Futures & Options

Segment 6
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 Futures & Options Segment 6
The Futures and Options segment of NSE witnessed huge increase in volumes during 2009-10 and
continued to achieve a commendable place on the international front. In the year 2009 NSE ranked
as the seventh largest derivatives exchange in the world1, the second largest exchange in single
stock futures and stock index options and the third largest in the stock index futures category. The
rankings are based in terms of number of contracts traded.2

The derivatives trading at NSE commenced on June 12, 2000 with futures trading on S&P CNX Nifty
Index. Subsequently, the product base has been increased to include trading in options on S&P CNX
Nifty Index, futures and options on CNX IT, Bank Nifty Nifty Midcap 50 Indices and 190 single stocks
(Table 6-1) as of March 2010. The various products on the derivative segment of NSE and their date
of launch is shown in the table below.

Products available for trading on Equity Derivatives Segment

Products on Derivative Segment Date of Launch

S&P CNX Nifty Futures June 12, 2000
S&P CNX Nifty Options June 4, 2001
Single Stock Options July 2, 2001
Single Stock Futures November 9, 2001
CNX IT Futures & Options August 29, 2003
Bank Nifty Futures & Options June 13, 2005
Nifty Midcap 50 Futures & Options October 5, 2007
Mini Nifty Futures & Options on S&P CNX Nifty January 1, 2008
Long term Options on S&P CNX Nifty March 3, 2008

Since inception, NSE established itself as the sole market leader in this segment in the country and
during 2009-10, it accounted for 99 % of the market share.

Trading Mechanism
The derivatives trading system at NSE is called NEAT-F&O trading system. It provides a fully
automated screen-based trading for all kind of derivative products available on NSE on a nationwide
basis. It supports an anonymous order driven market, which operates on a strict price/time priority.
It provides tremendous flexibility to users in terms of kinds of orders that can be placed on the
system. Various time and price related conditions like Immediate or Cancel, Limit/Market Price,
Stop Loss, etc. can be built into an order. Trading in derivatives is essentially similar to that of
trading of securities in the CM segment.

The NEAT-F&O trading system distinctly identifies two groups of users. The trading user more
popularly known as trading member has access to functions such as, order entry, order matching
and order & trade management. The clearing user (clearing member) uses the trader workstation
for the purpose of monitoring the trading member(s) for whom he clears the trades. Additionally,
he can enter and set limits on positions, which a trading member can take.

Contract Specification
The contract specification for derivative products traded on NSE are summarised in Table 6-2 &
Table 6-3.

At any point of time there are o nly three contract months available for trading, with 1 month,
1
FIA, March 2010
2
WFE

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 2 months and 3 months to expiry. These contracts expire on last Thursday of the expiry month
and have a maximum of 3-month expiration cycle. If the last Thursday is a trading holiday, the
contracts expire on the previous trading day. A new contract is introduced on the next trading day
following the expiry of the near month contract. All the derivatives contracts are presently cash
settled.

The long term option contracts are available for 3 serial month contracts, 3 quarterly months of
the cycle March / June / September / December and 8 following semi-annual months of the cycle
June / December. Thus, at any point in time there would be options contracts available up to 5
year tenure.

Selection Criteria for Stocks and Index eligibility for trading

Eligibility Criteria of Stocks

The eligibility criteria for inclusion of scrips in F&O segment is as under:

• The stock is chosen from amongst the top 500 stocks in terms of average daily market
capitalization and average daily traded value in the previous six months on a rolling basis.
• The stock’s median quarter sigma order size over the last six months should not be less than
` 5 lakh.
• The market wide position limit (MWPL) in the stock should not be less than ` 100 crore.

The criteria for exclusion of scrips in F&O segment will be as under:

For an existing F&O stock, the continued eligibility criteria is that market wide position limit in
the stock should not be less than ` 60 crores and stock’s median quarter-sigma order size over the
last six months shall be not less than ` 2 lakh. If the existing security fails to meet the eligibility
criteria for three months consecutively, then no fresh month contract would be issued on that
security. However, the existing unexpired contracts would be permitted to trade till expiry and
new strikes would also be introduced in the existing contract months. Further, once the stock is
excluded from the F&O list, it is not considered for re-inclusion for a period of one year.

Eligibility Criteria of Indices

• The Exchange may consider introducing derivative contracts on an index if the stocks
contributing to 80% weightage of the index are individually eligible for derivative trading.
However, no single ineligible stocks in the index should have a weightage of more than 5% in
the index..
• The above criteria is applied every month, if the index fails to meet the eligibility criteria for
three months consecutively, then no fresh month contract are issued on that index. However,
the existing unexpired contacts are permitted to trade till expiry and new strikes may also be
introduced in the existing contracts.

Re-introduction of dropped stocks

A stock which is dropped from derivatives trading may become eligible once again. In such
instances, the stock is required to fulfill the eligibility criteria for three consecutive months to be
re-introduced for derivatives trading.

Eligibility criteria of stocks for derivatives trading especially on account of corporate

restructuring

The eligibility criteria for stocks for derivatives trading on account of corporate restructuring is as
under. All the following conditions should be met in the case of shares of a company undergoing

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restructuring through any means for eligibility to reintroduce derivative contracts on that company
from the first day of listing of the post restructured company/(s) (as the case may be) stock
(herein referred to as post restructured company) in the underlying market.
a) The Futures and options contracts on the stock of the original (pre restructure) company were
traded on any exchange prior to its restructuring;
b) The pre restructured company had a market capitalisation of at least ` 1000 crores prior to its
restructuring;
c) The post restructured company would be treated like a new stock and if it is, in the opinion
of the exchange, likely to be at least one-third the size of the pre restructuring company in
terms of revenues, or assets, or (where appropriate) analyst valuations; and
d) In the opinion of the exchange, the scheme of restructuring does not suggest that the post
restructured company would have any characteristic (for example extremely low free float)
that would render the company ineligible for derivatives trading.

If the above conditions are satisfied, then the exchange takes the following course of action in
dealing with the existing derivative contracts on the pre-restructured company and introduction
of fresh contracts on the post restructured company
a) In the contract month in which the post restructured company begins to trade, the Exchange
introduce near month, middle month and far month derivative contracts on the stock of the
restructured company.
b) In subsequent contract months, the normal rules for entry and exit of stocks in terms of
eligibility requirements would apply. If these tests are not met, the exchange shall not permit
further derivative contracts on this stock and future month series shall not be introduced.

Trading Value & Contract Traded

The total turnover on the F&O Segment increased by 60.43 % to ` 17,663,665 crore (US $ 3,913,085
million) during 2009-10 as compared with ` 11,010,482 crore (US $ 2,161,037 million) during
2008-09. The average daily turnover during 2009-10 was ` 72,392 crore (US $ 16,037 million). The
business growth of F&O segment and the number of contracts traded during the year is presented
in Table 6-5 and Chart 6-1.

Chart 6-1: Business Growth of F&O Segment

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 The total number of contracts traded increased by 3 % to 68 crore contracts during 2009-10. Out
of the total contracts traded, 50.26 % of the contracts were traded on Index options followed by
index futures on which 26.25% of the contracts were traded. Number of contracts traded on Stock
futures was 21.45% while 2.06% of the total contracts were traded on stock options. (Chart 6-2).

Chart 6-2 : Product wise Number of Contracts Traded during 2009-10

Product wise turnover on F&O Segment:

During 2009-10, the traded value of index futures saw a year-on-year increase of 10.20 % and
amounted to ` 3,934,389 crore (US $ 871,597 million) in 2009-10 as against ` 3,570,111 crore
(US $ 700,709 million) during 2008-09.

The traded value in stock futures increased by 49.30 % to ` 5,195,247 crore (US $ 1,150,919
million) during 2009-10 over the turnover of ` 3,479,642 crore (US $ 682,952 million) during
2008-09.

Index options recorded turnover of ` 8,027,964 crore (US $ 1,778,459 million) during 2009-10,
an increase of 115.14 % over the turnover of ` 3,731,502 crore (US $ 732,385 million) during
2008-09.

Stock options recorded turnover of ` 506,065 crore (US $ 112,110 million) during
2009-10, a decrease of 120.77 % over the turnover of ` 229,227 crore (US $ 44,991 million) during
2008-09.

Index Options accounted for 45.45% of the total turnover during the 2009-10 fiscal followed by the
trading in stock futures at 29.41 %. (Chart 6-3)

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 Chart 6-3 Product wise trading volumes during 2009-10

Futures and Options on Benchmark Indices

The details of traded volumes on Index Futures and Options, having the underlying as the NSE
indices is shown in the table below.

Benchmark Indices Contracts & Trading Volume in F&O Segment of NSE (2009-10)

Products Underlying No. of Contracts Turnover

` cr. US $ mn
NIFTY S&P CNX Nifty 493,133,483 11,491,391 2,545,722
BANKNIFTY BANK Nifty 7,784,206 296,336 65,648
MINIFTY S&P CNX Nifty 18,699,392 170,675 37,810
JUNIOR* CNX Nifty Junior 23 2 0.33
CNXIT CNX IT 44,658 2,246 497
CNX100* CNX 100 99 3 1
Nifty Midcap 50 Nifty Midcap 50 24,551 1,699 376
Long term Option Contracts S&P CNX Nifty 657,205 16,632 3,684
DEFTY* S&P CNX Defty 0 0 0
TOTAL 520,343,617 11,978,985 2,653,740

* F&O contracts in Junior, CNX100 and Defty indices have been discountinued w.e.f. July 31,2009.

During 2009-10, the S&P CNX Nifty Index accounted for more than 95.93 % of the turnover in Index
futures and options. The S&P CNX Nifty accounted for 94.77 % of the total contracts.

Sectorwise Stock Futures & Options Turnover

Sectorwise turnover of stock futures and options is presented in the table below. Companies
belonging to the Manufacturing Sector and Infrastructure Sector accounted for 31.81 % and 18.68%
respectively of the total stock futures and options turnover on the Exchange .

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 Sectorwise Classification of turnover of the Single Stock Futures during 2009-10

Classification Total Turnover ( ` cr) Total Turnover ( US $ mn)

Manufacturing 1,183,445 401,738
Petrochemicals 675,955 149,746
Infrastructure 1,064,984 235,929
Banks 704,924 156,164
Information Technology 399,272 88,452
Finance 383,044 84,857
Telecommunication 225,280 49,907
Pharmaceuticals 118,527 26,258
ENGINEERING 115,135 25,506
FMCG 101,295 22,440
Media & Entertainment 36,461 8,077
Services 44,660 9,894
Miscellaneous 18,331 4,061
TOTAL 5,701,312 1,263,209

The stock futures and option turnover of top 5 companies in each sector for the period 2009-10 is
presented in Table 6-6.

