Futures & Options

Segment 6
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 Futures & Options Segment 6
The derivatives trading on NSE commenced on June 12, 2000 with futures trading on S&P
CNX Nifty Index. Subsequently the product base has been increased to include trading in
futures and options on S&P CNX Nifty Index, futures and options on CNX IT index, Bank
Nifty index and single securities (118 stock as stipulated by SEBI) and futures on interest
rate. The turnover in the derivatives segment has witnessed considerable growth since
inception. In the global market, NSE ranks first (1st) in terms of number of contracts
traded in the Single Stock Futures, second (2nd) in Asia in terms of number of contracts
traded in equity derivatives instrument. Since inception, NSE established itself as the sole
market leader in this segment in the country with more than 99.5% market share.

Trading Mechanism
The derivatives trading system at NSE is called NEAT-F&O trading system. It provides a
fully automated screen-based trading for all kind of derivative products available on NSE on
a nationwide basis. It supports an anonymous order driven market, which operates on a
strict price/time priority. It provides tremendous flexibility to users in terms of kinds of
orders that can be placed on the system. Various time and price related conditions like
Immediate or Cancel, Limit/Market Price, Stop Loss, etc. can be built into an order. Trading
in derivatives is essentially similar to that of trading of securities in the CM segment.

The NEAT-F&O trading system distinctly identifies two groups of users. The trading user
more popularly known as trading member has access to functions such as, order entry, order
matching and order & trade management. The clearing user (clearing member) uses the
trader workstation for the purpose of monitoring the trading member(s) for whom he clears
the trades. Additionally, he can enter and set limits on positions, which a trading member
can take.

Trading terminals can also be accessed through the Internet by the investors from anywhere.

Contract Specification
The contract specification for derivatives traded on NSE are summarised in Table 6-1.
The index futures and index options contracts traded on NSE are based on S&P CNX Nifty
Index, CNX IT Index and the CNX Bank Index, while stock futures and options are based
on individual securities. Stock Futures and Options are available on 118 securities. Interest
rate future contracts are available on Notional 91 day t-bill and Notional 10 year bonds (6%
coupon bearing and zero coupon bond). While the index options are European style, stock
options are American style.
At any point of time there are only three contract months available for trading, with 1
month, 2 months and 3 months to expiry. These contracts expire on last Thursday of the
expiry month and have a maximum of 3-month expiration cycle. A new contract is introduced
on the next trading day following the expiry of the near month contract. All the derivatives
contracts are presently cash settled.
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 Introduction of strike prices for option contracts
NSE introduces option strikes on a daily basis based on the price of the underlying.
With regard to options on stocks, CNX IT index and Bank Nifty index the Exchange
provides a minimum of seven strike prices for every option type (i.e Call & Put) during
the trading month. At any time, there are atleast three strikes in-the-money (ITM), three
strikes out-of-the-money (OTM) and one strike at-the-money (ATM).
The number of strikes provided in options on Nifty index is related to the range in which
previous day's closing value of Nifty index falls:
Nifty Index Level Strike Interval Scheme of strikes to be introduced
(ITM-ATM-OTM)
upto 1500 10 3-1-3
>1500 upto 2000 10 5-1-5
>2000 upto 2500 10 7-1-7
>2500 10 9-1-9

Selection Criteria for Stocks and Indices

Eligibility Criteria of Stocks
• The stock shall be chosen from amongst the top 500 stocks in terms of average daily
market capitalisation and average daily traded value in the previous six months on a
rolling basis.
• The stock's median quarter-sigma order size over the last six months shall be not less
than Rs. 1 lakh. For this purpose, a stock's quarter-sigma order size shall mean the
order size (in value terms) required to cause a change in the stock price equal to one-
quarter of a standard deviation.
• The market wide position limit in the stock shall not be less than Rs. 50 crore. The market
wide position limit (number of shares) shall be valued taking the closing prices of stocks in
the underlying cash market on the date of expiry of contract in the month. The market
wide position limit of open position (in terms of the number of underlying stock) on
futures and option contracts on a particular underlying stock shall be lower of :
o 30 times the average number of shares traded daily, during the previous calendar
month, in the relevant underlying security in the underlying segment, OR
o 20% of the number of shares held by non-promoters in the relevant underlying
security i.e. free-float holding.
• If an existing security fails to meet the eligibility criteria for three months consecutively,
then no fresh month contract shall be issued on that security.
• However, the existing unexpired contracts may be permitted to trade till expiry and
new strikes may also be introduced in the existing contract months.

Selection criteria for unlisted companies

For unlisted companies coming out with initial public offering, if the net public offer is
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Rs. 500 crs. or more, then the Exchange may consider introducing stock options and stock
futures on such stocks at the time of its' listing in the cash market.

Eligibility Criteria of Index

• Futures & Options contracts on an index can be introduced if all the eligible stocks
constitute at least 80% weightage in the index. However, no single ineligible stock in
the index shall have a weightage of more than 5% in the index. The index on which
futures and options contracts are permitted shall be required to comply with the
eligibility criteria on a continuous basis.
• The above criteria is applied every month, if the index fails to meet the eligibility
criteria for three months consecutively, then no fresh month contract shall be issued
on that index, However, the existing unexpired contacts shall be permitted to trade till
expiry and new strikes may also be introduced in the existing contracts.

Internet Trading
As on Mar 31 2006, 127 members on the F&O segment provided internet based trading
facility to the investors. About Rs. 428569.48 crore constituting about 8.88% of the total
trading volume in this segment were routed and executed through the internet. The following
table gives the growth of internet trading in the F&O segment.
Year Enabled Trading Volume % of total
Members * (Rs. crore) Trading Volume
2002-03 13 5,148.96** 1.42
2003-04 14 42,990.50 2.02
2004-05 63 105,333.96 4.14
2005-06 127 428569.48 8.88
* At the end of financial year.
** Trading value is compiled from June 24, 2002.

