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Contract Specifications

Click to Download Contract Specifications of Cross Currency Futures and Cross Currency Options available for trading

Contract Specifications of all four currency pairs of Currency Futures available for trading.


Symbol USDINR EURINR GBPINR JPYINR
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 Dollar 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 paise or INR 0. 0025
Price Precision 4 decimals
Trading Hours Monday to Friday- 9.00 am to 5.00 pm
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 P.M
Final Settlement day Last working days (excluding Saturdays) of the expiry month.
The last working day will be the same as that for Interbank Settlements in Mumbai.
Maximum Quantity Limit 10000 lots per order
Base price Theoretical price on the 1st day of the contract.
On all other days, Daily Settlement Price of the contract.
Price Bands Tenure upto 6 months +/- 3% of base price
  Tenure greater than 6 months +/- 5% of base price
Position Limits Position Limits for CDS

Intial Margin SPAN Based Margin
Extreme Loss Margin 1% of MTM value of gross open position 0.3% of MTM value of gross open position 0.7% of MTM value of gross open position 1.5% 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 (DSP) Calculated on the basis of the last half an hour weighted average price else theoretical price.
Final Settlement Price Press Release on RBI reference rates


Contract Specifications of currency pair of Currency Options available for trading.

Symbol USDINR EURINR GBPINR JPYINR
Instrument Type OPTCUR OPTCUR OPTCUR OPTCUR
Unit of trading

1 contract unit of USD-INR
denotes USD 1000

1 contract unit of EUR-INR
denotes EUR 1000

1 contract unit of GBPINR
denotes GBP 1000

1 contract unit of JPY-INR
denotes JPY 100000

Underlying/Order Quotation

The exchange rate in Indian Rupees for US Dollars
The outstanding position will be in USD

The exchange rate in Indian
Rupees for EUR-INR
The outstanding position will be in EURO

The exchange rate in
Indian Rupees for GBP-INR
The outstanding position will be in GBP

The exchange rate in
Indian Rupees for JPY-INR
The outstanding position will be in JPY


Option Type Premium Style European Call and Put Options
Premium Premium qouted in INR
Tick Size 0.25 paise ie INR 0.0025
Price Precision 4 decimals
Trading hours Monday to Friday 9.00 am to 5.00 pm
Contract Trading Cycle 3 serial monthly contracts followed by 3 quarterly contract of the cycle
March/June/September/December
Strike Price Minimum 12 In-the -money, 12 Out- the- money and 1 Near-the-money. (25CE and 25 PE)
Strike Price Intervals INR 0.25
Price Bands A contract specific price range based on its delta value computed and updated on daily basis.
Maximum Quantity Limit 10000 lots per order
Base Price Theoretical price on the 1st day of the contract
On all other days, DSP of the contract.
Expiry/Last trading day Two working days prior to the last business day of the month at 12 .30 PM.
Exercise at expiry All in-the-moneys open long contracts shall be automatically exercised at the final settlement price.
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.
Position Limit Position Limits for CDS
Initial Margin SPAN based margin
Extreme Loss Margin 1.5% of Notional Value of open short position
Settlement of premium Premium to be paid by the buyer in cash on T+1 day
Settlement Daily Settlement : T+1
Final Settlement : T+2
Mode of Settlement Cash settled in Indian Rupees
Final Settlement Price (FSP) RBI reference rate on the date of the expiry of the contract