The settlement of currency contracts will be fixed based on the RBI Reference Rate on the Last Trading Day.
The settlement price of Currency Futures depend on the settlement rate of the RBI for the contracts which are not square-off on the expiry day.
The settlement price is set by a determining the weighted price over a certain period of trading before the market price.
On the expiry day the RBI will decide the settlement price for currencies.
Daily Settlement Price
Daily Settlement Price for Interest Rate Futures contracts is the closing price of such contracts on the trading day. The closing price for an Interest Rate Futures contract is calculated on the basis of the last half an hour weighted average price of such contract.
In the absence of trades in the Interest Rate Futures contract in last half hour trading, theoretical futures price will be considered for computation of Daily Settlement Price in the following manner.
DSP = Cash Price + Financing cost ā Income on cash positionĀ
Where;Ā
Cash Price = Clean Price + Accrued Interest
Clean Price will be as follows:-
- Weighted average price of underlying bond in last 2 hours of trading on NDS-OM
- If no trades are executed in the underlying bond then, a theoretical price provided by FIMMDA will be used.Ā
The day count convention for accrued interest will be on the basis of a 360 days year, consisting of 12 months of 30 days each and half yearly coupon payment. The financing cost and income on cash position will be computed using the applicable FIMMDA Mumbai Interbank Overnight Indexed Swap (MIOIS) rates published by Thomson- Reuters on the basis of 365-day year, consisting of 12 months and actual days in the month.
Final Settlement Price
Final Settlement Price is arrived at by calculating the weighted average price of the underlying bond based on the prices during the last two hours of the trading on NDS-OM. If less than 5 trades are executed in the underlying bond during the last two hours of trading, then FIMMDA price will be used for final settlement.
Firstly, all currency contracts expire 2 working days before the last day of the month unlike Equity F&O contracts that expire last thursday of the month. For example, last working day for May is 30th which is a Friday, hence the expiry day is 28th 2 days prior to 30th.
On expiry day unlike equity derivatives, you cannot trade on currency derivatives till the end of the day (5pm). You can trade only till 12.15pm in the afternoon, which is when the contracts expire.
If you donāt square off the contract by 12.15pm, the settlement price for all the expired contracts will be based on the RBI reference rate for the expiry date which is announced by 12.30pm.
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I am trading Currency options , but square off all the positions 2 days prior to the expiry day of each month , since this thread is , being old one , please let me know āis it a cash settlementā or how it works , if i forgot to square off options of either ITM /ATM or OTM , ( bought or sold ) what will the impact on my account
If the contract is not squared off, will the otm options which expire worthless be closed?
I.e. will the blocked margin get released at 12.30? Or at eod?
Margins will be released at eod only, till then it will be blocked.
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