Trading Value
The F&O segment reported a total trading value (notional) of Rs.4824250 crore during
2005-06 as against Rs. 2,547,053 crore in the previous year 2004-2005. The business growth
of F&O segment is presented in Table 6-2 and Chart 6-1. The trading volumes in the F&O
segment indicate that futures are more popular than options; contracts on securities are
more popular than those on indexes; and call options are more popular than put options.

The F&O segment provides a nationwide market. The turnover of the top '5' and '10' members
accounted for 12.05 % and 19.80% respectively in 2005-06 in the Futures segment. However,
the turnover of the top '5' and '10' members in the options segment accounted for 22.70%
and 35.84% respectively in the same period. The value contribution of Top 'N' members is
presented in Table 6-3.

Transaction Charges
The maximum brokerage chargeable by a trading member in relation to trades effected in
the contracts admitted to dealing on the F&O segment of NSE is fixed at 2.5% of the

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 contract value in case of index futures and stock futures. In case of index options and stock
options it is 2.5% of notional value of the contract [(Strike Price + Premium) ´ Quantity)],
exclusive of statutory levies.

The transaction charges payable to the exchange by the trading member for the trades executed
by him on the F&O segment are fixed at the rate of Rs. 2 per lakh of turnover (0.002%)
subject to a minimum of Rs. 1,00,000 per year. However for the transactions in the options
sub-segment the transaction charges will be levied on the premium value at the rate of
0.05% (each side) instead of on the strike price as levied earlier.

The trading members contribute to Investor Protection Fund of F&O segment at the rate
of Rs. 10 per crore of turnover (0.0001%).

The trading members are also required to pay securities transaction tax (STT) on non-delivery
transactions at the rate of 0.017% (payable by the seller) for derivatives W.e.f 1 June 2006.

Clearing and Settlement

NSCCL undertakes clearing and settlement of all trades executed on the F&O segment of the
Exchange. It also acts as legal counterparty to all trades on this segment and guarantees their
financial settlement. The Clearing and Settlement process comprises of three main activities,
viz., Clearing, Settlement and Risk Management.

Clearing Mechanism
The first step in clearing process is working out open positions and obligations of clearing
(self-clearing/trading-cum-clearing/professional clearing) members (CMs). The open
positions of a CM is arrived at by aggregating the open positions of all the trading members
(TMs) and all custodial participants (CPs) clearing though him, in the contracts which they
have traded. The open position of a TM is arrived at by summing up his proprietary open
position and clients' open positions, in the contracts which they have traded. While entering
orders on the trading system, TMs identify orders as either proprietary or client. Proprietary
positions are calculated on net basis for each contract and that of clients are arrived at by
summing together net positions of each individual client. A TM's open position is the sum
of proprietary open position, client open long position and client open short position.

Settlement Mechanism
All futures and options contracts are cash settled i.e. through exchange of cash. The underlying
for index futures/options of the Nifty index cannot be delivered. The settlement amount
for a CM is netted across all their TMs/clients, across various settlements. For the purpose
of settlement, all CMs are required to open a separate bank account with NSCCL designated
clearing banks for F&O segment.

Settlement of Futures Contracts on Index or Individual Securities

Futures contracts have two types of settlements, the MTM settlement which happens on a
continuous basis at the end of each day, and the final settlement which happens on the last
trading day of the futures contract.

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MTM Settlement for Futures: All futures contracts for each member are marked-
to-market to the daily settlement price of the relevant futures contract at the end
of each day. The CMs who have suffered a loss are required to pay the mark-to-
market (MTM) loss amount in cash which is in turn passed on to the CMs who
have made a MTM profit. This is known as daily mark-to-market settlement. CMs
are responsible to collect and settle the daily MTM profits/losses incurred by the
TMs and their clients clearing and settling through them. Similarly, TMs are
responsible to collect/pay losses/ profits from/to their clients by the next day.
The pay-in and pay-out of the mark-to-market settlement are effected on the day
following the trade day (T+1).
After completion of daily settlement computation, all the open positions are reset
to the daily settlement price. Such positions become the open positions for the
next day.

Final Settlement for Futures: On the expiry day of the futures contracts, after the
close of trading hours, NSCCL marks all positions of a CM to the final settlement
price and the resulting profit/loss is settled in cash. Final settlement loss/profit amount
is debited/credited to the relevant CM's clearing bank account on the day following
expiry day of the contract.

Settlement Prices for Futures : Daily settlement price on a trading day is the closing
price of the respective futures contracts on such day. The closing price for a futures
contract is currently calculated as the last half an hour weighted average price of the
contract in the F&O Segment of NSE. Final settlement price is the closing price of
the relevant underlying index/security in the Capital Market segment of NSE, on the
last trading day of the Contract. The closing price of the underlying Index/security is
currently its last half an hour weighted average value in the Capital Market Segment
of NSE.
Settlement of Options Contracts on Index or Individual Securities
Options contracts have three types of settlements, daily premium settlement, interim exercise
settlement in the case of option contracts on securities and final settlement.

