|
BSXE2C16000
|
|
|
(indicative)
|
February
|
BSX22P16000
|
BSXE2P16000
|
|
|
|
March
|
BSX23C16000
|
BSXE3C16000
|
|
|
|
March
|
BSX23P16000
|
BSXE3P16000
|
B. Futures & Options contracts on ALL OTHER UNDERLYING ASSETS
· Existing monthly contracts for the month of January, February & March 2012 shall retain their current expiry date.
· April 2012 contracts to be introduced with effect from Friday, January 13, 2012 shall expire on Thursday, April 26, 2012.
|
Sr. No.
|
Monthly Contract
|
Existing Expiry
|
Revised Expiry
|
|
1
|
January 2012
|
January 12, 2012
|
No change
|
|
2
|
February 2012
|
February 09, 2012
|
No change
|
|
3
|
March 2012
|
March 15, 2012
|
No change
|
|
4
|
April 2012
|
-
|
April 26, 2012
|
· Fresh monthly futures & options contracts for May 2012 & onwards shall be introduced having expiry on last Thursday of that month.
2. Weekly Options Contracts
· All weekly option contracts on all underlying assets - indices as well as stocks shall continue to expire on their respective expiry dates as per existing specifications.
· The trading members may kindly note that wherever the expiry of a Weekly Option Contract coincides with the expiry of a Monthly Option Contract, the respective Weekly Option Contract will NOT BE AVAILABLE, as the remainder expiry time of the monthly contract will make it akin to a Weekly contract.
3. Long-Dated Index Options contracts
· All existing index-based long-dated option contracts shall be compulsorily expired on Thursday, January 12, 2012 (expiry date of January 2012 contracts) and fresh contracts expiring on the last Thursday of the respective month shall be introduced. Revised expiry dates for these contracts shall be as follows –
|
Sr. No.
|
Long-dated Option Contract
|
Existing Expiry
|
Revised Expiry
|
|
1
|
June 2012
|
June 14, 2012
|
June 28, 2012
|
|
2
|
September 2012
|
September 13, 2012
|
September 27, 2012
|
|
3
|
December 2012
|
December 13, 2012
|
December 27, 2012
|
|
4
|
June 2013
|
June 13, 2013
|
June 27, 2013
|
|
5
|
December 2013
|
December 12, 2013
|
December 26, 2013
|
|
6
|
June 2014
|
June 12, 2014
|
June 26, 2014
|
|
7
|
December 2014
|
December 11, 2014
|
December 24, 2014
|
|
8
|
June 2015
|
June 11, 2015
|
June 25, 2015
|
|
9
|
December 2015
|
December 17, 2015
|
December 31, 2015
|
|
10
|
June 2016
|
June 16, 2016
|
June 30, 2016
|
|
11
|
December 2016
|
December 15, 2016
|
December 29, 2016
|
· Fresh long-dated options contracts for June 2017 & onwards shall be introduced having expiry on last Thursday of that month.
Important to Note:
· There will be no change in any other contract specifications or the risk management framework of the futures & options contracts in the BSE F&O segment.
· There will be no change in the exercise style of single stock options, i.e. they will continue to follow the European style of exercise.
· Settlement of all single stock futures & options contracts will continue to be delivery-based as per existing specifications.
· The additional monthly contracts on SENSEX for February & March 2012 as indicated in Table 1 above shall be reflected in the Contract/Series Master files – CO & Series_D.mas files.
In case of any further clarification or queries on this circular, trading members may contact their respective Relationship Manager or the following officials from the Trading Operations Team –
|
Omkar Wanage
|
022 - 2272 8075
|
|
|
Sridhar Menon
|
022 - 2272 8887
|
|
For and on behalf of BSE Ltd.,
|
Rajesh Saraf
|
Tejash Somaiya
|
|
General Manager – Trading Operations
|
Manager – Trading Operations
|
January 5, 2012 |