Participant wise turnover on F&O Segment:

During 2009-10, the retail investors accounted for 54.86 % of the turnover on the F&O segment
of the Exchange. The gross turnover of the retail participants in the F&O Segment amounted to
` 19,378,966 crore (US $ 4,293,081 million) followed by the Proprietary segment with gross turnover
of ` 11,175,447 crore (US $ 2,475,730 million) and the Institutional players with gross turnover of
` 4,772,915 crore (US $ 1,057,358 million). The share of proprietary participants and institutional
participants in the gross turnover was 31.63 % and 13.51 % respectively.

The month wise details of the turnover for the participants in the F&O segment is presented in
Table 6-7 and Chart 6-4 shows the participant wise F&O turnover during 2009-10.

Chart 6-4 Participant wise F&O Turnover during 2008-09

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Memberwise turnover on the Exchange:

During 2009-10, there were 780 members which accounted for turnover of ` 1,000 crore and more
while 67 members registered turnover between ` 500 crore and ` 1,000 crore collectively in the
futures and options category. In the month of March 2010, 366 trading members accounted for a
turnover of ` 1,000 crore and more, which was the highest number of members during the fiscal
year 2009-10.

The number of members in different turnover brackets in Futures and Options segment is presented
6-8a & 6-8 b.

High Volume Members

In the Futures segment, the share of top 5 and top ‘10’ members in turnover was 15% and 22%
respectively , while in the options segment the share of top 5 and top 10 trading members in
turnover was 25% and 32 % respectively. (Table 6-8 c).

Internet Trading

At the end of March 2010, a total number of 356 members were permitted to allow investor’s
web based access to NSE’s trading system. The members of the exchange in turn had registered
3,529,947 clients for web based access as on March 31, 2010. In the Futures and Options Segment
the trading volume of ` 2,694,513 crore (US $ 596,924 million) during the year 2009-10, constituting
15.25 % of total trading volume was routed and executed through the internet. The following table
shows the growth of internet trading during the during 2006-07 to 2009-10.

Internet Trading in the F&O Segment of the Exchange

Year Enabled Registered Internet Trading Internet Trading % to Total

Members* Clients* Value Value Trading Value
( ` cr) (US $ mn)
2006-07 242 1,616,218 1,214,961 278,725 16.52

2007-08 305 3,432,771 2,417,165 604,745 18.47

2008-09 337 4,426,577 1,686,208 330,953 15.31

2009-10 356 3,529,947 2,694,513 596,924 15.25

* At the end of financial year.

Traded Value Records

Trading volumes in the F&O Segment during 2009-10 reached a high of ` 166,193 crore (US $ 36,817
million) on January 28, 2010. The following table gives the record turnover of different products
in the F&O Segment.

Records Achieved in the F&O Segment : 2009-10

Product Traded Value Traded Value Date

( ` cr.) (US $ mn.)

Index Futures 36,745 8,140 27-Jan-10

Stock Futures 43,370 9,608 28-Jan-10

Index Options 84,101 18,631 28-Jan-10

Stock Options 3,436 761 15-Jun-09

Total F&O Traded Value 166,193 36,817 28-Jan-10

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 Top 20 Futures and Option contracts

During 2009-10, top 20 Futures and options contracts in terms of number of contracts traded have
been presented in Table 6-8 and Table 6-9.

The top 20 Futures contracts accounted for 50.54% of the total no. of contracts traded in the
Futures segment while top 20 Option contracts accounted for 21.91% of the total option contracts
traded during 2009-10.

Among the top 20 future contracts, Nifty July 2009 futures accounted for 10.19% of the total top
20 contracts while Nifty May 2009 futures and Nifty August 2009 contributed 8.62% and 8.57%
respectively.

Top 3 option contracts on the basis of number of contracts traded during 2009-10 were Nifty Feb
2010 CE 4900, Nifty Dec 2009 CE 5200 and Nifty Feb 2010 PE 4800. Together these three option
contracts formed 19.86 % of the total number of contracts traded of top 20 option contracts.

Number of Trades
During 2009-10, maximum number of trades in the F&O Segment were witnessed in Stock Futures
(45.14%), Index futures (21.63%), Index Options (28.91%) and Stock Options (4.32%) as mentioned
in the table below.

Number of Trades in F&O Segment (2009-10)

Products Number of Trades (%)

Stock Futures 45.14

Index Futures 21.63

Index Options 28.91

Stock Options 4.32

TOTAL 100.00

The details of month wise trades on Index futures & options and stock futures & options is presented
in Table 6-11.

Charges
Brokerage Charges

The maximum brokerage chargeable by a trading member in relation to trades effected in the
contracts admitted to dealing on the F&O segment of NSE is fixed at 2.5% of the contract value
in case of index futures and stock futures. In case of index options and stock options it is 2.5%
of notional value of the contract [(Strike Price + Premium) × Quantity)], exclusive of statutory
levies.

Transaction Charges

The transaction charges payable to the exchange by the trading member for the trades executed
by him on the F&O segment were fixed at the rate of ` 2 per lakh of turnover (0.002%) subject to
a minimum of ` 1,00,000 per year.

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In continuation of the above the Exchange has reduced the transaction charges for trades done
in the Futures segment from its present level to a slab based structure as given below w.e.f 1st
October 2009.

Total Traded Value in a month Revised Transaction Charges

( ` per lakh of Traded Value)
Up to First ` 2500 cores ` 1.90 each side
More than ` 2500 crores up to ` 7500 crores ` 1.85 each side
(on incremental volume)
More than ` 7500 crores up to ` 15000 crores ` 1.80 each side
(on incremental volume)
Exceeding ` 15000 crores ` 1.75 each side
(on incremental volume)

The transactions in the options sub-segment the transaction charges are levied on the premium
value at the rate of 0.05% (each side) instead of on the strike price as levied earlier.

Securities Transaction Tax

The trading members are also required to pay securities transaction tax (STT) on non-delivery
transactions at the rate of 0.017 (payable by the seller) for derivatives w. e. f June 1, 2008.

Taxable securities transaction Rate (%) Taxable Value Payable by

Sale of an option in securities 0.017 Option premium Seller

Sale of an option in securities, where option is exercised 0.125 Settlement Price Purchaser
Sale of a futures in securities 0.017 Price at which such Seller
“Futures” is traded

Value of taxable securities transaction relating to an “option in securities” will be the option
premium, in case of sale of an option in securities.

Value of taxable securities transaction relating to an “option in securities” will be the settlement
price, in case of sale of an option in securities, where option is exercised.

Contribution to Investor Protection Fund (F&O Segment)

The trading members contribute to Investor Protection Fund of F&O segment at the rate of Re.1/-
per ` 100 crore of the traded value (each side) in case of Futures segment and ` 1/- per ` 100 crore
of the premium amount (each side) in case of Options segment.

CLEARING AND SETTLEMENT

Clearing and Settlement

NSCCL undertakes clearing and settlement of all trades executed on the F&O Segment of the
Exchange. It also acts as legal counterparty to all trades on this segment and guarantees their
financial settlement. The Clearing and Settlement process comprises of three main activities, viz.,
Clearing, Settlement and Risk Management.

Clearing Mechanism

The clearing mechanism essentially involves working out open positions and obligations of clearing
(self-clearing/trading-cum-clearing/professional clearing) members. This position is considered
for exposure and daily margin purposes. The open positions of CMs are arrived at by aggregating
the open positions of all the TMs and all custodial participants clearing through him, in contracts
in which they have traded. A TM’s open position is arrived at as the summation of his proprietary

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 open position and clients’ open positions, in the contracts in which he has traded. While entering
orders on the trading system, TMs are required to identify the orders. These orders can be
proprietary (if they are their own trades) or client (if entered on behalf of clients) through ‘Pro/
Cli’ indicator provided in the order entry screen. Proprietary positions are calculated on net basis
(buy - sell) for each contract. Clients’ positions are arrived at by summing together net (buy - sell)
positions of each individual client. A TM’s open position is the sum of proprietary open position,
client open long position and client open short position.

Settlement Mechanism

All futures and options contracts are cash settled i.e. through exchange of cash. The settlement
amount for a CM is netted across all their TMs/clients, with respect to their obligations on MTM,
premium and exercise settlement. For the purpose of settlement, all CMs are required to open a
separate bank account with NSCCL designated clearing banks for F&O segment.

Settlement of Futures Contracts on Index or Individual Securities

Futures contracts have two types of settlements, the MTM settlement which happens on a T+1 day
basis and the final settlement which happens on the next day of the expiry day

• MTM Settlement for Futures: The positions in futures contracts for each member are marked-
to-market to the daily settlement price of the relevant futures contract at the end of each
day. The CMs who have suffered a loss are required to pay the mark-to-market (MTM) loss
amount in cash which is in turn passed on to the CMs who have made a MTM profit. This is
known as daily mark-to-market settlement. CMs are responsible to collect and settle the
daily MTM profits/losses incurred by the TMs and their clients clearing and settling through
them. Similarly, TMs are responsible to collect/pay losses/ profits from/to their clients by the
next day. The pay-in and pay-out of the mark-to-market settlement are effected on the day
following the trade day (T+1).

After completion of daily settlement computation, all the open positions are reset to the daily
settlement price. Such positions become the open positions for the next day.

• Final Settlement for Futures: On the expiry day of the futures contracts, after the close of
trading hours, NSCCL marks all positions of a CM to the final settlement price and the resulting
profit/loss is settled in cash. Final settlement loss/profit amount is debited/credited to the
relevant CM’s clearing bank account on the day following expiry day of the contract.

• Settlement Prices for Futures: Daily settlement price on a trading day is the closing price
of the respective futures contracts on such day. The closing price for a futures contract is
currently calculated as the last half an hour weighted average price of the contract in the
F&O Segment of NSE. Final settlement price is the closing price of the relevant underlying
index/security in the Capital Market segment of NSE, on the last trading day of the contract.
The closing price of the underlying Index/security is currently its last half an hour weighted
average value in the Capital Market Segment of NSE.

Settlement of Options Contracts on Index or Individual Securities

Options contracts have three types of settlements, premium settlement, interim exercise settlement
in the case of option contracts on securities and final exercise settlement.

• Daily premium settlement

Buyer of an option is obligated to pay the premium towards the options purchased by him. Similarly,
the seller of an option is entitled to receive the premium for the option sold by him. The premium

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 payable amount and the premium receivable amount are netted to compute the net premium
payable or receivable amount for each client for each option contract.