Daily Premium Settlement for Options: Buyer of an option is obligated to pay the
premium towards the options purchased by him. Similarly, the seller of an option is
entitled to receive the premium for the option sold by him. The premium payable
amount and the premium receivable amount are netted to compute the net premium
payable or receivable amount for each client for each option contract. The CMs who
have a premium payable position are required to pay the premium amount to NSCCL
which in turn passed on to the members who have a premium receivable position.
This is known as daily premium settlement. CMs are also responsible to collect and
settle for the premium amounts from the TMs and their clients clearing and settling
through them. The pay-in and pay-out of the premium settlement is on T+1 day. The
premium payable amount and premium receivable amount are directly credited/debited
to the CMs clearing bank account.

Interim Exercise Settlement: Interim exercise settlement takes place only for option
contracts on individual securities. An investor can exercise his in-the-money options

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 at any time during trading hours, through his trading member. Interim exercise
settlement is effected for such options at the close of the trading hours, on the day of
exercise. Valid exercised option contracts are assigned to short positions in the option
contract with the same series (i.e. having the same underlying, same expiry date and
same strike price), on a random basis, at the client level. The CM who has exercised
the option receives the exercise settlement value per unit of the option from the CM
who has been assigned the option contract.

Final Exercise Settlement: Final Exercise settlement is effected for option positions
at in-the-money strike prices existing at the close of trading hours, on the expiration
day of an option contract. All long positions at in-the-money strike prices are
automatically assigned to short positions in option contracts with the same series, on
a random basis. Final settlement loss/profit amount for option contracts on Index is
debited/credited to the relevant CMs clearing bank account on T+1 day. Final
settlement loss/profit amount for option contracts on Individual Securities is debited/
credited to the relevant CMs clearing bank account on T+2 day. Open positions, in
option contracts, cease to exist after their expiration day.

Settlement of Interest Rate Futures Contracts

Daily Mark to Market settlement and Final Mark to Market settlement in respect of admitted
deals in Interest Rate Futures Contracts shall be cash settled. All positions (brought forward,
created during the day, closed out during the day) of a F&O CM in Futures Contracts, at the
close of trading hours on a day, shall be marked to market at the Daily Settlement Price (for
Daily Mark to Market Settlement) and settled. All positions (brought forward, created during
the day, closed out during the day) of a F&O Clearing Member in Futures Contracts, at the
close of trading hours on the last trading day, shall be marked to market at Final Settlement
Price (for Final Settlement) and settled. Daily settlement price shall be the closing price of
the relevant futures contract for the trading day. Final settlement price for an interest rate
futures contract shall be based on the value of the notional bond determined using the
ZCYC computed by the Exchange

Daily Settlement Price: Daily Settlement price for an interest rate future contract is
the closing price of such interest rate futures contract on the trading day. The closing
price for an interest rate futures contract is calculated on the basis of the last half and
hour weighted average price of such interest rate futures contract. In absence of
trading in the last half an hour, the theoretical price is taken or such other price as
may be decided by the relevant authority from time to time. Theoretical the daily
settlement price for unexpired futures contracts shall be the futures prices computed
using the (price of the notional bond) spot prices arrived at from the applicable
ZCYC Curve. The ZCYC shall be computed by the Exchange or by any other agency
as may be nominated in this regard from the prices of Government securities traded
on the Exchange or reported on the Negotiated Dealing System of RBI or both
taking trades of same day settlement (i.e. t = 0).
In respect of zero coupon notional bond, the price of the bond shall be the present
value of the principal payment discounted using discrete discounting for the specified
period at the respective zero coupon yield. In respect of the notional T-bill, the
settlement price shall be 100 minus the annualized yield for the specified period

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 computed using the zero coupon yield curve. In respect of coupon bearing notional
bond, the present value shall be obtained as the sum of present value of the principal
payment discounted at the relevant zero coupon yield and the present values of the
coupons obtained by discounting each notional coupon payment at the relevant zero
coupon yield for that maturity. For this purpose the notional coupon payment date
shall be half yearly and commencing from the date of expiry of the relevant futures
contract. For computation of futures prices from the price of the notional bond
(spot prices) thus arrived, the rate of interest may be the relevant MIBOR rate or
such other rate as may be specified from time to time.

Final Settlement Price: Final settlement price for an interest rate futures contracts
on zero coupon notional bond and coupon bearing bond shall be based on the price
of the notional bond determined using the zero coupon yield curve.

Settlement Statistics
All derivative contracts are currently cash settled. The participants discharge their obligations
through payment/receipt of cash. During the year, 2005-06, such cash settlement amounted to
Rs. 28521.82 crore. The details of settlement are presented in Table 6-4. The settlement of
futures and of options involved Rs. 26183.4 crore and Rs. 2338.39 crore respectively.

Risk Management System

NSCCL has developed a comprehensive risk containment mechanism for the F&O segment.
The salient features of risk containment measures on the F&O segment are:
• The financial soundness of the members is the key to risk management. Therefore, the
requirements for membership in terms of capital adequacy (net worth, security deposits)
are quite stringent. These requirements have already been explained in Table 2-1 in Section
2 of this publication.
• NSCCL charges an upfront initial margin for all the open positions of a CM. It specifies
the initial margin requirements for each futures/options contract on a daily basis. It also
follows VaR-based margining computed through SPAN. The CM in turn collects the initial
margin from the TMs and their respective clients.
• The open positions of the members are marked to market based on contract settlement
price for each contract. The difference is settled in cash on a T+1 basis.
• NSCCL's on-line position monitoring system monitors a CM's open position on a real-
time basis. Limits are set for each CM based on his base capital. The on-line position
monitoring system generates alerts whenever a CM reaches a position limit set up by NSCCL.
NSCCL monitors the CMs for MTM value violation, while TMs are monitored for contract-
wise position limit violation.
• CMs are provided a trading terminal for the purpose of monitoring the open positions of
all the TMs clearing and settling through him. A CM may set exposure limits for a TM
clearing and settling through him. NSCCL assists the CM to monitor the intra-day exposure
limits set up by a CM and whenever a TM exceed the limits, it stops that particular TM
from further trading.

