Trading Members of the Exchange are hereby informed that the Exchange proposes to introduce a new facility to enter orders in paired option contracts in its Equity Derivatives segment. Paired option contracts shall allow a trader to take positions across two different option contracts belonging to the same underlying asset by entering a single order.
Following are the highlights of paired options contract:-
· Paired options contracts are 2-legged contracts that shall allow a trader to take positions on 2 different option contracts belonging to the same option product, at the same strike price and having the same expiry.
· Paired option contracts shall be made available on SENSEX option and 10 single stock option products that are part of the SENSEX index. List of option products with paired options shall be communicated in due course.
· Market lot, tick size and expiry of such contract shall be same as that of its corresponding individual leg.
· These contracts shall be available on current, near and far monthly contract.
· Minimum 2 In-the-Money, 2 Out-of-the-Money and 1 At-the-Money paired option contracts shall be made available in the existing spread contract master file (EQD_SPD_CO<ddmmyy>.csv) for trading. A circular to this effect has been issued already on 20 Apr 2015 with circular no 20150420-33.
· Paired option contract shall comprise of one Call leg and one Put leg having same strike price and expiry.
· Buying such contract implies taking a buy position in the individual Call option contract and sell position in the individual Put option contract with same strike price and expiry.
· Similarly, Selling such contract implies taking a sell position in the individual Call option contract and buy position in the individual Put option contract with same strike price and expiry.
· Each paired option contract shall have its own order book and order entered in such contract shall be executed as per the normal price time priority logic.
· Matching in each paired contracts shall result in 2 trades – one trade in the individual Call option contract and other trade in the individual Put option contract.
· The trade executed in such contracts shall be decomposed into in its respective simple contract legs, similar to the calendar future spread .
API vendors and trading members having in-house developed trading application may please note the following –
For IML Users
1. The functionality shall be made available in the Equity Derivatives simulation environment for testing from Tuesday May 26, 2015 evening.
2. A new IML exe ver. 7.10 shall be available on the link http://www.bseindia.com/nta.aspx under ‘Equity Derivatives Segment - Test Environment Setup’ with effect from Tuesday May 26, 2015 evening. This shall be an optional release. IML users currently using IML exe version 7.0 can upgrade to this new version for testing to test the proposed functionality.
For ETI Users
1. ETI users can test the functionality in the equity derivatives simulation environment from Tuesday May 26, 2015 evening.
2. No change in existing API for ETI users.
All API vendors and trading members having in-house developed trading applications are requested to take note of the above and initiate development and test the same in the existing simulation environment.
The functionality is proposed to be made live in the immediate future and the exact date shall be communicated in due course.
In case of any queries or clarifications on the above functionality, trading members may kindly contact their respective Relationship Managers.
For and on behalf of BSE Ltd.,
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Rajesh Saraf
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Ameya Bhagwat
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Sr.GM - Trading Development
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Manager –Trading Development
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May 22, 2015 |