As currency options expire at 12:00 in noon while trading is on till 5 PM that day. So how settlement price is calculated ??
Final settlement price for a futures contract for the various currencies shall be as mentioned below, or as may be specified by the relevant authority from time to time.
| USDINR | EURINR | GBPINR | JPYINR | |
|---|---|---|---|---|
| Final settlement price | RBI reference rate | RBI reference rate | Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro | Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro |
RBI Reference rate is set at 1:30 PM
But option contracts expire at 12:30 PM itself. How does settlement happen here?
Consider LTP of ATM contracts.
Any idea what will be the CE and PE price?
These are today’s reference rates. You can check them on the NSE website.
The reference rate for the USDINR pair is 82.5287, your 82.5 PE will expire worthless while 82.5 CE will be settled at an intrinsic value of 0.0287.