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 • A member is alerted of his position to enable him to adjust his exposure or bring in additional
capital. Position violations result in disablement of trading facility for all TMs of a CM in
case of a violation by the CM.
• A separate Settlement Guarantee Fund for this segment has been created out of the base
capital of members.
The most critical component of risk containment mechanism for F&O segment is the
margining system and on-line position monitoring. The actual position monitoring and
margining is carried out on-line through Parallel Risk Management System (PRISM) using
SPAN(R)* Standard Portfolio Analysis of Risk) system for the purpose of computation of
on-line margins, based on the parameters defined by SEBI.

NSE - SPAN
The objective of NSE-SPAN is to identify overall risk in a portfolio of all futures and
options contracts for each member. The system treats futures and options contracts uniformly,
while at the same time recognising the unique exposures associated with options portfolios,
like extremely deep out-of-the-money short positions and inter-month risk.

Its over-riding objective is to determine the largest loss that a portfolio might reasonably be
expected to suffer from one day to the next day based on 99% VaR methodology.

SPAN considers uniqueness of option portfolios. The following factors affect the value of
an option:
i. Underlying market price.
ii. Volatility (variability) of underlying instrument, and
iii. Time to expiration.
iv. Interest rate
v. Strike price

As these factors change, the value of options maintained within a portfolio also changes.
Thus, SPAN constructs scenarios of probable changes in underlying prices and volatilites in
order to identify the largest loss a portfolio might suffer from one day to the next. It then
sets the margin requirement to cover this one-day loss.

The complex calculations (e.g. the pricing of options) in SPAN are executed by NSCCL.
The results of these calculations are called risk arrays. Risk arrays, and other necessary data
inputs for margin calculation are provided to members daily in a file called the SPAN Risk
Parameter file. Members can apply the data contained in the Risk Parameter files, to their
specific portfolios of futures and options contracts, to determine their SPAN margin
requirements.

Hence, members need not execute complex option pricing calculations, which is performed
by NSCCL. SPAN has the ability to estimate risk for combined futures and options portfolios,
and also re-value the same under various scenarios of changing market conditions.

* SPAN ® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under license.

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 Margins
The margining system for F&O segment is as below:

Initial margin: Margin in the F&O segment is computed by NSCCL upto client level for
open positions of CMs/TMs. These are required to be paid up-front on gross basis at
individual client level for client positions and on net basis for proprietary positions.
NSCCL collects initial margin for all the open positions of a CM based on the margins
computed by NSE-SPAN. A CM is required to ensure collection of adequate initial
margin from his TMs up-front. The TM is required to collect adequate initial margins
up-front from his clients.

Premium Margin: In addition to Initial Margin, Premium Margin is charged at client
level. This margin is required to be paid by a buyer of an option till the premium
settlement is complete.

Assignment Margin for Options on Securities: Assignment margin is levied in addition to
initial margin and premium margin. It is required to be paid on assigned positions of
CMs towards interim and final exercise settlement obligations for option contracts on
individual securities, till such obligations are fulfilled. The margin is charged on the net
exercise settlement value payable by a CM towards interim and final exercise settlement.

Client Margins: NSCCL intimates all members of the margin liability of each of their
client. Additionally members are also required to report details of margins collected
from clients to NSCCL, which holds in trust client margin monies to the extent reported
by the member as having been collected form their respective clients.

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Table 6-1: Contract Specification for F&O
Particulars Index Futures Stock Futures Index Options Stock Options Interest Rate Futures
Security Description FUTIDX FUTSTK OPTIDX OPTSTK FUTINT
Underlying S&P CNX Nifty Index/ Individual Securities S&P CNX Nifty Index/ Individual Securities Notional 10 year bond (6% coupon),
CNX IT Index / CNX IT Index / Notional 10 year zero coupon bond and
BANKNifty Index BANKNifty Index Notional 91 day T-Bill
Style of Option NA NA European American NA
Contract Size As specified by SEBI; As specified by SEBI; As specified by SEBI; As specified by SEBI; Permitted lot size is 2000
Currently minimum Rs. 2 lakhs Currently minimum Rs. 2 lakhs Currently minimum Rs. 2 lakhs Currently minimum Rs. 2 lakhs
at the time of introduction at the time of introduction at the time of introduction at the time of introduction
Price Steps Rs. 0.05 Rs. 0.01
Expiration Months 3 near months One year
Trading Cycle A maximum of three month trading cycle - the near month (one), the next month (two) and the far month (three). The contracts shall be for a period of a maturity
New contract is introduced on the next trading day following the expiry of near month contract of one year with three months continuous
contracts for the first three months and fixed
quarterly contracts for the entire year
Last Trading/Expiration Day Last Thursday of the expiry month or the preceding trading day, if last Thursday is a trading holiday Last Thursday of the expiry month. If last
Thursday is a trading holiday, the contractshall
expire on previous trading day. Further, where the
last Thursday falls on the annual or half yearly
closing dates of the bank, the contract shall
expire on previous trading day.
Price Bands Operating range of Operating range of Operating range of Operating range of Operating range of
10% of the base price 20% of the base price 99% of the base price 99% of the base price 2% of the base price
No. of Strike Prices NA NA BANKNifty & CNXIT - 7 7 strikes (three 'in the money', NA
strikes (three 'in the money', one 'at the money' and three
one 'at the money' and three 'out of the money') for every
'out of the money') for every option type (i.e. call and put)
option type (i.e. call and put)
NIFTY -
Upto 1500 - 7 strikes (three
'in the money', one 'at the
money' and three 'out of the
money') for every option type
(i.e. call and put)
>1500 upto 2000 - 11 strikes
(five 'in the money', one 'at the
money' and five 'out of the
money') for every option type
(i.e. call and put)

Contd...
 Contd...