• Interim exercise settlement

Interim exercise settlement takes place only for option contracts on securities. An investor
can exercise his in-the-money options at any time during trading hours, through his trading
member. Interim exercise settlement is effected for such options at the close of the trading
hours, on the day of exercise. Valid exercised option contracts are assigned to short positions
in the option contract with the same series (i.e. having the same underlying, same expiry
date and same strike price), on a random basis, at the client level. The CM who has exercised
the option receives the exercise settlement value per unit of the option from the CM who has
been assigned the option contract

• Final exercise settlement

Final exercise settlement is effected for all open long in-the-money strike price options
existing at the close of trading hours, on the expiration day of an option contract. All such
long positions are exercised and automatically assigned to short positions in option contracts
with the same series, on a random basis. The investor who has long in-the-money options on
the expiry date will receive the exercise settlement value per unit of the option from the
investor who is short on the option

• Settlement Prices for Options

Interim exercise settlement price for option contracts on individual securities

Interim Exercise settlement price for an option contract is the closing price of the relevant
underlying security in the Normal Market of the Capital market segment. The closing price
of the underlying Index/security is currently its last half an hour weighted average value in
the Capital Market Segment of NSE on the interim exercise day

Final Exercise settlement price for an option contract

Final Exercise settlement price for an option contract shall be the closing price of the relevant
underlying security/index in the Normal Market of the Capital market segment on the expiry
day. The closing price of the underlying Index/security is currently its last half an hour weighted
average value in the Capital Market Segment of NSE on expiry day

Settlement Statistics

All derivative contracts are currently cash settled. The participants discharge their obligations
through payment/receipt of cash. During 2009-109, such cash settlement amounted to ` 76,942.78
crore (US $ 17,045.37 million). The settlement of futures and options involved ` 62,050.97 crore
(US $ 13,746.34 million) and ` 14,891.81 (US $ 3,299.03 million) respectively. The details of
settlement in the futures and options segment is presented in Table 6-12.

RISK MANAGEMENT SYSTEM

NSCCL has developed a comprehensive risk containment mechanism for the F&O segment. The
salient features of risk containment measures on the F&O segment are:

• The financial soundness of the members is the key to risk management. Therefore, the
requirements for membership in terms of capital adequacy (net worth, security deposits) are
quite stringent. These requirements have already been explained in Table 2-1 in Chapter 2 of
this publication.

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 • NSCCL charges an upfront initial margin for all the open positions of a Clearing Member (CM).
It specifies the initial margin requirements for each futures/options contract on a daily basis.
It follows VaR-based margining computed through SPAN. The CM in turn collects the initial
margin from the trading members (TMs) and their respective clients.

• The open positions of the members are marked to market based on contract settlement price
for each contract at the end of the day. The difference is settled in cash on a T+1 basis.

• NSCCL’s on-line position monitoring system monitors a CM’s open position on a real-time basis.
Limits are set for each CM based on his effective deposits. The on-line position monitoring
system generates alert messages whenever a CM reaches 70 %, 80 %, 90 % and a disablement
message at 100 % of the limit. NSCCL monitors the CMs for Initial Margin violation, Exposure
margin violation, while TMs are monitored for Initial Margin violation and position limit
violation.

• CMs are provided a trading terminal for the purpose of monitoring the open positions of all
the TMs clearing and settling through him. A CM may set limits for a TM clearing and settling
through him. NSCCL assists the CM to monitor the intra-day limits set up by a CM and whenever
a TM exceed the limits, it stops that particular TM from further trading.

• A member is alerted of his position to enable him to adjust his exposure or bring in additional
capital. Margin violations result in disablement of trading facility for all TMs of a CM in case
of a violation by the CM.

• A separate Settlement Guarantee Fund for this segment has been created out of deposits of
members.

The most critical component of risk containment mechanism for F&O segment is the margining
system and on-line position monitoring. The actual position monitoring and margining is carried
out on-line through Parallel Risk Management System (PRISM) using SPAN(R)3∗ (Standard Portfolio
Analysis of Risk) system for the purpose of computation of on-line margins, based on the parameters
defined by SEBI.

NSE - SPAN ®

The objective of NSE-SPAN is to identify overall risk in a portfolio of all futures and options
contracts for each member. The system treats futures and options contracts uniformly, while at
the same time recognising the unique exposures associated with options portfolios, like extremely
deep out-of-the-money short positions and inter-month risk.

Its over-riding objective is to determine the largest loss that a portfolio might reasonably be
expected to suffer from one day to the next day based on 99% VaR methodology.

SPAN considers uniqueness of option portfolios. The following factors affect the value of an
option:
i. Underlying market price.
ii. Volatility (variability) of underlying instrument, and
iii. Time to expiration.

As these factors change, the value of options maintained within a portfolio also changes. Thus,
SPAN constructs scenarios of probable changes in underlying prices and volatilities in order to
identify the largest loss a portfolio might suffer from one day to the next. It then sets the margin
requirement to cover this one-day loss.

3 SPAN ® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under license.

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The complex calculations (e.g. the pricing of options) in SPAN are executed by NSCCL. The results
of these calculations are called risk arrays. Risk arrays, and other necessary data inputs for margin
calculation are provided to members daily in a file called the SPAN Risk Parameter file. Members
can apply the data contained in the Risk Parameter files, to their specific portfolios of futures and
options contracts, to determine their SPAN margin requirements.

Hence, members need not execute a complex option pricing calculations, which is performed by
NSCCL. SPAN has the ability to estimate risk for combined futures and options portfolios, and also
re-value the same under various scenarios of changing market conditions.

NSCCL generates six risk parameters file for a day taking into account price and volatilities at
various time intervals and are provided on the website of the Exchange.

Margins

The margining system for F&O segment is as below:

• Initial margin: Margin in the F&O segment is computed by NSCCL upto client level for open
positions of CMs/TMs. These are required to be paid up-front on gross basis at individual client
level for client positions and on net basis for proprietary positions. NSCCL collects initial
margin for all the open positions of a CM based on the margins computed by NSE-SPAN. A CM
is required to ensure collection of adequate initial margin from his TMs up-front. The TM is
required to collect adequate initial margins up-front from his clients.

• Premium Margin: In addition to Initial Margin, Premium Margin is charged at client level.
This margin is required to be paid by a buyer of an option till the premium settlement is
complete.

• Assignment Margin for Options on Securities: Assignment margin is levied in addition to initial
margin and premium margin. It is required to be paid on assigned positions of CMs towards
interim and final exercise settlement obligations for option contracts on individual securities,
till such obligations are fulfilled. The margin is charged on the net exercise settlement value
payable by a CM towards interim and final exercise settlement.

• Exposure Margins: Clearing members are subject to exposure margins in addition to initial
margins.

• Client Margins: NSCCL intimates all members of the margin liability of each of their client.
Additionally members are also required to report details of margins collected from clients to
NSCCL, which holds in trust client margin monies to the extent reported by the member as
having been collected form their respective clients.

Position Limits

The market wide limit of open position (in terms of the number of underlying stock) on futures and
option contracts on a particular underlying stock should be 20% of the number of shares held by
non-promoters in the relevant underlying security i.e. free–float holding. This limit is applicable
on all open positions in all futures and option contracts on a particular underlying stock. The
enforcement of the market wide limits is done in the following manner:

• At end of the day the exchange tests whether the market wide open interest for any scrip
exceeds 95% of the market wide position limit for that scrip. In case it does so, the exchange
takes note of open position of all client/TMs as at end of that day for that scrip and from next
day onwards they can trade only to decrease their positions through offsetting positions.

119
 • At the end of each day during which the ban on fresh positions is in force for any scrip,
the exchange tests whether any member or client has increased his existing positions or
has created a new position in that scrip. If so, that client is subject to a penalty equal to
a specified percentage (or basis points) of the increase in the position (in terms of notional
value). The penalty is recovered before trading begins next day.

• The normal trading in the scrip is resumed after the open outstanding position comes down
to 80% or below of the market wide position limit. Further, the exchange also checks on
a monthly basis, whether a stock has remained subject to the ban on new position for a
significant part of the month consistently for three months. If so, then the exchange phases
out derivative contracts on that underlying.

Trading Member wise Position Limits

Index Futures Contract:

The trading member position limits in equity index futures contracts is higher of ` 500 Crore or
15% of the total open interest in the market in equity index futures contracts. This limit would be
applicable on open positions in all futures contracts on a particular underlying index.

Index Options Contract:

The trading member position limits in equity index option contracts is higher of ` 500 Crore or
15% of the total open interest in the market in equity index option contracts. This limit would be
applicable on open positions in all option contracts on a particular underlying index.

Futures and Option contracts on individual securities :

i. For stocks having applicable market-wise position limit (MWPL) of ` 500 crores or more,
the combined futures and options position limit is 20% of applicable MWPL or ` 300 crores,
whichever is lower and within which stock futures position cannot exceed 10% of applicable
MWPL or ` 150 crores, whichever is lower.

ii. For stocks having applicable market-wise position limit (MWPL) less than ` 500 crores, the
combined futures and options position limit would be 20% of applicable MWPL and futures
position cannot exceed 20% of applicable MWPL or ` 50 crore which ever is lower. The Clearing
Corporation shall specify the trading member-wise position limits on the last trading day of
the month which shall be reckoned for the purpose during the next month.

Client level position limits

The gross open position for each client, across all the derivative contracts on an underlying,
should not exceed 1% of the free float market capitalization (in terms of number of shares) or 5%
of the open interest in all derivative contracts in the same underlying stock (in terms of number
of shares) whichever is higher.

Disclosure for Client Positions in Index based contracts

Any person or persons acting in concert who together own 15% or more of the open interest on a
particular underlying index is required to report this fact to the Exchange/ Clearing Corporation.
Failure to do so shall be treated as a violation and shall attract appropriate penal and disciplinary
action in accordance with the Rules, Byelaws and Regulations of Clearing Corporation.

120
Position limits for FII, Mutual Funds:

FII & MF Position limits in Index options contracts: FII & MF position limit in all index options
contracts on a particular underlying index is ` 500 Crores or 15 % of the total open interest of the
market in index options, whichever is higher. This limit would be applicable on open positions in
all options contracts on a particular underlying index.

FII & MF Position limits in Index futures contracts : FII & MF position limit in all index futures
contracts on a particular underlying index is ` 500 crores or 15 % of the total open interest of the
market in index futures, whichever is higher. This limit would be applicable on open positions in
all futures contracts on a particular underlying index.

In addition to the above, FIIs & MF’s shall take exposure in equity index deriv atives subject to
the following limits:

a) Short positions in index derivatives (short futures, short calls and long puts) not exceeding (in
notional value) the FII’s / MF’s holding of stocks.

b) Long positions in index derivatives (long futures, long calls and short puts) not exceeding
(in notional value) the FII’s / MF’s holding of cash, government securities, T-Bills and similar
instruments.

