Global

1) Dow Jones Industrial Average (DJIA)

DJIA Futures Contract Specifications
There are three DJIA futures contract sizes available that offer increasing amounts of
leverage. The E-mini, or mini-Dow, contract, as noted above, represents $5 times the
DJIA. The standard Dow futures contract represents $10 times the DJIA market value.
The Big Dow contract is $25 times the index value.
DJIA contracts trade quarterly, with nearly all the trading volume taking place in the
nearest expiration month. Traders can easily roll over their positions from one quarterly
contract to the next as the expiration date for the current contract nears.
There are also options on DJIA futures contracts available for trading.

2) Introduction to S&P 500 Futures

The first S&P 500 futures contracts were introduced by the CME in 1982. The CME
added the e-mini option in 1997. The bundle of stocks in the S&P 500 is, fittingly,
comprised of 500 different large companies.
The big futures contract was originally priced by multiplying the quoted futures price by
$500. For example, if the S&P was trading at $800, the value of the big contract was
$400,000, or $500 x $800. Eventually, the CME cut the contract multiplier in half to $250
times the price of the futures index.
E-mini futures are one-tenth the value of the big contract. If the S&P 500 futures price is
$800, this results in an e-mini being valued at $40,000. The "e" in e-mini stands for
electronic.
Like with all futures, investors are only required to front a fraction of the contract value to
take a position. This represents the margin on the futures contract. These margins are
not the same as margins for stock trading; futures margins show "skin in the game,"
which must be offset or settled.

3) CME E-MINI NASDAQ 100 FUTURES SPECIFICATIONS

E-mini Nasdaq 100 futures, Chicago Mercantile Exchange, trading symbol NQ. The contract size
is $20 x the Nasdaq 100. Minimum tick is 0.25 = $5.00.
E-mini Nasdaq futures trade nearly 24 hours per day on the Globex trading system, from 4:30
PM US EST all the way until 4:15 PM US EST the following afternoon.
Trading months include March, June, September and December.

4)

FTSE 100 Index Futures - Contract

Specifications

Symbol - X
Name - FTSE 100 Index Futures
Exchange - LIFFE
Trading Months - H,M,U,Z
Trading Unit - Valued at 10 per index point (e.g. value 50,000 at 5000.0)
Trading Hours - 8:00a.m. - 5:30p.m. GMT
Tick Size - 0.5 - (5.00 per contract)
Daily Limit - None
Last Trading Day - Third Friday in delivery month
Value of one futures unit - *-N/A
Value of one options unit - *-N/A

5) ASX SPI 200 Index Futures

ASX SPI 200 Index Futures
Trading
platform

ASX Trade24

Contract unit

Valued at A$25 per index point (e.g. A$150,000 at 6,000 index points)

ASX SPI 200 Index Futures

Contract
months

March / June / September / December up to six quarter months ahead and

the nearest two non-quarterly expiry months.

Commodity
code

AP

Listing date

02/05/2000

Minimum
price
movement

One index point (A$25)

Last trading
day

All trading in expiring contracts ceases at 12.00pm on the third Thursday of

the settlement month. Non-expiring contracts will continue to trade as per the
stated trading hours.

Cash
settlement
price

The Special Opening Quotation of the underlying S&P/ASX 200 Index on the
Last Trading Day. The Special Opening Quotation is calculated using the first
traded price of each component stock in the S&P/ASX 200 Index on the Last
Trading Day, irrespective of when those stocks first trade in the ASX trading
day. This means that the first traded price of each component stock may
occur at any time between ASX market open and ASX market close (including
the Closing Single Price Auction) on the Last Trading Day.
Should any component stock not have traded by ASX market close on the
Last Trading Day, the last traded price of that stock will be used to calculate
the Special Opening Quotation.

5.10pm - 7.00am and 9.50am - 4.30pm (For period from second Sunday in
March to first Sunday in November)
Trading hours
5.10pm - 8.00am and 9.50am - 4.30pm (For period from first Sunday in
November to second Sunday in March)
1

Settlement
day

The first business day after expiry, ASX Clear (Futures) publishes the final
settlement price of the contract. On the second business day after
expiry, ASX Clear (Futures) settles cash flows as a result of the settlement
price.

