About Paired and Straddle Option Contracts
A Paired Option and Straddle contract is new facility being introduced in BSE Currency Derivatives segment. This facility allow trader to take positions across two different option contracts belonging to the same underlying asset by entering a single order.

Salient Features of Paired Option Contracts

  • Paired Options contracts are specialised two-legged contracts that allow a trader to take positions on two different option contracts belonging to the same product, at the same strike price and having the same expiry.
  • Market lot, tick size and expiry of such contract is same as that of its corresponding individual leg
  • These contracts are available on current, near, & far monthly as well as quarterly and half yearly option contracts.
  • Minimum two In-the-Money, two Out-of-the-Money and one At-the-Money paired option contracts will be made available. Once created, these contracts will be retained till expiry
  • 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.
  • Nomenclature of a paired option contract will be as follows:
    <Product code><Type of Contract i.e. CNV><Year and Month of Expiry><Strike price>
    Given below is an example of USDINR paired option contract with December 2015 expiry and 65.25 strike price.

    For example - USD CNV 15-DEC 65.2500
    USD: - Option product code as defined in contract master.
    CNV: - Paired Option Contract
    15 Dec: - Expiry Year and Month
    65.2500:- Strike Price

Salient Features of Straddle Contracts

  • Straddle contract is a specialised two-legged option contract. It comprises of two individual legs, the first being the call option leg and the second being the put option leg, having same strike price and expiry.
  • Market lot, tick size and expiry of such contract is same as that of its corresponding individual legs.
  • These contracts are available on current, near, & far monthly as well as quarterly and half yearly option contracts.
  • Minimum two In-the-Money, two Out-of-the-Money and one At-the-Money straddle contracts will be made available. Once created, these contracts will be retained till expiry.
  • Buying a straddle contract implies taking a buy position in the individual Call option contract and buy position in the individual Put option contract with same strike price and expiry.
  • Nomenclature of a straddle contract will be as follows:
    <Product code><Type of Contract i.e. STD><Year and Month of Expiry><Strike price>
    Given below is an example of USDINR paired option contract with December 2015 expiry and 65.25 strike price.

    For example: USD STD 15-DEC 65.2500
    USD: - Option product code as defined in contract master.
    STD: - Straddle Contract
    15 Dec: - Expiry Year and Month
    65.2500:- Strike Price

Contract Specifications of Paired Option contract available for Trading.

Underlying Asset USDINR
Contract Name USD CNV
Unit of trading 1 contract unit denotes USD 1000
Tick Size 0.25 paise or INR 0.0025
Strike Price Minimum two In-the-Money, two Out-of-the-Money and one At-the-Money paired option contracts will be made available
Strike Price Intervals INR 0.25
Price Precision 4 decimals
Underlying/Order Quotation The exchange rate in Indian Rupees for US Dollars
Trading Hours Monday to Friday - 9.00 am to 5.00 pm
Contract Trading Cycle Minimum two In-the-Money, two Out-of-the-Money and one At-the-Money paired option contracts will be made available
Maximum Quantity Limit 10000 lots per order
Close Price computation Difference between the closing price of Call option leg and Put option leg of the strategy contract having same strike price and expiry.

Total of close prices of Call option leg and Put option leg belonging to the same straddle contract having same strike price and expiry.
Last Trading Day Two working days prior to the last business day of the expiry month at 12.30 P.M


Contract Specifications of Straddle Option contract available for Trading.

Underlying Asset USDINR
Contract Name USD STD
Unit of trading 1 contract unit denotes USD 1000
Tick Size 0.25 paise or INR 0.0025
Strike Price Minimum two In-the-Money, two Out-of-the-Money and one At-the-Money paired option contracts will be made available
Strike Price Intervals INR 0.25
Price Precision 4 decimals
Underlying/Order Quotation The exchange rate in Indian Rupees for US Dollars
Trading Hours Monday to Friday - 9.00 am to 5.00 pm
Contract Trading Cycle Minimum two In-the-Money, two Out-of-the-Money and one At-the-Money straddle contracts will be made available
Maximum Quantity Limit 10000 lots per order
Close Price computation Difference between the closing price of Call option leg and Put option leg of the strategy contract having same strike price and expiry.

Total of close prices of Call option leg and Put option leg belonging to the same straddle contract having same strike price and expiry.
Last Trading Day Two working days prior to the last business day of the expiry month at 12.30 P.M

FAQs


Circulars

Notice No. Date Subject
20151201-26 01-Dec-15 Introduction of Straddle and Paired Option contracts in Currency Derivatives Segment
20151130-24 30-Nov-15 Modification in Contract Master File for Currency segment - Going live
20151130-19 30-Nov-15 Enhancement in Order Log File formats for Currency Derivatives Segment - Going live
20151123-34 23-Nov-15 Enhancement in Order Log File formats for Currency Derivatives Segment
20151116-30 16-Nov-15 Modification in Spread Contract Master file for Currency Derivatives Segment