Table 6-1: Contract Specification for F&O

Particulars Index Futures Stock Futures Index Options Stock Options Interest Rate Futures

>2000 upto 2500 - 15 strikes

Strike Price Interval (in Rs.)
Settlement
Daily Settlement Price
Final Settlement Price
Settlement Day
Margins
NA: Not applicable
NA
In cash on T+1 basis
Closing price of futures
contract on the trading day
Closing value underlying
index/security on the last
trading day of the futures
contract.
NA
In cash on T+1 basis
Closing price of futures
contract on the trading day
Closing value underlying
index/security on the last
trading day of the futures
contract.
(seven 'in the money', one 'at
the money' and seven 'out of
the money') for every option
type (i.e. call and put)
> 2500 - 19 strikes (nine 'in
the money', one 'at the money'
and nine 'out of the money')
for every option type (i.e. call
and put)
10 Between 2.5 and 50 depending NA
on the price of underlying
In cash on T+1 basis Daily settlement on T+1 Daily Mark-to-Market settlement
basis and final settlement and Final Settlement will be
on T+1 basis on T+1 basis
Premium Value (net) Premium Value (net) As may be stipulated by NSCCL
in this regard from time to time
Closing value of such Closing value of such As may be stipulated by NSCCL
underlying index on the last underlying security on the in this regard from time to time
trading day of the options last trading day of the
contract. options contract.
Last trading day
Up-front initial margin on daily basis

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Table 6-2: Business Growth of Futures & Options Market Segment
Month/ Index Futures Stock Futures Interest Rate Futures Index Options Stock Options Total Average
Year Daily
No. of Trading No. of Trading No. of Trading Call Put Call Put No. of Trading
Cont- Volume Cont- Volume Cont- Volume Cont- Volume Trading
No. of Notional No. of Notional No. of Notional No. of Notional
racts (Rs. cr.) racts (Rs. cr.) racts (Rs. cr.) racts (Rs. cr.) Volume
Cont- Trading Cont- Trading Cont- Trading Cont- Trading
Traded Traded Traded Traded (Rs. cr.)
racts Volume racts Volume racts Volume racts Volume
Traded (Rs. cr.) Traded (Rs. cr.) Traded (Rs. cr.) Traded (Rs. cr.)
Jun-00 1,191 35 - - - - - - - - - - - - 1,191 35 2
Jul-00 3,783 108 - - - - - - - - - - - - 3,783 108 5
Aug-00 3,301 90 - - - - - - - - - - - - 3,301 90 4
Sep-00 4,376 119 - - - - - - - - - - - - 4,376 119 6
Oct-00 6,388 153 - - - - - - - - - - - - 6,388 153 7
Nov-00 9,892 247 - - - - - - - - - - - - 9,892 247 11
Dec-00 9,208 237 - - - - - - - - - - - - 9,208 237 12
Jan-01 17,860 471 - - - - - - - - - - - - 17,860 471 21
Feb-01 19,141 524 - - - - - - - - - - - - 19,141 524 26
Mar-01 15,440 381 - - - - - - - - - - - - 15,440 381 18
Jun-00 to Mar-01 90,580 2,365 - - - - - - - - - - - - 90,580 2,365 12
Apr-01 13,274 292 - - - - - - - - - - - - 13,274 292 15
May-01 10,048 230 - - - - - - - - - - - - 10,048 230 10
Jun-01 26,805 590 - - - - 5,232 119 3,429 77 - - - - 35,466 785 37
Jul-01 60,644 1,309 - - - - 8,613 191 6,221 135 13,082 290 4,746 106 93,306 2,031 92
Aug-01 60,979 1,305 - - - - 7,598 165 5,533 119 38,971 844 12,508 263 125,589 2,696 128
Sep-01 154,298 2,857 - - - - 12,188 243 8,262 169 64,344 1,322 33,480 690 272,572 5,281 264
Oct-01 131,467 2,485 - - - - 16,787 326 12,324 233 85,844 1,632 43,787 801 290,209 5,477 261
Nov-01 121,697 2,484 125,946 2,811 - - 14,994 310 7,189 145 112,499 2,372 31,484 638 413,809 8,760 438
Dec-01 109,303 2,339 309,755 7,515 - - 12,890 287 5,513 118 84,134 1,986 28,425 674 550,020 12,919 680
Jan-02 122,182 2,660 489,793 13,261 - - 11,285 253 3,933 85 133,947 3,836 44,498 1,253 805,638 21,348 928
Feb-02 120,662 2,747 528,947 13,939 - - 13,941 323 4,749 107 133,630 3,635 33,055 864 834,984 21,616 1,081
Mar-02 94,229 2,185 503,415 13,989 - - 10,446 249 4,773 111 101,708 2,863 37,387 1,094 751,958 20,491 1,078
2001-02 1,025,588 21,482 1,957,856 51,516 - - 113,974 2,466 61,926 1,300 768,159 18,780 269,370 6,383 4,196,873 101,927 413
Apr-02 73,635 1,656 552,727 15,065 - - 11,183 260 5,389 122 121,225 3,400 40,443 1,170 804,602 21,674 985
May-02 94,312 2,022 605,284 15,981 - - 13,070 294 7,719 169 126,867 3,490 57,984 1,643 905,236 23,600 1,073
Jun-02 99,514 2,123 616,461 16,178 - - 10,272 223 7,805 166 123,493 3,325 48,919 1,317 906,464 23,332 1,167
Jul-02 122,663 2,513 789,290 21,205 - - 16,637 350 7,688 162 154,089 4,341 65,530 1,837 1,155,897 30,407 1,322
Aug-02 152,375 2,978 726,310 17,881 - - 15,967 318 10,124 200 147,646 3,837 65,630 1,725 1,118,052 26,938 1,283

Contd...
 Contd...