The FIIs should report to the clearing members (custodian) the extent of the FIIs holding of stocks,
cash, government securities, T-bills and similar instruments before the end of the day. The clearing
member (custodian) in turn should report the same to the exchange. The exchange monitors the FII
position limits. The position limit for sub-account is same as that of client level position limits.

Stock Futures & Options:

For stocks having applicable market-wise position limit (MWPL) of ` 500 crores or more, the
combined futures and options position limit is 20% of applicable MWPL or ` 300 crores, whichever
is lower and within which stock futures position cannot exceed 10 % of applicable MWPL or ` 150
crores, whichever is lower.

For stocks having applicable market-wise position limit (MWPL) less than ` 500 crores, the combined
futures and options position limit is 20% of applicable MWPL and futures position cannot exceed
20 % of applicable MWPL or ` 50 crore which ever is lower

121
 Table 6-1 : List of Securities on which Futures & Options available at NSE
(as on 31 March 2010)
Sr.No Security Symbol Launch Date Market Lot
1 ABAN OFFSHORE LTD. ABAN 29-Dec-06 400
2 ABB LTD. ABB 20-Apr-05 500
3 ADITYA BIRLA NUVO LIMITED ABIRLANUVO 14-May-07 400
4 ACC LIMITED ACC 02-Jul-01 376
5 ADANI ENTERPRISES LIMITED ADANIENT 19-Feb-10 400
6 ALLAHABAD BANK ALBK 20-Apr-05 2450
7 AMBUJA CEMENTS LTD AMBUJACEM 02-Jul-01 4124
8 ANDHRA BANK ANDHRABANK 29-Aug-03 2300
9 ALSTOM PROJECTS INDIA LTD APIL 14-May-07 600
10 APOLLO TYRES LTD APOLLOTYRE 19-Feb-10 3400
11 AREVA T&D INDIA LIMITED AREVAT&D 19-Feb-10 750
12 ASHOK LEYLAND LTD ASHOKLEY 20-Apr-05 9550
13 ASIAN PAINTS LIMITED ASIANPAINT 21-Aug-08 200
14 AUROBINDO PHARMA LTD AUROPHARMA 12-May-05 700
15 AXIS BANK LIMITED AXISBANK 20-Apr-05 450
16 BAJAJ AUTO LIMITED BAJAJ-AUTO 26-May-08 200
17 BAJAJ HINDUSTAN LTD BAJAJHIND 29-Dec-06 1425
18 BALRAMPUR CHINI MILLS LTD BALRAMCHIN 29-Dec-06 2400
19 BANK OF BARODA BANKBARODA 29-Aug-03 700
20 BANK OF INDIA BANKINDIA 29-Aug-03 950
21 BHARAT ELECTRONICS LTD BEL 31-Jan-03 276
22 BEML LIMITED BEML 29-Dec-06 375
23 BGR ENERGY SYSTEMS LTD BGRENERGY 19-Feb-10 400
24 BHARAT FORGE LTD BHARATFORG 20-Apr-05 2000
25 BHARTI AIRTEL LIMITED BHARTIARTL 20-Apr-05 500
26 BHEL BHEL 02-Jul-01 150
27 BHUSHAN STEEL LIMITED BHUSANSTL 06-Sep-07 500
28 BIOCON LIMITED. BIOCON 06-Sep-07 1800
29 BOSCH LIMITED BOSCHLTD 30-Nov-07 100
30 BHARAT PETROLEUM CORP LT BPCL 02-Jul-01 550
31 BOMBAY RAYON FASHIONS LTD BRFL 14-May-07 1150
32 CAIRN INDIA LIMITED CAIRN 09-Jan-07 1250
33 CANARA BANK CANBK 29-Aug-03 800
34 CENTURY TEXTILES LTD CENTURYTEX 20-Apr-05 848
35 CESC LTD CESC 12-May-05 1100
36 CHAMBAL FERTILIZERS LTD CHAMBLFERT 12-May-05 3450
37 CHENNAI PETROLEUM CORP LT CHENNPETRO 20-Apr-05 1800
38 CIPLA LTD CIPLA 02-Jul-01 1250
39 COLGATE PALMOLIVE LTD. COLPAL 17-Dec-07 550
40 CONTAINER CORP OF IND LTD CONCOR 21-Aug-08 250
41 CROMPTON GREAVES LTD CROMPGREAV 29-Dec-06 1750
42 CUMMINS INDIA LTD CUMMINSIND 20-Apr-05 950
43 DABUR INDIA LTD DABUR 20-Apr-05 2700
44 DECCAN CHRONICLE HOLD LTD DCHL 21-Aug-08 3400
45 DENA BANK DENABANK 14-May-07 5250
46 DISH TV INDIA LTD. DISHTV 21-Aug-08 5150
47 DIVI’S LABORATORIES LTD DIVISLAB 12-May-05 620
Contd...

122
Contd...
Sr.No Security Symbol Launch Date Market Lot
48 DLF LIMITED DLF 05-Jul-07 800
49 DR. REDDY’S LABORATORIES DRREDDY 02-Jul-01 400
50 EDUCOMP SOLUTIONS LTD EDUCOMP 14-May-07 375
51 EVEREST KANTO CYLINDERLTD EKC 14-May-07 2000
52 ESSAR OIL LTD ESSAROIL 12-May-05 1412
53 FEDERAL BANK LTD FEDERALBNK 12-May-05 851
54 FINANCIAL TECHNO (I) LTD FINANTECH 14-May-07 150
55 FORTIS HEALTHCARE LTD FORTIS 19-Feb-10 1300
56 FIRSTSOURCE SOLU. LTD. FSL 21-Aug-08 9500
57 GAIL (INDIA) LTD GAIL 26-Sep-03 1125
58 THE GE SHPG.LTD GESHIP 27-Nov-06 1200
59 GLAXOSMITHKLINE PHARMA LT GLAXO 20-Apr-05 300
60 GMR INFRASTRUCTURE LTD. GMRINFRA 21-Aug-06 2500
61 GODREJ INDUSTRIES LTD GODREJIND 19-Feb-10 1300
62 GRASIM INDUSTRIES LTD GRASIM 02-Jul-01 176
63 GUJARAT STATE PETRO LTD GSPL 21-Aug-08 6100
64 GTL LTD GTL 29-Dec-06 750
65 GTL INFRA.LTD GTLINFRA 21-Aug-08 4850
66 GREAT OFFSHORE LTD GTOFFSHORE 30-Nov-07 1000
67 GVK POW. & INFRA LTD. GVKPIL 21-Aug-08 4750
68 HINDUSTAN CONSTRUCTION CO HCC 29-Dec-06 2100
69 HCL TECHNOLOGIES LTD HCLTECH 31-Jan-03 1300
70 HDFC LTD HDFC 02-Jul-01 150
71 HDFC BANK LTD HDFCBANK 29-Aug-03 200
72 HOUSING DEV & INFRA LTD HDIL 24-Jul-07 774
73 HERO HONDA MOTORS LTD HEROHONDA 31-Jan-03 200
74 HINDALCO INDUSTRIES LTD HINDALCO 02-Jul-01 3518
75 HINDUSTAN PETROLEUM CORP HINDPETRO 02-Jul-01 650
76 HINDUSTAN UNILEVER LTD. HINDUNILVR 02-Jul-01 1000
77 HINDUSTAN ZINC LIMITED HINDZINC 30-Nov-07 500
78 HOTEL LEELA VENTURES LTD HOTELEELA 14-May-07 7500
79 INDIABULLS REAL EST. LTD IBREALEST 21-Aug-08 1300
80 ICICI BANK LTD. ICICIBANK 31-Jan-03 350
81 ICSA (INDIA) LIMITED ICSA 21-Aug-08 1200
82 IDBI BANK LIMITED IDBI 20-Apr-05 2400
83 IDEA CELLULAR LIMITED IDEA 09-Mar-07 2700
84 INFRA. DEV. FIN. CO. LTD IDFC 12-Aug-05 2950
85 IFCI LTD IFCI 27-May-05 7880
86 THE INDIAN HOTELS CO. LTD INDHOTEL 20-Apr-05 3798
87 THE INDIA CEMENTS LIMITED INDIACEM 27-May-05 1450
88 INDIA INFOLINE LIMITED INDIAINFO 14-May-07 2500
89 INDIAN BANK INDIANB 01-Mar-07 2200
90 INFOSYS TECHNOLOGIES LTD INFOSYSTCH 02-Jul-01 200
91 INDIAN OVERSEAS BANK IOB 20-Apr-05 2950
92 INDIAN OIL CORP LTD IOC 26-Sep-03 1200
93 ISPAT INDUSTRIES LIMITED ISPATIND 30-Nov-07 12450
94 ITC LTD ITC 02-Jul-01 1125
95 IVRCL INFRAST & PROJ LTD. IVRCLINFRA 27-May-05 2000

Contd...

