TaxTMI 
TaxTMI 
Options on USD-INR Spot Rate
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....4. The position limits specified vide SEBI Circular No. SEBI/DNPD/Cir-38/2008 dated August 6, 2008 and SEBI circular No. SEBI/DNPD/Cir-45/2009 dated March 24, 2009 now stand modified and the revised position limits are as given under Annexure II. 5. This circular is issued in exercise of the powers conferred under Section 11 (1) of the Securities and Exchange Board of India Act 1992, read with Section 10 of the Securities Contracts (Regulation) Act, 1956 to protect the interests of investors in securities and to promote the development of, and to regulate the securities market. 6. The circular shall come into force from the date of the circular. 7. This circular is available on SEBI website at www.sebi.gov.in., under the category "Deriva....
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.... those for 'known holidays' and 'subsequently declared holiday' would be those as laid down by FEDAI. 12. Exercise at Expiry On expiry date, all open long in-the-money contracts, on a particular strike of a series, at the close of trading hours would be automatically exercised at the final settlement price and assigned on a random basis to the open short positions of the same strike and series. 13. Initial Margin The Initial Margin requirement would be based on a worst scenario loss of a portfolio of an individual client comprising his positions in options and futures contracts on the same underlying across different maturities and across various scenarios (as detailed under Annexure III) of price and volatility changes. In order to ach....
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....ving the same strike price would be treated as a calendar spread. The margin for options calendar spread would be the same as specified for USD-INR currency futures calendar spread. The margin would be calculated on the basis of delta of the portfolio in each month. A portfolio consisting of a near month option with a delta of 100 and a far month option with a delta of -100 would bear a spread charge equal to the spread charge for a portfolio which is long 100 near month currency futures and short 100 far month currency futures. 17. Settlement of Premium Premium would be paid in by the buyer in cash and paid out to the seller in cash on T+1 day. Until the buyer pays in the premium, the premium due shall be deducted from the available Li....