Settlement Price
Daily Settlement Price
Daily settlement price for unexpired futures contracts shall be the closing price of such contracts on the trading day. The closing price for unexpired futures contract shall be calculated by the Exchange on the basis of the last half an hour weighted average price of such contract, subject to minimum 10 trades in last half hour or weighted average price of last 10 trades of the day for such contract or such other price as may be decided by the relevant authority from time to time
Theoretical daily settlement price: -
Daily settlement price for unexpired futures contracts, which have less than 10 trades in a day, the price shall be computed as per the formula detailed below: -
F = S * e rt Where:
F = theoretical futures price
S = Spot Price of the underlying Commodity
r = rate of interest (MIBOR)
t = time to expiration
Rate of interest may be the relevant MIBOR rate, or such other rate as may be specified.
Final Settlement Price
Futures contracts
a) Bullion
For contracts where Final Settlement Price (FSP) is determined by polling, unless specifically approved otherwise, the FSP shall be arrived at by taking the simple average of the last polled spot prices of the last three trading days viz.,E0 (expiry day), E-1 and E-2. In the event the spot price for any one or both of E-1 and E-2 is not available; the simple average of the last polled spot price of E0, E-1, E-2 and E-3, whichever available, shall be taken as FSP. Thus, the FSP under various scenarios of non-availability of polled spot prices shall be as under:
SCENARIO | POLLED SPOT PRICE AVAILABILITY ON | FSP SHALL BE SIMPLE AVERAGE OF LAST POLLED | |||
E0 | E-1 | E-2 | E-3 | ||
1 | Yes | Yes | Yes | Yes/No | E0, E-1, E-2 |
2 | Yes | Yes | No | Yes | E0, E-1, E-3 |
3 | Yes | No | Yes | Yes | E0, E-2, E-3 |
4 | Yes | No | No | Yes | E0, E-3 |
5 | Yes | Yes | No | No | E0, E-1 |
6 | Yes | No | Yes | No | E0, E-2 |
7 | Yes | No | No | No | E0 |
In case of non-availability of polled spot price on expiry day (E0) due to sudden closure of physical market under any emergency situations noticed at the basis Centre, Exchange shall decide further course of action for determining FSP in consultation with SEBI.
(only for Gold 1g Futures): The spot price would be polled in Rs. Per 10 grams for 995 purity gold. This polled price would be converted to Rs. Per gram for 999 purity gold by using the following formula. Polled spot price divided by 10 multiplied by 999 divided by 995.Gold Guinea Futures: Exchange shall announce the DDR based on the Ahmedabad Spot price for Gold (10gms) 995 purity, which shall be converted to 999 purity (Gold Spot price 995 purity * 999/995), polled on the last day of the expiry of this Gold Guinea contract by around 5.00pm. The arrived spot price will be converted for 8 grams Gold
.b) Base metals
For contracts where Final Settlement Price (FSP) is determined by polling, unless specifically approved otherwise, the FSP shall be arrived at by taking the simple average of the last polled spot prices of the last three trading daysviz.,E0 (expiry day), E-1 and E-2.In the event the spot price for any one or both of E-1 and E-2 is not available; the simple average of the last polled spot price of E0, E-1, E-2 and E-3, whichever available, shall be taken as FSP. Thus, the FSP under various scenarios of non-availability of polled spot prices shall be as under:
Scenario | Polled Spot Price availability on | FSP shall be simple average of last polled spot prices on: | |||
E0 | E-1 | E-2 | E-3 | ||
1 | Yes | Yes | Yes | Yes/No | E0, E-1, E-2 |
2 | Yes | Yes | No | Yes | E0, E-1, E-3 |
3 | Yes | No | Yes | Yes | E0, E-2, E-3 |
4 | Yes | No | No | Yes | E0, E-3 |
5 | Yes | Yes | No | No | E0, E-1 |
6 | Yes | No | Yes | No | E0, E-2 |
7 | Yes | No | No | No | E0 |
On the day of expiry, the trading shall be allowed up to 5pm.
In case of non-availability of polled spot price on expiry day (E0) due to sudden closure of physical market under any emergency situations noticed at the basis centre, Exchange shall decide further course of action for determining FSP in consultation with SEBI.
c) Energy
Product | WTI Crude Oil | Natural Gas (Henry Hub) | Electricity Futures |
Symbol | CRUDEOIL | NATURALGAS | ELECMBL |
Due Date Rate | Due date rate (FSP) shall be the settlement price, in Indian rupees, of the New York Mercantile Exchange’s (NYMEX)# Crude Oil (CL) front month contract on the last trading day of the NSE WTI Crude Oil contract. The last available RBI USDINR reference rate will be used for the conversion. The price so arrived will be rounded off to the nearest tick. | Due date rate (FSP) shall be the settlement price, in Indian rupees, of the New York Mercantile Exchange’s (NYMEX)# Natural Gas (NG) front month contract on the last trading day of the NSE Natural Gas contract. The last available RBI USDINR reference rate will be used for the conversion. The price so arrived will be rounded off to the nearest tick. | DDR based on Average of the DAM-UMCPs (Unconstrained Market Clearing Price) * of PXIL (Power Exchange of India Ltd) of all the calendar days of the expiry month. |
Option contracts
a) Option on Futures
Final settlement price will be equal to Daily settlement price of underlying futures contract on the expiry day of options contract.
b) Option on Goods
Final settlement price is same as that for the Futures contracts