Position limit None

Daily price
limit

None

ASX SPI 200 Index Futures

CFTC
approved

Yes

1. Unless otherwise indicated, all times are Sydney times.

Local

1) Nifty50

A futures contract is a forward contract, which is traded on an

Exchange. NSE commenced trading in index futures on June 12,
2000. The index futures contracts are based on the popular market
benchmark Nifty 50 index. (Selection criteria for indices)
NSE defines the characteristics of the futures contract such as the
underlying index, market lot, and the maturity date of the contract.
The futures contracts are available for trading from introduction to
the expiry date.
Contract Specifications
Security descriptor
The security descriptor for the Nifty 50 futures contracts is:

Market type : N
Instrument Type : FUTIDX
Underlying : NIFTY
Expiry date : Date of contract expiry

Instrument type represents the instrument i.e. Futures on Index.

Underlying symbol denotes the underlying index which is Nifty 50
Expiry date identifies the date of expiry of the contract

Underlying Instrument
The underlying index is NIFTY 50.
Trading cycle
Nifty 50 futures contracts have a maximum of 3-month trading cycle
- the near month (one), the next month (two) and the far month
(three). A new contract is introduced on the trading day following
the expiry of the near month contract. The new contract will be
introduced for a three month duration. This way, at any point in
time, there will be 3 contracts available for trading in the market

i.e., one near month, one mid month and one far month duration
respectively
Expiry day
Nifty 50 futures contracts expire on the last Thursday of the expiry
month. If the last Thursday is a trading holiday, the contracts expire
on the previous trading day.
Trading Parameters
Contract size
The value of the futures contracts on Nifty 50 may not be less than
Rs. 2 lakhs at the time of introduction. The permitted lot size for
futures contracts & options contracts shall be the same for a given
underlying or such lot size as may be stipulated by the Exchange
from time to time.
Price steps
The price step in respect of Nifty 50 futures contracts is Re.0.05.
Base Prices
Base price of Nifty 50 futures contracts on the first day of trading
would be theoretical futures price.. The base price of the contracts
on subsequent trading days would be the daily settlement price of
the futures contracts.
Price bands
There are no day minimum/maximum price ranges applicable for
Nifty 50 futures contracts. However, in order to prevent erroneous
order entry by trading members, operating ranges are kept at +/- 10
%. In respect of orders which have come under price freeze,
members would be required to confirm to the Exchange that there is
no inadvertent error in the order entry and that the order is
genuine. On such confirmation the Exchange may approve such
order.
Quantity freeze

The applicable quantity freeze limit shall be based on the level of

the underlying index as per the following table:
Index Level

From To

Quantity
Freeze
Limit

5750

15000

5751

8625

10000

8626

1150
0

7500

1150
1

1725
0

5000

> 17250

2500

Order type/Order book/Order attribute

Regular lot order

Stop loss order
Immediate or cancel
Spread order

2) S&P BSE Sensex

1. What is the underlying for S&P BSE SENSEX Futures ?
The underlying for the S&P BSE SENSEX Futures is the BSE Sensitive Index of 30 Securities, popularly called
the S&P BSE SENSEX.

Top
2. What is the contract multiplier?
The contract multiplier is 15. This means that the Rupees notional value of a S&P BSE SENSEX Futures
contract would be 15 times the contracted value. The following table gives a few examples of this notional value.

Contracted Price of Futures

Notional Value in Rs.(based on Market lot of 15)

17800

267000

17850

267750

17900

268500

17950

269250

18000

270000

Top

3.What is the ticker symbol and trading hours ?

The ticker symbol is BSX. The trading timings for the Derivatives Segment of BSE are from 9:15 am to 3:30 pm
(except in cases of Sun outage when the timings are extended on account of a halt in trading during the day).
Trading session's timings can be viewed at the Calendars Section.