123
 Contd...
Sr.No Security Symbol Launch Date Market Lot
96 JINDAL SAW LIMITED JINDALSAW 30-Nov-07 5000
97 JINDAL STEEL & POWER LTD JINDALSTEL 20-Apr-05 960
98 JAIN IRRIGATION SYSTEMS JISLJALEQS 19-Feb-10 250
99 JAIPRAKASH ASSOCIATES LTD JPASSOCIAT 29-Dec-06 1688
100 JAIPRAKASH POWER VEN. LTD JPPOWER 18-Apr-05 3125
101 JSW STEEL LIMITED JSWSTEEL 29-Dec-06 412
102 KINGFISHER AIRLINES LTD KFA 14-May-07 4250
103 KOTAK MAHINDRA BANK LTD KOTAKBANK 29-Dec-06 550
104 K S OILS LIMITED KSOILS 21-Aug-08 5900
105 LIC HOUSING FINANCE LTD LICHSGFIN 20-Apr-05 425
106 LANCO INFRATECH LTD. LITL 27-Nov-06 6380
107 LARSEN & TOUBRO LTD. LT 15-Sep-06 200
108 LUPIN LIMITED LUPIN 29-Dec-06 350
109 MAHINDRA & MAHINDRA LTD M&M 02-Jul-01 624
110 MARUTI SUZUKI INDIA LTD. MARUTI 09-Jul-03 200
111 UNITED SPIRITS LIMITED MCDOWELL-N 29-Dec-06 250
112 MCLEOD RUSSEL INDIA LTD. MCLEODRUSS 19-Feb-10 900
113 MERCATOR LINES LIMITED MLL 21-Aug-08 4900
114 MOSER-BAER (I) LTD MOSERBAER 14-May-07 2475
115 MPHASIS LIMITED MPHASIS 12-May-05 800
116 MRPL MRPL 20-Apr-05 4450
117 MAHANAGAR TELEPHONE NIGAM MTNL 02-Jul-01 3200
118 MUNDRA PORT & SEZ LTD MUNDRAPORT 19-Feb-10 300
119 NAGARJUNA CONSTRN. CO. LT NAGARCONST 29-Dec-06 2000
120 NAGARJUNA FERT & CHEM LTD NAGARFERT 27-May-05 5250
121 NATIONAL ALUMINIUM CO LTD NATIONALUM 31-Jan-03 575
122 NEYVELI LIGNITE CORPORATI NEYVELILIG 20-Apr-05 1475
123 NOIDA TOLL BRIDGE CO LTD NOIDATOLL 21-Aug-08 8200
124 NTPC LTD NTPC 05-Nov-04 1625
125 ORACLE FIN SERV SOFT LTD. OFSS 30-May-03 300
126 OIL AND NATURAL GAS CORP. ONGC 31-Jan-03 225
127 ONMOBILE GLOBAL LTD. ONMOBILE 19-Feb-10 550
128 OPTO CIRCUITS (I) LTD. OPTOCIRCUI 21-Aug-08 2040
129 ORCHID CHEM & PHARMA LTD ORCHIDCHEM 12-May-05 2100
130 ORIENTAL BANK OF COMMERCE ORIENTBANK 29-Aug-03 1200
131 PANTALOON RETAIL (I) LTD PANTALOONR 14-May-07 850
132 PATEL ENGINEERING LTD. PATELENG 14-May-07 1000
133 PATNI COMPUTER SYST LTD PATNI 20-Apr-05 1300
134 PETRONET LNG LIMITED PETRONET 14-May-07 4400
135 POWER FIN CORP LTD. PFC 23-Feb-07 1200
136 PIRAMAL HEALTHCARE LTD PIRHEALTH 15-Feb-08 1500
137 PUNJAB NATIONAL BANK PNB 29-Aug-03 300
138 POLARIS SOFTWARE LAB LTD POLARIS 31-Jan-03 2800
139 POWER GRID CORP. LTD. POWERGRID 05-Oct-07 1925
140 PRAJ INDUSTRIES LTD PRAJIND 29-Dec-06 2200
141 PTC INDIA LIMITED PTC 21-Aug-08 2350
142 PUNJ LLOYD LIMITED PUNJLLOYD 06-Jan-06 1500
143 RANBAXY LABS LTD RANBAXY 02-Jul-01 800

Contd...

124
Contd...
Sr.No Security Symbol Launch Date Market Lot
144 RELIANCE COMMUNICATIONS L RCOM 15-Sep-06 700
145 RURAL ELEC CORP. LTD. RECLTD 12-Mar-08 1950
146 RELIANCE CAPITAL LTD RELCAPITAL 20-Apr-05 276
147 RELIANCE INDUSTRIES LTD RELIANCE 02-Jul-01 300
148 RELIANCE INFRASTRUCTU LTD RELINFRA 02-Jul-01 276
149 RELIANCE MEDIAWORKS LTD RELMEDIA 31-Jul-09 600
150 SHREE RENUKA SUGARS LTD RENUKA 29-Dec-06 5000
151 REL. NAT. RESOURCES LTD. RNRL 14-May-07 3576
152 ROLTA INDIA LTD ROLTA 14-May-07 1800
153 RELIANCE POWER LTD. RPOWER 11-Feb-08 2000
154 STEEL AUTHORITY OF INDIA SAIL 15-Sep-06 1350
155 STATE BANK OF INDIA SBIN 02-Jul-01 132
156 SHIPPING CORP OF INDIA LT SCI 31-Jan-03 2400
157 SESA GOA LTD SESAGOA 29-Dec-06 1500
158 SIEMENS LTD SIEMENS 20-Apr-05 752
159 SINTEX INDUSTRIES LTD SINTEX 21-Aug-08 1400
160 STERLITE INDS (IND) LTD STER 20-Apr-05 438
161 STERLING BIOTECH LTD STERLINBIO 14-May-07 2500
162 SUN PHARMACEUTICALS IND. SUNPHARMA 20-Apr-05 225
163 SUN TV NETWORK LIMITED SUNTV 24-Apr-06 1000
164 SUZLON ENERGY LIMITED SUZLON 19-Oct-05 3000
165 SYNDICATE BANK SYNDIBANK 26-Sep-03 3800
166 TATA CHEMICALS LTD TATACHEM 20-Apr-05 1350
167 TATA COMMUNICATIONS LTD TATACOMM 20-Apr-05 525
168 TATA MOTORS LIMITED TATAMOTORS 02-Jul-01 850
169 TATA POWER CO LTD TATAPOWER 02-Jul-01 200
170 TATA STEEL LIMITED TATASTEEL 02-Jul-01 764
171 TATA TEA LTD TATATEA 02-Jul-01 550
172 TATA CONSULTANCY SERV LT TCS 25-Aug-04 1000
173 TECH MAHINDRA LIMITED TECHM 06-Sep-07 600
174 TITAN INDUSTRIES LTD TITAN 12-May-05 206
175 TRIVENI ENGG. & INDS. LTD TRIVENI 29-Dec-06 3850
176 TATA TELESERV(MAHARASTRA) TTML 29-Dec-06 10450
177 TULIP TELECOM LIMITED TULIP 06-Sep-07 500
178 TV18 INDIA LIMITED TV-18 21-Aug-08 1825
179 UCO BANK UCOBANK 21-Aug-08 5000
180 ULTRATECH CEMENT LIMITED ULTRACEMCO 29-Dec-06 400
181 UNION BANK OF INDIA UNIONBANK 29-Aug-03 1050
182 UNITED PHOSPHORUS LIMITED UNIPHOS 14-May-07 1400
183 UNITECH LTD UNITECH 14-May-07 4500
184 VIDEOCON INDUSTRIES LIMIT VIDEOIND 19-Feb-10 854
185 VIJAYA BANK VIJAYABANK 20-Apr-05 6900
186 VOLTAS LTD VOLTAS 29-Dec-06 2700
187 WELSPUN GUJ ST. RO. LTD. WELGUJ 06-Sep-07 1600
188 WIPRO LTD WIPRO 31-Jan-03 600
189 YES BANK LIMITED YESBANK 06-Sep-07 2200
190 ZEE ENTERTAINMENT ENT LTD ZEEL 12-Feb-07 1400

125
126
Table 6-2 : Contract Specification for Index Futures and Options

Particulars Index Futures Index Options Mini Index Futures Mini Index Options Long Term Index Options

Security Description FUTIDX OPTIDX FUTIDX --------------------------------OPTIDX--------------------------------

Underlying Index S&P CNX Nifty/ Bank Nifty/ CNX IT/Nifty Midcap 50 ----------------------------------------------S&P CNX Nifty----------------------------------------------

Style of Option NA European NA -------------------------------European-------------------------------

Contract Size As specified by SEBI, currently minimum ` 2 lakhs at the As specified by SEBI currently minimum ` 1 lakh at the time As specified by SEBI currently
time of introduction of introduction minimum ` 2 lakhs at the
time of introduction
Price Step ` 0.05

Last Trading/Expiration Day Last Thursday of the expiry month or the preceding trading day, if last Thursday is a trading holiday

Expiration Period upto 3 months upto 5 years

Trading Cycle 3 month trading cycle - the near month (one), the next month (two) and the far month (three) Three quarterly expiries
(March, June, Sept & Dec
cycle) and next 8 half yearly
expiries (Jun, Dec cycle)
Price Bands Operating range of 10% of A contract specific price Operating range of 10% of A contract specific price range based on its delta value is
the base price range based on its delta the base price computed and updated on a daily basis
value is computed and
updated on a daily basis
Strike Price Intervals NA Depending on the underlying NA Depending on the underlying price as in Table 6-2a
price as in Table 6-2a

Table 6-2 a : Strike Price Intervals for Index Options

The number of contracts provided in options on index is based on the range in previous day’s closing value of the
underlying index and applicable as per the following table:
Index Level Strike Interval Scheme of Strike to be introduced
upto 2000 50 4- 1- 4
>2001 upto 4000 100 6- 1- 6
>4001 upto 6000 100 6- 1- 6
>6000 100 7- 1-7
The above strike parameters scheme shall be applicable for all Long terms contracts also.
 Table 6-3 : Contract Specification for Stock Futures and Options

Particulars Stock Futures Stock Options

Security Description FUTSTK OPTSTK

Underlying Individual Securities

Style of Option NA American

Contract Size As specified by SEBI; Currently minimum ` 2 lakhs at the time of
introduction
Price Steps ` 0.05
Expiration Period Upto 3 months
Trading Cycle 3 month trading cycle - the near month (one), the next month (two)
and the far month (three)
Last Trading/Expiration Day Last Thursday of the expiry month or the preceding trading day, if last
Thursday is a trading holiday
Price Bands Operating range of 20% of the A contract specific price range
base price based on its delta value is
computed and updated on a daily
basis
Strike Price Intervals NA Depending on the underlying price
as in Table 6-3 a

Table 6-3 a : Strike Price Intervals for Index Options

Underlying Closing Price
Less than or equal to ` 50
Strike Price Interval No. of Strikes Provided
In the money- At the
money- Out of the
money
2.5 5- 1- 5
No. of additional
strikes which may be
enabled intraday in
either direction
5

> ` 50 to ≤ ` 100 5 5- 1- 5 5

> ` 100 to ≤ ` 250 10 5- 1- 5 5

> ` 250 to ≤ ` 500 20 5- 1- 5 5

> ` 500 to ≤ ` 1000 20 10- 1- 10 10

> ` 1000 50 10- 1- 10 10

The Exchange, at its discretion, may enable additional strikes as mentioned in the above table in the direction
of the price movement, intraday, if required. The additional strikes may be enabled during the day at regular
intervals and message for the same shall be broadcast to all trading terminals.
New contracts with new strike prices for existing expiration date are introduced for trading on the next
working day based on the previous day’s underlying close values, as and when required. In order to decide
upon the at-the-money strike price, the underlying closing value is rounded off to the nearest strike price
interval.
The in-the-money strike price and the out-of-the-money strike price are based on the at-the-money strike
price interval.

127
 Table 6-4 : Settlement Price Equity Derivatives

Product Settlement Schedule

Futures Contracts Daily Settlement Closing price of the futures contracts on the
on Index or trading day. (closing price for a futures contract
Individual Security shall be calculated on the basis of the last half an
hour weighted average price of such contract)

Un-expired illiquid Daily Settlement Theoretical Price computed as per formula F=S *
futures contracts ert

Futures Contracts Final Settlement Closing price of the relevant underlying index /
on Index or security in the Capital Market segment of NSE, on
Individual Securities the last trading day of the futures contracts.

