TMI BlogOptions on USD-INR Spot RateX X X X Extracts X X X X X X X X Extracts X X X X ..... rate are as given under Annexure I. 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 ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... nth. The last working day would be taken to be the same as that for Interbank Settlements in Mumbai. The rules for Interbank Settlements, including 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 ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... r options positions. 16. Calendar Spread Margin A long currency option position at one maturity and a short option position at a different maturity in the same series, both having 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 ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... ENT COMPRISING HIS POSITIONS IN OPTIONS AND FUTURES CONTRACTS ON THE UNDERLYING ACROSS DIFFERENT MATURITIES Risk Scenario Number: Price Move in Multiples of Price Range Volatility Move in Multiples of Volatility Range Fraction of Loss to be Considered 1 0 1 100% 2 0 -1 100% 3 +1/3 1 100% 4 +1/3 -1 100% 5 -1/3 1 100% 6 ..... X X X X Extracts X X X X X X X X Extracts X X X X
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