Table 6-2: Business Growth of Futures & Options Market Segment

Month/ Index Futures Stock Futures Interest Rate Futures Index Options Stock Options Total Average
Year Daily
No. of Trading No. of Trading No. of Trading Call Put Call Put No. of Trading
Cont- Volume Cont- Volume Cont- Volume Cont- Volume Trading
No. of Notional No. of Notional No. of Notional No. of Notional
racts (Rs. cr.) racts (Rs. cr.) racts (Rs. cr.) racts (Rs. cr.) Volume
Cont- Trading Cont- Trading Cont- Trading Cont- Trading
Traded Traded Traded Traded (Rs. cr.)
racts Volume racts Volume racts Volume racts Volume
Traded (Rs. cr.) Traded (Rs. cr.) Traded (Rs. cr.) Traded (Rs. cr.)

Sep-02 144,303 2,836 700,051 17,501 - - 16,578 332 12,543 251 151,291 4,016 80,038 2,205 1,104,804 27,140 1,357
Oct-02 164,934 3,145 856,930 21,213 - - 23,628 459 13,910 267 214,027 5,595 104,659 2,761 1,378,088 33,441 1,592
Nov-02 175,567 3,500 970,251 25,463 - - 25,413 509 17,191 336 261,600 7,106 104,529 2,922 1,554,551 39,836 2,097
Dec-02 277,403 5,958 1,217,873 35,532 - - 30,261 660 19,973 427 309,573 9,552 111,756 3,491 1,966,839 55,620 2,649
Jan-03 258,955 5,557 1,304,122 38,299 - - 26,376 577 16,805 363 322,876 10,174 132,021 4,179 2,061,155 59,149 2,572
Feb-03 237803 5040.32 1,198,564 32,445 - - 26,501 571 17,681 375 268,156 7,644 114,512 3,319 1,863,217 49,395 2,600
Mar-03 325,299 6,624 1,138,980 29,770 - - 53,788 1,116 35,739 740 255,658 7,163 140,540 3,919 1,950,004 49,332 2,467
2002-03 2,126,763 43,951 10,676,843 286,532 - - 269,674 5,670 172,567 3,577 2,456,501 69,644 1,066,561 30,489 16,768,909 439,864 1,752
Apr-03 362,157 6,994 1,291,493 29,749 - - 54,890 1,091 31,107 616 297,270 7,471 168,553 4,098 2,205,470 50,020 2,501
May-03 325,784 6,283 1,354,581 32,752 - - 53,198 1,039 30,109 578 332,529 8,861 155,849 3,911 2,252,050 53,423 2,544
Jun-03 439,151 9,348 1,694,505 46,505 9,768 182 55,874 1,206 34,895 735 383,603 11,303 132,498 3,739 2,750,294 73,017 3,477
Jul-03 641,002 14,743 2,282,426 70,515 963 19 87,149 2,040 50,669 1,163 495,853 16,180 162,501 5,189 3,720,563 109,849 4,776
Aug-03 990,731 24,989 2,620,897 91,288 50 1 96,875 2,477 54,649 1,362 434,526 16,028 116,370 4,219 4,314,098 140,363 7,018
Sep-03 1,676,358 45,861 3,122,432 113,874 0 0 110,014 3,088 69,920 1,925 401,660 16,378 101,555 4,025 5,481,939 185,151 8,416
Oct-03 1,866,407 56,435 3,469,563 146,377 0 0 89,794 2,761 60,330 1,813 405,706 18,558 97,405 4,420 5,989,205 230,365 10,016
Nov-03 1,557,909 49,486 2,761,725 122,463 0 0 71,696 2,313 48,281 1,534 269,032 13,314 61,295 3,061 4,769,938 192,171 9,609
Dec-03 1,875,468 65,378 3,334,468 150,933 0 0 87,683 3,100 68,394 2,355 294,596 14,095 63,426 3,046 5,724,035 238,907 10,859
Jan-04 2,611,649 99,878 3,791,114 195,788 0 0 105,431 4,120 72,869 2,793 327,135 17,804 67,825 3,680 6,976,023 324,063 15,432
Feb-04 2,339,950 86,359 2,868,432 161,464 0 0 98,938 3,754 74,933 2,791 238,517 13,873 75,771 4,598 5,696,541 272,839 14,360
Mar-04 2,505,102 88,710 3,777,206 144,243 0 0 132,352 4,811 92,364 3,357 367,722 14,309 131,874 5,051 7,006,620 260,481 11,840
2003-04 17,191,668 554,462 32,368,842 1,305,949 10,781 202 1,043,894 31,801 688,520 21,022 4,248,149 168,174 1,334,922 49,038 56,886,776 2,130,649 8,388
Apr-04 2,164,528 79,560 3,829,403 121,048 0 0 115,378 4,347 80,733 2,968 292,628 9,640 85,998 2,736 6,568,668 220,299 11,015
May-04 2,551,985 82,149 3,322,799 92,628 0 0 196,198 6,824 100,430 3,469 246,630 7,717 63,156 1,976 6,481,198 194,763 9,274
Jun-04 2,152,644 64,017 3,125,283 78,392 0 0 158,784 4,914 117,041 3,559 193,687 5,339 75,380 2,084 5,822,819 158,306 7,196
Jul-04 1,971,231 61,125 3,492,774 94,009 0 0 189,179 6,059 124,352 3,856 262,755 7,614 94,222 2,682 6,134,513 175,345 7,970
Aug-04 1,803,263 57,926 3,577,911 99,591 0 0 127,779 4,192 98,618 3,193 284,013 8,499 86,919 2,604 5,978,503 176,006 8,000
Sep-04 1,463,682 49,500 3,768,178 107,123 0 0 124,547 4,282 93,808 3,164 365,187 10,763 116,304 3,547 5,931,706 178,380 8,108
Oct-04 1,320,173 47,191 3,660,047 111,695 0 0 138,099 5,030 97,628 3,500 357,625 11,684 93,342 3,124 5,666,914 182,224 9,111