Options Contracts Interim Exercise Settlement Closing price of such underlying security on the
on Individual day of exercise of the options contract.
Securities

Options Contracts Final Exercise Settlement Closing price of such underlying security (or index)
on Index and on the last trading day of the options contract.
Individual Securities

128
 Table 6-5 : Business Growth of Futures & Options Market Segment

Month/ Index Futures Stock Futures Index Options Stock Options Total Average Daily
Year Call Put Call Put Trading Volume
Contracts Trading Contracts Trading Contracts Notional Contracts Notional Contracts otional Contracts Notional Contracts Trading Volume
Traded Volume Traded Value Traded Trading Traded Trading Traded Trading Traded Trading Traded
Volume Volume Volume Volume
(No.) ( ` cr.) (No.) ( ` cr) (No.) ( ` cr) (No.) ( ` cr) (No.) ( ` cr) (No.) ( ` cr) (No.) ( ` cr) (US $ mn) ( ` cr) (US $ mn)

Jun-00 to 90,580 2,365 – – – – – – – – – – 90,580 2,365 555 12 2.49

Mar-01
2001-02 1,025,588 21,482 1,957,856 51,516 113,974 2,466 61,926 1,300 768,159 18,780 269,370 6,383 4,196,873 101,927 20,887 413 8.46

2002-03 2,126,763 43,951 10,676,843 286,532 269,674 5,670 172,567 3,577 2,456,501 69,644 1,066,561 30,489 16,768,909 439,864 92,603 1,752 368.94

2003-04 17,191,668 554,462 32,368,842 1,305,949 1,043,894 31,801 688,520 21,022 4,248,149 168,174 1,334,922 49,038 56,886,776 2,130,649 491,046 8,388 1933.25

2004-05 21,635,449 772,174 47,043,066 1,484,067 1,870,647 69,373 1,422,911 52,581 3,946,979 132,066 1,098,133 36,792 77,017,185 2,547,053 582,183 10,067 2301.12

2005-06 58,537,886 1,513,791 79,586,852 2791721 6,413,467 168,632 6,521,649 169,837 4,165,996 143,752 1,074,780 36,518 156,300,630 4,824,250 1,081,428 19,220 4308.48

2006-07 81,487,424 2,539,575 104,955,401 3,830,972 12,632,349 398,219 12,525,089 393,693 4,394,292 161,902 889,018 31,909 216,883,573 7,356,271 1,687,605 29,543 6777.53

2007-08 156,598,579 3,820,667 203,587,952 7,548,563 26,667,882 668,816 28,698,156 693,295 8,002,713 308,443 1,457,918 50,693 425,013,200 13,090,478 3,275,076 52,153 13,048

Apr-08 12,063,172 280,100 15,601,531 336,901 2,672,588 67,954 2,692,643 65,611 573,744 13,139 126,146 2,725 33,729,824 766,431 150,428 38,322 7,521

May-08 11,161,427 267,641 16,693,260 380,161 2,243,173 58,115 2,835,787 70,951 740,079 17,239 166,329 3,801 33,840,055 797,908 156,606 39,895 7,830

Jun-08 17,941,870 377,939 19,154,946 375,987 6,056,056 139,919 7,508,380 168,790 740,229 17,009 199,648 4,421 51,601,129 1,084,064 212,770 51,622 10,132

Jul-08 20,423,139 395,380 22,232,227 382,601 9,144,707 198,174 7,744,997 159,035 944,602 19,354 307,688 5,630 60,797,360 1,160,174 227,708 50,442 9,900

Aug-08 14,433,984 300,449 17,594,216 324,011 7,568,163 174,797 6,267,479 137,305 820,895 16,880 208,806 4,003 46,893,543 957,445 187,919 47,872 9,396

Sep-08 19,332,343 380,198 20,076,138 332,728 12,161,148 268,033 9,237,282 193,589 1,035,531 18,688 269,124 4,636 62,111,566 1,197,872 235,107 57,042 11,196

Oct-08 21,649,445 324,962 19,858,409 239,264 12,967,476 231,565 7,769,905 132,945 689,231 9,951 200,362 2,960 63,134,828 941,646 184,818 47,082 9,241

Nov-08 19,471,367 256,950 17,949,270 187,211 10,296,361 158,042 9,624,563 134,092 561,864 6,429 241,953 2,632 58,145,378 745,356 146,292 41,409 8,127

Dec-08 20,007,895 269,997 22,262,785 230,466 11,144,623 171,697 10,014,156 141,919 927,467 10,562 436,840 4,526 64,793,766 829,166 162,741 39,484 7,750

Jan-09 17,695,542 234,141 22,814,332 215,830 10,573,686 158,702 10,641,985 150,570 1,214,695 12,872 562,425 6,004 63,502,665 778,118 152,722 38,906 7,636

Contd...

129
130
Contd...
Month/ Index Futures Stock Futures Index Options Stock Options Total Average Daily
Year Call Put Call Put Trading Volume
Contracts Trading Contracts Trading Contracts Notional Contracts Notional Contracts otional Contracts Notional Contracts Trading Volume
Traded Volume Traded Value Traded Trading Traded Trading Traded Trading Traded Trading Traded
Volume Volume Volume Volume
(No.) ( ` cr.) (No.) ( ` cr) (No.) ( ` cr) (No.) ( ` cr) (No.) ( ` cr) (No.) ( ` cr) (No.) ( ` cr) (US $ mn) ( ` cr) (US $ mn)

Feb-09 15,750,767 205,679 17,156,838 185,121 9,986,938 147,329 11,488,263 158,270 893,075 10,387 468,695 5,585 55,744,576 712,370 139,818 37,493 7,359

Mar-09 20,497,152 276,677 10,184,028 289,362 15,617,055 228,218 15,831,030 215,881 621,556 19,332 344,986 10,461 63,095,807 1,039,931 204,108 51,997 10,205

2008-09 210,428,103 3,570,111 221,577,980 3,479,642 110,431,974 2,002,544 101,656,470 1,728,957 9,762,968 171,843 3,533,002 57,384 657,390,497 11,010,482 2,161,037 45,311 8,893

Apr-09 18,662,382 301,764 9,858,642 356,383 13,687,468 240,150 13,194,502 213,639 558,380 22,168 248,943 9,259 56,210,317 1,143,362 253,293 67,257 14,900

May-09 16,617,516 317,415 9,528,178 448,155 11,196,349 235,522 10,299,192 194,993 485,011 24,185 159,269 6,983 48,285,515 1,227,252 271,877 61,363 13,594

Jun-09 16,207,959 346,934 11,127,649 589,657 12,689,872 295,511 11,499,770 250,133 718,536 41,345 164,411 8,400 52,408,197 1,531,980 339,384 69,635 15,427

Jul-09 18,271,805 382,924 15,500,535 450,632 16,453,611 376,753 15,333,132 324,495 963,541 30,092 304,462 8,615 66,827,086 1,573,509 348,584 68,413 15,156

Aug-09 16,892,217 366,312 13,113,118 412,363 14,778,755 351,830 13,757,102 306,927 863,860 28,215 265,335 7,999 59,670,387 1,473,646 326,461 70,174 15,546

Sep-09 13,032,242 302,425 13,157,621 434,119 11,009,117 276,647 14,064,924 332,429 943,618 32,975 293,810 9,783 52,501,332 1,388,378 307,572 69,419 15,379

Oct-09 13,615,447 329,610 14,044,526 465,829 12,398,618 318,747 14,272,634 350,844 1,064,644 35,426 313,925 9,961 55,709,794 1,510,417 334,607 75,521 16,730

Nov-09 15,178,552 363,523 13,260,546 438,220 14,799,488 377,439 18,165,786 438,968 1,001,744 32,622 358,959 11,044 62,765,075 1,661,816 368,147 83,091 18,407

Dec-09 13,337,833 329,496 11,307,332 395,954 14,570,566 382,975 14,955,374 373,702 946,883 32,696 306,015 10,160 55,424,003 1,524,982 337,834 72,618 16,087

Jan-10 12,056,359 298,849 12,546,679 444,134 13,184,721 345,896 13,899,884 349,964 1,083,640 39,502 330,538 11,951 53,101,821 1,490,297 330,150 78,437 17,376

Feb-10 13,891,843 326,871 10,725,789 354,485 17,317,434 434,844 17,271,270 412,391 922,728 31,359 300,899 9,926 60,429,963 1,569,876 347,779 78,494 17,389

Mar-10 10,542,734 268,266 11,420,625 405,316 15,597,929 412,952 16,982,025 430,214 1,061,562 38,572 355,557 12,826 55,960,432 1,568,147 347,396 74,674 16,543

2009-10 178,306,889 3,934,389 145,591,240 5,195,247 167,683,928 4,049,266 173,695,595 3,978,699 10,614,147 389,158 3,402,123 116,907 679,293,922 17,663,665 3,913,085 72,392 16,037
 Table 6-6 : Sectorwise Trading Value of Top 5 companiesin the F&O Segment (2009-10)

BANKS FMCG

Company Name Turnover Company Name Turnover

( ` cr) ( ` cr)

ICICI Bank Ltd 194,232.37 ITC Ltd. 38,052.93

State Bank of India 172,700.39 Hindustan Unilever Limited 34,828.85

Axis Bank Limited 82,183.52 United Spirits Limited 18,137.83

HDFC Bank Ltd 51,039.65 Tata Tea Ltd 5,996.34

IDBI Bank Limited 38,393.79 Dabur India Ltd 1,824.47

INFRASTRUCTURE MEDIA & ENTERTAINMENT

Company Name Turnover Company Name Turnover

( ` cr) ( ` cr)
Unitech Ltd 172,349.04 Dish TV India Limited 12,281.59

DLF Limited 169,442.30 Reliance MediaWorks Limited 12,268.30

Housing Development and 106,817.11 Zee Entertainment Enterprises Ltd 6,387.85
Infrastructure Limited
Reliance Infrastructure Limited 100,778.49 Television Eighteen India Ltd. 3,086.71

Jaiprakash Associates Limited 95,597.96 Sun TV Network Limited 1,497.73

Pharmaceuticals TELECOMMUNICATION

Company Name Turnover Company Name Turnover

( ` cr) ( ` cr)
Ranbaxy Laboratories Ltd 27,023.12 Bharti Airtel Limited 89,740.45

Cipla Ltd. 18,482.40 Reliance Communications Limited 75,561.36

Orchid Chemicals & 13,504.72 Idea Cellular Limited 22,049.55
Pharmaceuticals Ltd
Biocon Limited 10,276.46 GTL Infrastructure Limited 10,012.78

Dr. Reddy’s Laboratories Ltd. 9,328.55 Mahanagar Telephone Nigam Ltd. 9,601.25

FINANCE INFORMATION TECHNOLOGY

Company Name Turnover Company Name Turnover

( ` cr) ( ` cr)
Reliance Capital Limited 113,514.36 Infosys Technologies Ltd. 111,475.86

IFCI Limited 97,642.65 Tata Consultancy Services Limited 69,647.99

Infrastructure Development 58,062.63 Educomp Solutions Limited 47,565.59
Finance Company Limited
Housing Development Finance 54,183.50 Tech Mahindra Limited 26,905.02
Corporation Ltd.
LIC Housing Finance Ltd 27,147.21 Wipro Ltd 25,019.12

Contd...

