Options on USD INR spot rate permitted with cash settlement, specified contract design and real time margin framework. Permit introduction of options on USD INR spot rate with product specifications: premium styled European calls and puts, rupee quoted premiums with USD underlying positions, cash settlement in rupees against the Reserve Bank Reference Rate, serial monthly and quarterly contracts, contract size of US$1000, defined trading hours, strike availability, expiry and automatic exercise rules, T+1 premium settlement, and a risk framework requiring Initial Margin based on worst scenario portfolio loss (using specified price and volatility scenario ranges and standard option pricing models) plus an Extreme Loss Margin.
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Provisions expressly mentioned in the judgment/order text.
Options on USD INR spot rate permitted with cash settlement, specified contract design and real time margin framework.
Permit introduction of options on USD INR spot rate with product specifications: premium styled European calls and puts, rupee quoted premiums with USD underlying positions, cash settlement in rupees against the Reserve Bank Reference Rate, serial monthly and quarterly contracts, contract size of US$1000, defined trading hours, strike availability, expiry and automatic exercise rules, T+1 premium settlement, and a risk framework requiring Initial Margin based on worst scenario portfolio loss (using specified price and volatility scenario ranges and standard option pricing models) plus an Extreme Loss Margin.
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