Contd...

97
98
Contd...

Table 6-2: Business Growth of Futures & Options Market Segment

Month/ Index Futures Stock Futures Interest Rate Futures Index Options Stock Options Total Average
Year Daily
No. of Trading No. of Trading No. of Trading Call Put Call Put No. of Trading
Cont- Volume Cont- Volume Cont- Volume Cont- Volume Trading
No. of Notional No. of Notional No. of Notional No. of Notional
racts (Rs. cr.) racts (Rs. cr.) racts (Rs. cr.) racts (Rs. cr.) Volume
Cont- Trading Cont- Trading Cont- Trading Cont- Trading
Traded Traded Traded Traded (Rs. cr.)
racts Volume racts Volume racts Volume racts Volume
Traded (Rs. cr.) Traded (Rs. cr.) Traded (Rs. cr.) Traded (Rs. cr.)

Nov-04 1,023,111 38,277 3,600,135 113,525 0 0 131,218 4,979 102,223 3,814 363,158 11,971 94,810 3,239 5,314,655 175,805 8,790
Dec-04 1,447,464 58,333 5,238,498 179,387 0 0 130,557 5,355 108,650 4,356 481,349 16,952 108,951 3,845 7,515,469 268,227 11,662
Jan-05 1,931,290 76,151 4,551,564 159,564 0 0 176,682 7,188 143,416 5,786 362,345 13,502 81,618 3,100 7,246,915 265,290 13,963
Feb-05 1,729,103 71,546 4,167,787 151,743 0 0 168,594 7,128 144,627 5,998 367,707 13,890 83,843 3,247 6,661,661 253,551 12,678
Mar-05 2,076,975 86,398 4,708,687 175,363 0 0 213,632 9,074 211,385 8,918 369,895 14,496 113,590 4,608 7,694,164 298,857 13,584
2004-05 21,635,449 772,174 47,043,066 1,484,067 0 0 1,870,647 69,373 1,422,911 52,581 3,946,979 132,066 1,098,133 36,792 77,017,185 2,547,053 10,067
Apr-05 3,332,361 65,598 4,225,623 106,129 0 0 361,544 7,295 295,020 5,981 307,994 8,203 105,955 2,764 8,628,497 195,969 9,798
May-05 3,545,971 70,465 4,466,404 112,882 0 0 382,530 7,726 353,975 7,056 288,137 7,642 100,602 2,609 9,137,619 208,380 9,472
Jun-05 3,626,288 77,218 5,783,428 163,096 0 0 421,480 9,092 331,753 7,041 385,640 11,677 104,478 3,122 10,653,067 271,246 11,793
Jul-05 3,451,684 77,399 6,537,794 199,638 0 0 358,867 8,130 389,154 8,642 376,129 11,735 84,989 2,623 11,198,617 308,166 15,408
Aug-05 4,278,829 100,813 7,124,266 234,817 0 0 444,294 10,620 485,001 11,372 350,370 11,935 81,453 2,750 12,764,213 372,307 16,923
Sep-05 4,701,774 118,905 6,995,169 236,945 0 0 523,948 13,370 583,081 14,550 363,872 12,917 85,897 3,069 13,253,741 399,756 19,036
Oct-05 6,849,732 170,100 6,526,919 214,398 0 0 695,311 17,632 715,208 17,954 309,120 10,753 80,134 2,822 15,176,424 433,660 21,683
Nov-05 5,238,175 135,478 6,252,736 216,526 0 0 595,900 15,582 604,657 15,491 287,136 10,069 77,052 2,708 13,055,656 395,853 19,793
Dec-05 6,613,032 183,293 6,252,736 280,283 0 0 775,216 21,862 764,964 21,125 361,268 13,630 95,261 3,614 16,181,118 523,807 23,809
Jan-06 5,760,999 166,127 7,134,199 265,042 0 0 663,684 19,392 666,782 19,129 365,493 14,265 90,562 3,629 14,681,719 487,584 24,379
Feb-06 5,186,835 156,359 7,443,178 288,715 0 0 506,714 15,526 559,682 16,805 326,233 12,350 75,740 2,918 14,098,382 492,672 25,930
Mar-06 5952206 192034.79 10844400 473250.73 0 0 683,979 22,407 772,372 24,690 444,604 18,576 92,657 3,890 18,790,218 734,849 33,402
2005-06 58,537,886 1,513,791 79,586,852 2,791,721 0 0 6,413,467 168,632 6,521,649 169,837 4,165,996 143,752 1,074,780 36,518 156,300,630 4,824,250 19,220
 Table 6-3: Segment wise Contribution of Top ‘N’ Members
(in percent)
2004-05 2005-06
Futures Options Futures Options

Top 5 Members 24 39 12 23
Top 10 Members 41 60 20 36
Top 15 Members 54 74 26 45
Top 25 Members 74 95 36 55