131
 Contd...

PETROCHEMICALS MANUFACTURING

Company Name Turnover Company Name Turnover

( ` cr) ( ` cr)
Reliance Industries Ltd 354,860.32 Tata Steel Limited 256,505.12

Aban Offshore Ltd. 84,616.52 Tata Motors Limited 153,789.84

Oil & Natural Gas Corpn Ltd 46,732.89 Suzlon Energy Limited 141,551.64

Essar Oil Limited 41,353.70 JSW Steel Limited 95,862.48

Cairn India Limited 39,032.02 Jindal Steel & Power Ltd. 91,679.06

ENGINEERING (4 companies in this sector trade

SERVICES
in the F&O segment)

Company Name Turnover Company Name Turnover

( ` cr) ( ` cr)
Kingfisher Airlines Limited 8,592.50 Larsen & Toubro Limited 95,143.69
The Great Eastern Shipping Co. 7,217.86 Praj Industries Ltd 11,421.71
Limited
Mercator Lines Limited 6,644.59 Reliance Industrial Infrastructure 5,470.20
Limited
Deccan Chronicle Holdings Ltd. 6,008.46 BEML Limited 3,099.82
The Indian Hotels Company 5,084.97
Limited

Miscellaneous

Company Name Turnover

( ` cr)
Pantaloon Retail (India) Ltd. 6,380.25

Titan Industries Ltd. 3,171.68

Noida Toll Bridge Company Ltd 3,079.95

Sintex Industries Ltd. 2,968.69

Fortis Healthcare Limited 1,733.27

132
 Table 6-7 : Participant wise Trading Value in the F&O Segment (2009-10)

Month/Year Institutional investors Retail Proprietary

Gross Traded Value % to Gross Gross Traded Value % to Gross Gross Traded Value % to Gross
` crore US $ mn Turnover ` crore US $ mn Turnover ` crore US $ mn Turnover

2007-08 3,256,034 814,619 12.44 16,485,724 4,124,524 62.97 6,439,196 1,611,007 24.59
Apr-08 266,039 52,216 17.36 852,917 167,403 55.64 413,906 81,238 27.00
May-08 274,787 53,933 17.22 876,167 171,966 54.90 444,863 87,314 27.88
Jun-08 331,733 65,110 15.30 1,158,405 227,361 53.43 677,991 133,070 31.27
Jul-08 319,854 62,778 13.78 1,265,173 248,317 54.53 735,320 144,322 31.69
Aug-08 250,935 49,251 13.10 1,079,934 211,960 56.40 584,021 114,626 30.50
Sep-08 290,713 57,058 12.13 1,361,914 267,304 56.85 743,118 145,852 31.02
Oct-08 233,594 45,848 12.40 1,034,923 203,125 54.95 614,776 120,663 32.64
Nov-08 166,700 32,718 11.18 835,439 163,972 56.04 488,574 95,893 32.77
Dec-08 178,521 35,038 10.77 934,367 183,389 56.34 545,444 107,055 32.89
Jan-09 184,701 36,251 11.87 869,059 170,571 55.84 502,477 98,622 32.29
Feb-09 183,607 36,037 12.89 807,243 158,438 56.66 433,891 85,160 30.45
Mar-09 263,270 51,672 12.66 1,174,488 230,518 56.47 642,103 126,026 30.87
2008-09 2,944,454 577,911 13.37 12,250,029 2,404,324 55.63 6,826,484 1,339,840 31.00
Apr-09 297,985 66,014 13.03 1,245,056 275,821 54.45 743,685 164,751 32.52
May-09 345,864 76,620 14.09 1,309,580 290,115 53.35 799,060 177,018 32.55
Jun-09 391,422 86,713 12.78 1,636,840 362,614 53.42 1,035,699 229,442 33.80
Jul-09 449,782 99,642 14.29 1,628,417 360,748 51.74 1,068,819 236,779 33.96
Aug-09 418,249 92,656 14.19 1,625,127 360,019 55.14 903,915 200,247 30.67
Sep-09 405,221 89,770 14.59 1,519,726 336,669 54.73 851,809 188,704 30.68
Oct-09 415,738 92,100 13.76 1,665,165 368,889 55.12 939,932 208,226 31.11
Nov-09 444,197 98,404 13.36 1,833,992 406,290 55.18 1,045,442 231,600 31.45
Dec-09 370,730 82,129 12.16 1,660,586 367,875 54.45 1,018,649 225,664 33.40
Jan-10 434,120 96,172 14.56 1,619,619 358,799 54.34 926,855 205,329 31.10
Feb-10 411,091 91,070 13.10 1,791,672 396,914 57.06 936,989 207,574 29.84
Mar-10 388,516 86,069 12.39 1,843,186 408,327 58.77 904,593 200,397 28.84
2009-10 4,772,915 1,057,358 13.51 19,378,966 4,293,081 54.86 11,175,447 2,475,730 31.63

133
 Table 6-8a : Number of Members in different turnover brackets during 2009-10

Upto ` 10 ` 10 crores ` 50 crores ` 250 crores ` 500 crores ` 1000

crores upto ` 50 upto ` 250 upto ` 500 upto ` 1000 crores and
crores crores crores crores more

2007-08 12 13 45 37 54 691

Apr-08 55 95 218 112 103 242

May-08 59 104 215 109 110 243

Jun-08 50 100 211 109 89 289

Jul-08 58 99 195 126 85 297

Aug-08 64 114 210 117 97 273

Sep-08 58 107 219 114 87 301

Oct-08 78 130 229 102 102 246

Nov-08 90 127 251 96 102 212

Dec-08 80 112 248 106 100 237

Jan-09 93 123 253 99 110 220

Feb-09 100 124 252 103 102 215

Mar-09 72 126 201 118 104 280

2008-09 21 28 81 65 91 661

Apr-09 73 107 242 119 92 285

May-09 63 93 232 122 119 297

Jun-09 58 81 204 115 134 343

Jul-09 55 85 229 115 115 343

Aug-09 61 96 224 118 119 333

Sep-09 53 108 234 118 120 319

Oct-09 53 98 241 96 123 344

Nov-09 56 96 221 116 123 350

Dec-09 64 100 229 110 121 341

Jan-10 66 103 227 103 133 344

Feb-10 68 101 224 118 117 349

Mar-10 68 108 201 105 131 366

2009-10 19 38 68 48 67 780

134
 Table 6-8b : Number of members in different turnover brackets in Futures and Options Segment

Month Futures Segment Options Segment

Number of Members Number of Members
Upto ` 10 ` 10 crores ` 50 crores ` 250 ` 500 ` 1000 Upto ` 10 ` 10 crores ` 50 crores ` 250 ` 500 ` 1000
crores upto ` 50 upto ` 250 crores crores upto crores and crores upto ` 50 upto ` 250 crores crores upto crores and
crores crores upto ` 500 ` 1000 more crores crores upto ` 500 ` 1000 more
crores crores crores crores

2007-08 13 14 50 42 57 676 98 96 176 96 91 295

Apr-08 60 110 226 115 101 213 316 189 187 43 35 55
May-08 66 111 230 106 115 212 325 189 194 38 33 61
Jun-08 62 119 234 97 98 238 271 179 180 69 43 106
Jul-08 71 121 222 106 97 243 262 163 196 64 61 114
Aug-08 80 133 229 106 102 225 291 154 209 63 57 101
Sep-08 78 121 245 118 91 233 260 163 195 73 70 125
Oct-08 103 150 251 99 95 189 297 182 181 76 38 113
Nov-08 114 152 255 105 82 170 314 190 175 68 25 106
Dec-08 96 142 269 102 94 180 316 178 171 73 47 98
Jan-09 111 158 269 97 87 176 324 180 177 68 46 103
Feb-09 120 156 273 98 93 156 314 182 191 48 55 106
Mar-09 99 142 241 108 104 207 270 179 196 67 46 143
2008-09 29 36 95 70 104 613 111 99 162 103 90 382
Apr-09 94 130 259 122 91 222 282 180 206 59 62 129
May-09 84 113 241 137 113 238 283 202 196 64 59 122
Jun-09 75 102 223 114 133 288 260 194 203 82 56 140
Jul-09 77 108 246 123 114 274 229 184 211 87 71 160
Aug-09 84 119 242 131 106 269 255 180 207 91 70 148
Sep-09 77 128 247 138 105 257 251 192 215 82 65 147
Oct-09 78 128 245 112 124 268 248 191 211 78 63 164
Nov-09 74 133 251 117 119 268 244 168 214 94 70 172
Dec-09 89 131 253 119 117 256 249 178 205 84 74 175
Jan-10 93 142 233 136 110 262 248 174 219 88 75 172
Feb-10 102 130 258 121 122 244 223 188 204 89 72 201
Mar-10 88 139 246 143 115 248 245 157 191 92 74 220
2009-10 28 41 93 55 88 715 96 85 146 88 94 511

135
 Table 6-8c : Segment wise Contribution of Top ‘N’ Members to turnover on
Futures and Options segment
(in percent)
Month Futures Segment Options Segment

