Started USDINR recently .
Need clarification on few things,
Expiry day settlement mechanism
Where can i see the live spot price
@siva i have a query related to zerodha. Please clarify this.
Currently i am doing calendar spread .
Say i have 29th May USDINR call short and went long in Jun call.
29th May contract will expire by friday 12.30 PM , whether margin blocked for the May 29th call will be released immediately after the contract expiry ( 12.30pm ) if i am not covering the short call ?
The rate for spot US Dollar against the Indian Rupee will be computed on the basis of the Volume Weighted Average of the actual market transactions that have taken place during a randomly selected 15 minute window between 11.30 a.m. and 12.30 p.m. every week- day (excluding Saturdays, Sundays and Bank Holidays in Mumbai).
Banks handle 4-5 times higher volume than retail forex markets worldwide… so they take actual transactions from inter bank market (reuter monitor)
USDINR is cash settlement - in future and option contratct is cash settled
option expiray every week and month - every friday is the option expiray day , @12 o clock RBI fix the final settlement rate for option contract , its will determine option is ITM or OTM
RBI fixes rate @12.30 noon every day , its will be a settlement rate
RBI fixes the rate in different parameter , but 12.30 o clock they will finalize the rate , its will publish on RBI website and nse website also
Option weekely is very low liquidity , monthly have enough liquidity , futures have enough liquidity
I am trading USDINR more then one year strategy is RS and IC good profit not at all bad
this the only place where i could find spot rates in india. and if i am not wrong, this is where the quoes are collected from for fixing the reference rate on a given day.
Yes, according to the Methodology document on the FBIL website, CCIL is indeed one of the data sources used for setting the reference rate -
Computation Methodology:
4.1 The USD/INR Reference Rate (USD/INR) will be computed based on the data in respect of
the actual spot US dollar/Indian rupee transactions taking place on electronic platforms
during the one-hour time window from 11.30 Hours to 12.30 Hours on each business day
in Mumbai. Normally, the data will be sourced from Refinitiv (formerly Thomson Reuters)
and CCIL platforms. If the transaction data is not available on one of the two platforms due
to network failure or for any other reason, the rate will be calculated on the basis of
transactions data obtained from the other platform.
The final settlement for Currency F&O is different compared to Equity F&O. Where equity F&O are settled at closing price of underlying on the day of expiry. Currency F&O are settled at RBI Reference Rate which is published on FBIL website around 1:30 PM on working days. You can check the RBI Reference Rate on NSE website as well.
RBI Reference Rate for yesterday was 73.7746, you can check the historical rates here.
This is not true for currency options as most atm are left to expire and what you are seeing is the 12:30 price of Futures and this co-incidentally allowed a similar calculation in options.
However, once the 1:30 price discovery is published, option holders will be in for much of a surprise as you.
