On September 26, India’s largest commodity exchange announced that it has received a nod from the Securities and Exchange Board of India (Sebi) to launch options contracts on underlying WTI crude oil and natural gas futures on the NSE.
The options contracts will be as per the launch calendar and in European style, which can be exercised only on the expiration date, MCX circular released on Thursday said.
The last trading day will be two business days prior to the expiry day of the underlying futures contract.
The base price of the options contract will be the theoretical price on the option pricing model as decided by the exchange/Clearing Corp, on the first day of the contract. On all other days, it will be the previous day’s daily settlement price of the contract.
The trading period will be between Monday and Friday from 9 am to 11:30/11:55 pm.
The ticket size will be 10 paise with 25 In-the-money, 25 Out-of-the-money and 1 Near-the-money (51 CE and 51 PE) strike prices. The exchange will have the discretion to introduce additional strikes, if required. The strike price interval is kept at Rs 50.
For individual clients, 960,000 barrels or 5% of the market wide open position, whichever is higher for all WTI Crude Oil Options contracts combined together, will be allowed. For a member collectively for all clients, 9,600,000 barrels or 20% of the market wide open position, whichever is higher for all WTI Crude Oil Options contracts combined together will be permitted.
The settlement has been kept at T+1 day.
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