Options on USD-INR Spot Rate
Summary
This SEBI circular permits eligible stock exchanges to introduce options on the USD-INR spot rate subject to prior regulatory approval. It establishes a comprehensive product design and risk management framework, including contract specifications, margin requirements, and settlement mechanisms. Additionally, it defines specific position limits for clients, trading members, banks, and clearing members participating in these derivatives.
Text
It has now been decided to permit introduction of options on USD-INR spot rate on currency derivatives segment of Stock Exchanges. Eligible Stock Exchanges may do so after obtaining prior approval from SEBI.
US Dollar – Indian Rupee (US$-INR) spot rate
Premium styled European Call and Put Options
9 a.m. to 5 p.m.
US$ 1000
Three serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December.
Minimum of three in-the-money, three out-of the-money and one near-the-money strikes would be provided for all available contracts.
The contract would be settled in cash in Indian Rupee.
The expiry / last trading day for the options contract would be two working days prior to the last working day of the expiry month.
The final settlement price would be the Reserve Bank Reference Rate on the date of expiry of the contracts.
On expiry date, all open long in-the-money contracts... would be automatically exercised at the final settlement price and assigned on a random basis to the open short positions...
The Initial Margin requirement would be based on a worst scenario loss of a portfolio... In order to achieve this, the price range for generating the scenarios would be 3.5 standard deviation and volatility range... would be 3%.
You have read the preview. Create a free account to read the full document and see every order that applied it.
Free accounts include 10 searches/day with full text access.
Source: SecMarx — Options on USD-INR Spot Rate. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.