Top
4. What is the maturity of the Futures contract?
Presently, SEBI has permitted futures products of 1 month, 2 months and 3 months maturity only on a rolling
basis- for example, for May, June and July months. When the May contract expires, there will be a fresh contract
month available for trading viz. the August contract. These months are called the Near Month, Middle Month and
Far Month respectively.
On 9th June 2000, when the Equity Derivatives were first introduced in India at BSE, it was with the three
monthly series for June, July and August 2000.
Top
5. What is the tick size?
This means that the minimum price fluctuation in the value of a contract. The tick size is presently "0.05" or 5
paisa. In Rupee terms, this translates to a minimum price fluctuation of Rs. 0.75 for a single transaction of S&P
BSE SENSEX Futures contract (Tick size X Contract Multiplier = 0.05 X Rs. 15).

Top
6. How is the final settlement price determined?
The closing value of S&P BSE SENSEX in the cash market is taken as the final settlement price of the Futures
contract on the last trading day of the contract for settlement purpose.

7. What is margin money?

The aim of collecting margin money from the client / broker is to minimize the risk of settlement default by either
counterparty. The payment of margin ensures that the risk is limited to the previous day's price movement on
each outstanding position. However, even this exposure is offset by the initial margin holdings.
Margin money is like a security deposit or insurance against a possible Future loss of value. Once the transaction
is successfully settled, the margin money held by BSE is released / adjusted against the settlement liability.

Top
8. Are there different type of margins?
There are different types of margins like Initial Margin, Variation Margin (commonly called Mark-to-market or M-TM), Exposure Margin and Additional Margin.

Top
9. What is the objective of the Initial Margin?
The basic objective of the Initial Margin is to cover the largest potential loss in one day. Both buyer and seller
have to deposit the margins. The Initial Margin is deposited before the opening of the position in the Futures
transaction. This margin is calculated by SPAN by considering the worst case scenario.

Top
10. What is Variation or Mark-to-Market Margin?
Variation or Mark-to-Market Margin is the daily profit or loss obtained by marking the Member's outstanding
position to the market (closing price of the day.)

Top
11. What are long/ short positions?
Long and short positions indicate whether you have a net purchase position (long) or a sell position (short).

Top
12.

Is

there

theoretical

way

of

pricing

the

Index

Futures?

The theoretical way of pricing any Future is to factor in the current price and holding costs or cost of carry.
In
general,
the Futures
Price
=
Spot
Price
+
Cost
of
Carry.
Theoretically, the cost of carry is the sum of all costs incurred if a similar position is taken in cash market and
carried to maturity of the futures contract less any revenue which may result in this period. The costs typically
include interest in case of financial futures (also insurance and storage costs in case of commodity futures). The
revenue
may
be
dividends
in
the
case
of
Index
Futures.
Apart from the theoretical value, the actual value may vary depending on demand and supply of the underlying at
present and expectations about the future. These factors play a much more important role in commodities,
especially
perishable
commodities,
than
in
financial
futures.
In general, the Futures price is greater than the spot price. In special cases, when cost of carry is negative, the
Futures price may be lower than the spot prices.
Top
13. What is the concept of Basis?

The difference between Spot price and Futures price is known as the Basis. Although the Spot price and Futures
prices generally move in line with each other, the Basis is not constant. Generally, the Basis will decrease with
time. And on expiry, the basis is zero as the Futures price equals Spot price.

Top
14. What are the profits and losses in case of a Futures position?
The profits and losses would depend upon the difference between the price at which the position is opened and
the price at which it is closed. Let us take some examples.

Contracted Price of Futures

Notional Value in Rs.(based on Market lot of 15)

25,500

382,500

25,600

384,000

25,700

385,500

25,800

387,000

25,900

388,500

Top
Example
1
Position
: Long
-Buy
June
S&P
BSE
SENSEX
Futures
@
25500
Payoff : Profit - if the Futures price goes up ; Loss - if the Futures price goes down
Calculation : The profit or loss would be equal to 15 times the difference in the two rates.
If June S&P BSE SENSEX Futures is sold @ 25600, there would be a profit of 100 points which is equal to Rs.
1,500
(100
X
15).
However, if the June S&P BSE SENSEX Futures is sold @ 25450, there would be a loss of 50 points which is
equal to Rs. 750 (50 X 15).
Example
2
Position
: Short
Sell
June
S&P
BSE
SENSEX
Futures
@
25500
Payoff : Profit -if the Futures price goes down ; Loss - if the Futures price goes up
Calculation :The profit or loss would be equal to 15 times the difference in the two rates.