Table 6-4: Settlement Statistics in F&O Segment

(In Rs. crore)
Month/Year Index/Stock Futures Index/Stock Options Total
MTM Final Premium Exercise
Settlement Settlement Settlement Settlement
Jun-00 0.22 0.01 -- -- 0.23
Jul-00 1.46 0.04 -- -- 1.50
Aug-00 0.76 0.03 -- -- 0.79
Sep-00 2.11 0.13 -- -- 2.25
Oct-00 3.42 0.27 -- -- 3.69
Nov-00 4.65 0.07 -- -- 4.73
Dec-00 9.82 0.69 -- -- 10.50
Jan-01 11.94 0.11 -- -- 12.05
Feb-01 16.14 0.51 -- -- 16.65
Mar-01 33.56 0.06 -- -- 33.62
2000-01 84.08 1.93 -- -- 86.01
Apr-01 8.04 0.09 -- -- 8.13
May-01 3.78 0.11 -- -- 3.89
Jun-01 4.85 0.01 1.47 0.28 6.61
Jul-01 6.70 0.14 5.88 1.43 14.13
Aug-01 4.59 0.14 9.83 5.06 19.62
Sep-01 33.69 0.50 15.62 13.91 63.72
Oct-01 11.27 0.10 17.96 11.42 40.75
Nov-01 28.38 0.71 24.55 20.21 73.85
Dec-01 78.94 3.76 17.47 8.21 108.38
Jan-02 112.53 2.17 30.57 17.75 163.02
Feb-02 108.87 12.21 24.40 8.86 154.34
Mar-02 103.62 1.99 17.01 6.81 129.42
2001-02 505.25 21.93 164.76 93.95 785.88
Apr-02 106.56 4.15 17.3 8.65 136.66
May-02 166.54 1.84 21.53 14.35 204.26
Jun-02 124.05 3.44 19.70 10.35 157.54
Jul-02 160.88 1.70 23.60 10.67 196.85
Aug-02 102.1 2.88 20.46 13.89 139.33
Sep-02 119.83 1.44 23.31 13.46 158.04
Oct-02 128.24 7.79 25.80 16.64 178.47
Nov-02 110.93 8.68 33.71 35.34 188.66
Dec-02 164.04 5.33 44.64 16.82 230.83
Jan-03 218.42 2.99 38.39 22.94 282.74
Feb-03 148.42 1.68 28.93 13.14 192.17
Mar-03 187.89 3.84 33.84 19.64 245.21
2002-03 1,737.90 45.76 331.21 195.88 2,310.76
Apr-03 205.81 4.79 46.00 30.01 286.60
May-03 163.59 5.74 38.04 30.43 237.80
Jun-03 220.23 3.86 48.78 46.50 319.37
Jul-03 389.79 8.02 69.43 44.77 512.01
Aug-03 569.60 8.58 77.32 58.81 714.31
Sep-03 1,031.87 9.24 78.12 30.41 1,149.64
Oct-03 1,188.05 14.11 99.15 60.31 1,361.61
Nov-03 939.35 23.86 63.40 22.11 1,048.72
Dec-03 905.46 17.90 69.99 41.10 1,034.44
Contd....

99
 Contd....

Table 6-4: Settlement Statistics in F&O Segment

(In Rs. crore)
Month/Year Index/Stock Futures Index/Stock Options Total
MTM Final Premium Exercise
Settlement Settlement Settlement Settlement
Jan-04 2,668.21 12.82 107.46 42.67 2,831.16
Feb-04 1,329.70 16.40 68.26 24.42 1,438.77
Mar-04 1,210.32 13.62 93.00 44.58 1,361.53
2003-04 10,821.98 138.95 858.94 476.12 12,295.98
Apr-04 837.28 15.67 64.70 25.29 942.95
May-04 2,556.13 13.47 91.29 35.82 2,696.71
Jun-04 535.25 20.05 46.81 9.85 611.96
Jul-04 451.15 15.14 72.13 42.77 581.19
Aug-04 548.01 8.66 50.90 14.65 622.22
Sep-04 480.12 12.63 56.21 39.74 588.70
Oct-04 837.82 23.18 68.50 31.00 960.50
Nov-04 691.17 10.21 76.82 41.95 820.15
Dec-04 1,238.58 22.31 104.09 56.54 1,421.52
Jan-05 2,317.69 31.74 96.36 42.37 2,488.16
Feb-05 991.63 10.62 96.35 39.30 1,137.90
Mar-05 1,539 44 117 77 1,777
2004-05 13,024.18 227.50 941.06 455.87 14,648.62
Apr-05 1,736.91 31.15 82.83 30.32 1,881.21
May-05 943.69 41.74 72.54 44.95 1,102.92
Jun-05 1,095.79 35.18 93.16 71.32 1,295.45
Jul-05 1,567.52 38.49 92.86 58.85 1,757.72
Aug-05 2,544.80 36.56 118.94 26.78 2,727.08
Sep-05 2,366.70 17.31 135.91 95.85 2,615.77
Oct-05 3,479.10 120.46 143.92 79.20 3,822.68
Nov-05 1,831.40 32.17 122.63 75.71 2,061.91
Dec-05 2,487.80 22.74 139.72 67.05 2,717.31
Jan-06 2,034.60 107.17 139.52 52.06 2,333.35
Feb-06 1,886.60 44.47 146.68 56.86 2,134.61
Mar-06 3610.60 70.45 231.87 158.89 4,071.81
2005-06 25,585.51 597.89 1,520.58 817.84 28,521.82

Chart 6-1: Business Growth of F&O Segment

100