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Currencies

Currencies

Currencies

Indian Rupee Quanto Futures

Indian Rupee- United States Dollar Index futures contract is an extension of the Indian Rupee suite of derivatives. The Index contract is reflecting the USD INR rate of the Indian rupee and has a multiplier of 100 converting the rate into dollars. This allows the participants to capture the Indian Rupee volatility without taking any underlying exposure to the pair.

 

Contract

Parameters

Contract Symbol

DINRI

Underlying

Indian Rupee

Contract Size

100 index points

Notional Contract Value

100 index points

Trading Currency

US Dollar

Settlement Currency

US Dollar

Price Quote

USD INR Quanto till fourth decimal place (e.g. Bid 63.6800 / Ask 63.6825)

Tick Size

0.0025 Index points

Tick Value

25 US cents

Settlement Basis

Open Positions at expiry of contract shall be settled in US Dollars as per the Final Cash Settlement Price (FCSP) declared by the Exchange.

Final Cash Settlement Price

FCSP would be based on the official US Dollar reference rate issued by the Reserve Bank of India, based on bank rates in Mumbai at 12 noon on the day of trading or earliest available date

Last Day of Trading

Two Business Days prior tothe last Day of Trading of the Delivery Month

Trading Days

Monday through Friday

Trading Hours

07:00 - 23:55 Hours Dubai time (GMT+4)

Trading Months

First 3 consecutive serial months.

New Contract Listing

Business Day immediately following the Last Day of Trading

Max Order Size

2,500 contracts for Banks and institutions promoted by Banks. All other entities 1,000 contracts

Daily Price Movement Limit

No price limit(Note 1*)

Initial Margin based on SPAN

US $140 per contract (Subject to change from time to time)

Calendar Spread Margin

100% benefit is offered on calendar spread positions

Note 1*: For the avoidance of "fat finger" errors, price band shall be 1 USD from previous settlement price If price breaches the daily price movement limit, trading in particular contract shall continue, with the new trading price range without any cooling period