If June S&P BSE SENSEX Futures is bought @ 25700, there would be a loss of 200 points which is equal to
Rs.
3,000
(200
X
15).
However, if the June S&P BSE SENSEX Futures is bought @ 25400, there would be a profit of 100 points
which is equal to Rs. 1,500 (100 X 15).
Top
15. What happens to the profit or loss due to daily settlement?
In case the position is not closed the same day, the daily settlement would alter the cash flows depending on the
settlement price fixed by BSE every day. However, the net total of all the flows every day would always be equal
to the profit or loss calculated above. Profit or loss would only depend upon the opening and closing price of the
position, irrespective of how the rates have moved in the intervening days.

Let us take the illustration given in example 1 where a long position is opened at 25500 and closed at 25600
resulting in a profit of 100 points or Rs. 1,500.
Let us assume that the daily closing settlement prices as shown.
Example 3
Daily Closing Settlement Prices
Case 1
Day 1

25500

Day 2

25580

Day 3

25560

Day 4

25600

Position Closed

25600

Case 1

Settlement Prices Calculation Profit/Loss

Position Opened - Long @ 25500

Day 1

25550

25550 - 25500

+50

Day 2

25580

25580 - 25550

+30

Day 3

25560

25560 - 25580

-20

Day 4

25600

25600 - 25560

+40

Position Closed - Short @ 25600

Profit / (Loss)

100

In all cases, the net result is a profit of 100 points, which is the difference between the closing and opening price,
irrespective of the daily settlement price and different MTM flows.

Top
16. How does the Initial Margin affect the above profit or loss?
The Initial Margin is only a security provided by the client through the Clearing Member to BSE. It can be
withdrawn in full after the position is closed. As such, it does not affect the above calculation of profit or loss.
However, there would be a funding cost / transaction cost in providing the security. This cost must be added to
your total transaction costs to arrive at the true picture. Other items in transaction costs would include brokerage,
stamp duty etc.

Top

17. What is a spread position?

A calendar spread is created by taking simultaneously two positions

A long position in a Futures series expiring in any calendar month

A short position in the same Futures as 1 above but for a series expiring in any month other than the 1

above.
Examples of Calendar Spreads

Long June S&P BSE SENSEX Futures Short July S&P BSE SENSEX Futures

Short July S&P BSE SENSEX Futures Long August S&P BSE SENSEX Futures
A spread position must be closed by reversing both the legs simultaneously. The reversal of 1 above would be a
sale of June S&P BSE SENSEX Futures while simultaneously buying the July S&P BSE SENSEX Futures.

3)

The S&P CNX IT Sector Index

The S&P CNX IT Sector Index

Information Technology (IT) industry has played a major role in the Indian economy during the last
few years. A number of large, profitable Indian companies today belong to the IT sector and a great
deal of investment interest is now focused on the IT sector. In order to have a good benchmark of the
Indian IT sector, IISL developed the CNX IT sector index.
CNX IT is an index comprised of the most liquid and large capitalization IT stocks, traded on the NSE,
engaged in the business of software or hardware. CNX IT provides investors and market
intermediaries with an appropriate benchmark that captures the performance of the IT segment of the
market. The index is a market capitalization weighted index with base date being 1st January 1996
and base index value being 1000. Companies selected in the index have to be IT stocks which should
rank high in terms of market value represented by their market capitalization and liquidity.
How will CNX IT Index futures and options benefit investors?
CNX IT index will benefit investors who have a portfolio comprising of IT stocks and wish to hedge
their risks against the volatility of the IT sector. It will also help those investors who wish to take a
view on the overall movement of the IT sector.
What is the minimum contract size and tick size for CNX IT futures and options contract?
The minimum lot size (multiplier) of the contract is 10 so that the value of the contract is the CNX IT
Index times 10. The minimum tick size by which the CNX IT index futures & options contract can be
bought or sold shall be 0.05 index points i.e. orders can be placed at minimum price intervals of 0.05.
What will be the contract life cycle?
CNX IT index futures & options contracts will have a maximum 3-month expiration cycle. This way, at
any point in time, there shall be 3 contracts available for trading in the market i.e. one month, two
months and three months duration respectively. All contracts will expire on the last Thursday of the
respective months.
How would CNX IT index futures and options be settled?
CNX IT futures and options would be cash settled like Nifty futures and options currently are.
How can I buy or sell the CNX IT index?
The CNX IT index futures and options contracts can be purchased or sold just like any other futures
and options contracts through any of the NSE trading members. You may contact your trading
member for more details on buying and selling the CNX IT index futures and options contracts.