Top 5 Top 10 Top 15 Top 25 Top 5 Top 10 Top 15 Top 25

Members Members Members Members Members Members Members Members

2005-06 12 20 26 36 23 36 45 55

2006-07 14 22 28 38 23 36 46 58

2007-08 14 23 29 39 23 34 43 56

Apr-08 17 26 33 43 22 37 48 61

May-08 16 25 32 42 21 35 45 59

Jun-08 17 26 33 43 18 32 42 55

Jul-08 18 26 33 43 17 30 40 54

Aug-08 17 26 32 42 18 31 42 56

Sep-08 16 25 31 41 20 33 42 56

Oct-08 16 23 30 41 21 34 44 56

Nov-08 17 25 31 42 22 34 43 56

Dec-08 17 25 32 42 23 35 44 57

Jan-09 16 24 31 41 21 32 41 55

Feb-09 16 24 31 42 21 32 41 55

Mar-09 15 23 30 41 23 34 42 55

2008-09 17 25 31 41 18 31 40 54

Apr-09 16 24 31 42 25 37 45 59

May-09 16 25 31 41 25 36 45 58

Jun-09 16 23 30 40 26 36 45 59

Jul-09 15 22 28 38 26 36 44 57

Aug-09 14 22 29 39 26 37 45 59

Sep-09 15 22 29 39 26 37 45 57

Oct-09 15 22 28 38 27 38 45 56

Nov-09 14 22 28 38 26 37 45 56

Dec-09 15 22 29 39 25 34 42 54

Jan-10 14 22 28 38 24 33 40 52

Feb-10 14 21 28 38 24 33 40 51

Mar-10 14 22 28 37 23 32 39 50

2009-10 15 22 28 38 25 32 42 54

136
 Table 6-9 : Top 20 Futures contracts according to number of contracts 2009-10

S. Name of the Contract Number of Turnover Percentage

No. Contracts of contracts
to Top 20
( ` cr.) (US $ mn) contracts
1 NIFTY JULY 2009 16,685,014 360,347.82 79,828.94 10.19
2 NIFTY MAY 2009 14,108,649 272,041.49 60,266.17 8.62
3 NIFTY AUGUST 2009 14,027,712 318,562.24 70,572.05 8.57
4 NIFTY APRIL 2009 13,809,370 231,659.98 51,320.33 8.44
5 NIFTY JUNE 2009 13,049,245 288,559.59 63,925.47 7.97
6 NIFTY DECEMBER 2009 12,908,225 327,730.73 72,603.17 7.89
7 NIFTY FEBRUARY 2009 12,122,626 294,013.30 65,133.65 7.41
8 NIFTY NOVEMBER 2009 12,098,963 296,951.31 65,784.52 7.39
9 NIFTY OCTOBER 2009 11,805,291 294,906.84 65,331.60 7.21
10 NIFTY SEPTEMBER 2009 11,128,597 265,970.56 58,921.26 6.80
11 NIFTY JANUARY 2010 9,116,083 233,712.04 51,774.93 5.57
12 NIFTY MARCH 2010 8,563,741 217,939.59 48,280.81 5.23
13 NIFTY APRIL 2010 2,534,395 66,584.25 14,750.61 1.55
14 MINIFTY JULY 2009 1,860,576 16,042.41 3,553.92 1.14
15 MINIFTY AUGUST 2009 1,773,464 16,061.90 3,558.24 1.08
16 MINIFTY MAY 2009 1,742,971 13,146.58 2,912.40 1.06
17 MINIFTY DECEMBER 2009 1,738,887 17,609.85 3,901.16 1.06
18 MINIFTY APRIL 2009 1,602,742 10,726.92 2,376.37 0.98
19 MINIFTY NOVEMBER 2009 1,525,735 14,968.54 3,316.03 0.93
20 MINIFTY SEPTEMBER 2009 1,487,061 14,122.60 3,128.62 0.91
TOTAL 163,689,347 3,571,658.52 791,240.26 100.00

Table 6-10 : Top 20 Option contracts according to number of contracts traded 2009-10
S. Name of the Contract Number of Turnover Percentage
No. Contracts of contracts
to Top 20
( ` cr) (US $ mn) contracts
1 NIFTY February 2010 CE 4900 5,449,250 135,003.53 29,907.74 7.00
2 NIFTY December 2009 CE 5200 5,149,244 135,253.46 29,963.11 6.61
3 NIFTY February 2010 PE 4800 4,868,777 118,405.92 26,230.82 6.25
4 NIFTY March 2010 CE 5200 4,663,405 122,331.46 27,100.46 5.99
5 NIFTY December 2009 CE 5100 4,282,227 111,168.38 24,627.47 5.50
6 NIFTY December 2009 PE 5000 4,213,118 106,988.38 23,701.46 5.41
7 NIFTY April 2009 CE 3400 4,041,812 70,130.84 15,536.30 5.19
8 NIFTY March 2010 CE 5100 3,725,904 96,682.95 21,418.46 4.78
9 NIFTY February 2010 CE 4800 3,691,610 90,339.19 20,013.11 4.74
10 NIFTY August 2009 CE 4700 3,690,850 87,956.82 19,485.34 4.74
11 NIFTY October 2009 CE 5100 3,633,995 94,044.64 20,833.99 4.67
12 NIFTY November 2009 CE 5000 3,579,202 90,806.46 20,116.63 4.60
13 NIFTY October 2009 PE 5000 3,487,231 88,796.34 19,671.32 4.48
14 NIFTY July 2009 CE 4500 3,473,793 79,493.63 17,610.46 4.46
15 NIFTY February 2010 PE 4700 3,460,789 82,323.31 18,237.33 4.44
16 NIFTY April 2009 CE 3500 3,391,384 60,111.34 13,316.65 4.35
17 NIFTY October 2009 PE 4900 3,323,287 82,624.92 18,304.15 4.27
18 NIFTY February 2010 CE 5000 3,289,648 82,922.54 18,370.08 4.22
19 NIFTY November 2009 CE 5100 3,271,285 84,049.90 18,619.83 4.20
20 NIFTY December 2009 PE 5100 3,189,001 82,769.70 18,336.22 4.09
TOTAL 77,875,812 1,902,203.71 421,400.91 100.00

137
 Table 6-11 : Number of trades in the Futures & Options Segment

Month/Year Index Futures Stock Futures Index Options Stock Options Total

2007-08 30,897,058 153,187,768 10,370,483 7,767,865 202,223,174

Apr-08 3,271,644 11,208,858 1,224,318 544,051 16,248,871

May-08 2,816,276 12,191,813 1,047,539 685,693 16,741,321

Jun-08 4,490,539 13,547,829 2,648,194 681,604 21,368,166

Jul-08 5,557,672 15,679,079 3,713,214 933,961 25,883,926

Aug-08 4,103,495 12,452,067 3,082,063 764,533 20,402,158

Sep-08 5,289,846 13,859,395 4,276,123 844,724 24,270,088

Oct-08 5,781,231 13,374,817 4,458,908 605,226 24,220,182

Nov-08 5,779,280 12,154,631 4,857,126 584,173 23,375,210

Dec-08 6,220,608 14,899,917 4,816,107 934,064 26,870,696

Jan-09 5,136,302 14,413,326 4,226,118 1,155,822 24,931,568

Feb-09 4,631,594 11,035,948 4,021,976 870,032 20,559,550

Mar-09 5,819,745 8,438,603 5,368,456 727,417 20,354,221

2008-09 58,898,232 153,256,283 43,740,142 9,331,300 265,225,957

Apr-09 5,649,871 8,597,278 5,190,117 675,735 20,113,001

May-09 5,060,456 8,426,655 4,522,973 556,564 18,566,648

Jun-09 4,973,415 9,869,779 5,620,651 758,811 21,222,656

Jul-09 5,718,277 12,707,974 7,059,595 1,012,373 26,498,219

Aug-09 5,564,804 10,828,499 6,884,745 879,903 24,157,951

Sep-09 4,352,169 10,694,165 6,728,710 1,008,393 22,783,437

Oct-09 4,509,316 11,348,231 6,354,351 1,121,540 23,333,438

Nov-09 5,093,232 10,775,226 7,914,266 1,092,392 24,875,116

Dec-09 4,832,800 9,233,972 6,759,250 1,069,940 21,895,962

Jan-10 3,838,625 10,207,739 5,917,021 1,164,875 21,128,260

Feb-10 4,621,592 8,587,808 7,174,462 1,002,358 21,386,220

Mar-10 3,349,892 8,885,707 6,823,851 1,151,828 20,211,278

2009-10 57,564,449 120,163,033 76,949,992 11,494,712 266,172,186

138
 Table 6-12 : Settlement Statistics in F&O Segment

Month/Year Index/Stock Futures Index/Stock Options Total

MTM Final Premium Exercise
Settlement Settlement Settlement Settlement

( ` cr) ( ` cr) ( ` cr) ( ` cr) ( ` cr) (US $ mn)

2000-01 84.08 1.93 -- -- 86.01 18.44

2001-02 505.25 21.93 164.76 93.95 785.88 161.04

2002-03 1,737.90 45.76 331.21 195.88 2,310.76 486.47

2003-04 10,821.98 138.95 858.94 476.12 12,295.98 2833.83

2004-05 13,024.18 227.50 941.06 455.87 14,648.62 3348.25

2005-06 25,585.51 597.89 1,520.58 817.84 28,521.80 6393.59

2006-07 61,313.70 797.54 3,194.38 1,188.84 66,494.47 15254.52

2007-08 144,654.70 1,312.12 6,760.17 3,792.26 156,519.23 39,227.88

Apr-08 5,391.50 66.71 785.96 164.02 6,408.19 1,257.74

May-08 5,601.50 203.64 603.59 190.78 6,599.51 1,295.29

Jun-08 9,182.80 137.30 1,126.00 341.86 10,787.96 2,117.36

Jul-08 11,070.00 59.52 1,015.90 208.83 12,354.25 2,424.78

Aug-08 4,844.80 129.30 742.07 145.52 5,861.69 1,150.48

Sep-08 7,120.40 225.92 921.39 178.64 8,446.35 1,657.77

Oct-08 9,409.20 54.34 1,384.10 1,418.90 12,266.54 2,407.56

Nov-08 5,782.10 45.97 785.52 160.42 6,774.01 1,329.54

Dec-08 4,300.70 151.65 770.55 581.94 5,804.84 1,139.32

Jan-09 4,476.70 58.28 936.39 154.79 5,626.16 1,104.25

Feb-09 3,247.10 65.42 800.53 134.22 4,247.27 833.62

Mar-09 4,766.80 300.24 1,088.50 507.66 6,663.20 1,307.79

2008-09 75,193.60 1,498.29 10,960.50 4,187.58 91,839.97 18,025.51

Apr-09 4,855.50 273.61 944.53 494.81 6,568.45 1,455.13

May-09 7,817.80 141.21 1,289.20 1,068.90 10,317.11 2,285.58

Jun-09 6,960.70 157.54 915.78 572.96 8,606.97 1,906.73

Jul-09 6,108.80 108.56 1,065.90 217.81 7,501.07 1,661.73

Aug-09 5,022.40 36.94 894.05 124.88 6,078.27 1,346.54

Sep-09 3,243.30 65.76 848.17 214.06 4,371.29 968.39

Oct-09 4,705.90 180.26 696.71 140.63 5,723.51 1,267.95

Nov-09 5,312.90 148.63 870.25 173.88 6,505.65 1,441.22

Dec-09 3,955.10 58.57 954.82 332.57 5,301.06 1,174.36

Jan-10 4,759.00 107.57 762.19 188.94 5,817.70 1,288.81

Feb-10 5,140.00 45.83 798.36 133.03 6,117.23 1,355.17

Mar-10 2,774.30 70.79 971.08 218.30 4,034.47 893.77

2009-10 60,655.70 1,395.27 11,011.04 3,880.77 76,942.78 17,045.37

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