Usdinr settlement

I would like to know what happens if a USDINR option expires in the money?

Do I have to give/take delivery of USD?

What other risks are associated with not squaring off before expiry?

I think USDINR is also a cash settled contract. If the option expires ITM, you will be paid the intrinsic value.

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But the settlement will happen at the RBI reference rate and not the last 30mins VWAP as is the case with equities.

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There is no risk of physical settlement for Currency F&O as these are cash settled. If the Option is ITM, it will be settled according to the RBI reference rate and the difference between your buy/sell price and the settlement price will be the P&L. OTM Options will expire worthless.

You can RBI Reference Rates on the FBIL and NSE website.

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