4) India VIX futures

5) BankNifty

A futures contract is a forward contract, which is traded on an

Exchange. BANK Nifty futures Contract would be based on the
index BANK NIFTY index. (Selection criteria for indices)
NSE defines the characteristics of the futures contract such as the
underlying index, market lot, and the maturity date of the contract.
The futures contracts are available for trading from introduction to
the expiry date.
Contract Specifications
Security descriptor
The security descriptor for the BANK Nifty futures contracts is:

Market type : N
Instrument Type : FUTIDX
Underlying : BANKNIFTY
Expiry date : Date of contract expiry

Instrument type represents the instrument i.e. Futures on Index.

Underlying symbol denotes the underlying index which is BANK Nifty.
Expiry date identifies the date of expiry of the contract

Underlying Instrument
The underlying index is BANK NIFTY.
Trading cycle
BANKNIFTY futures contracts have a maximum of 3-month trading
cycle - the near month (one), the next month (two) and the far
month (three). A new contract is introduced on the trading day
following the expiry of the near month contract. The new contract
will be introduced for a three month duration. This way, at any point
in time, there will be 3 contracts available for trading in the market
i.e., one near month, one mid month and one far month duration
respectively.
Expiry day
BANKNIFTY futures contracts expire on the last Thursday of the
expiry month. If the last Thursday is a trading holiday, the contracts
expire on the previous trading day.
Trading Parameters
Contract size
The value of the futures contracts on BANKNIFTY may not be less
than Rs. 5 lakhs at the time of introduction. The permitted lot size
for futures contracts & options contracts shall be the same for a
given underlying or such lot size as may be stipulated by the
Exchange from time to time.
Price steps
The price step in respect of BANKNIFTY futures contracts is Re.0.05.
Base Prices
Base price of BANKNIFTY futures Contracts on the first day of trading
would be theoretical futures price.. The base price of the contracts
on subsequent trading days would be the daily settlement price of
the futures contracts.
Price bands

There are no day minimum/maximum price ranges applicable for

BANKNIFTY futures contracts. However, in order to prevent
erroneous order entry by trading members, operating ranges are
kept at +/- 10 %. In respect of orders which have come under price
freeze, members would be required to confirm to the Exchange that
there is no inadvertent error in the order entry and that the order is
genuine. On such confirmation the Exchange may approve such
order.
Quantity freeze
The applicable quantity freeze limit shall be based on the level of
the underlying index as per the following table:
Index Level

From To

Quantity
Freeze
Limit

5750

15000

5751

8625

10000

8626

1150
0

7500

1150
1

1725
0

5000

> 17250

2500

Order type/Order book/Order attribute

Regular lot order

Stop loss order
Immediate or cancel
Spread order

UNDERLYING
NIFTY BANK
NIFTY 50

SYMBOL
BANKNIFT
Y
NIFTY

Jan17

Feb-17

Mar-17

Jun-17

Sep-17

Dec-17

40
75

40
75

40
75

75

75

75

DOW JONES
INDUSTRIAL AVG
S&P 500
NIFTY IT
NIFTY PSE
FTSE 100 INDEX
NIFTY MIDCAP 50
NIFTY
INFRASTRUCTURE
NIFTY CPSE
INDIA VOLATILITY
INDEX

DJIA
S&P500
NIFTYIT
NIFTYPSE
FTSE100
NIFTYMID5
0
NIFTYINFR
A
NIFTYCPSE

30
250
50
200
100

30
250
50
200
100

30
250
50
200
100

200

200

200

225
250

225
250

225
250

INDIAVIX

700

30
250

30
250

30
250

100

100

100