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.
The contract is easy to understand because the price reflected in the Index is the internationally quoted USDINR convention.The Index nature of the contract causes the both USD and INR leg to be variable, providing extra beta to the contract making it very suitable for traders.
- Hedging window available long after Indian currency markets close
- Arbitrage opportunity with the conventional INR-USD contract traded on the index
- Low size , and impact cost makes it a very good contract for traders
- Unique trading opportunity for Indians in the region and international funds with exposure to India to manage their risk
- Contract size is variable and depends on the Indian Rupee movement against the USD, making it better to take advantage on movements in the Indian Rupee
- Cash settled in USD on the Indian Central Bank reference rate eliminating any basis risk
- UAE is a Tax Free jurisdiction ensuring no tax liability arising out of accrued profit
- Market hours from 7.30 AM India time till 1.25 AM India time
- Overlaps most trading zones including Europe and United States
Contract Parameters Contract Type Future Contract Name Indian Rupee Quanto Contract Symbol DINRI Underlying Indian Rupee Contract Size US$ 100 per Index Point (e.g. Index is at 65, then Contract Size will be US$ 100 x 65 = US$ 6,500 Notional Contract Value 100 Index Points Trading Currency USD Settlement Currency USD Price Quote US INR Quanto to 4 decimal places Tick Size 0.0025 Index Points Tick Value US$ 0.25 Settlement Basis Cash Settled Final Cash Settlement Price (FCSP) FCSP is based on the official USDINR reference rate issued by relevant body on Last Trading Day (rounded to 4 decimal places) Last Trading Day (LTD) Two Business Days prior to the last Business Day of the contract month Trading Days Exchange Business Days* Trading Hours 07:00 – 23:55 Hours Dubai time Trading Months Monthly contracts for three months forward New Contract Listing Business Day immediately following the Last Trading Day Max Order Size 2,500 Lots Wholesale Trades Block Trade minimum size threshold: 200 lots. EFP/EFS also available. Trades must be submitted 15 minutes after execution No Cancellation Range See link: www.dgcx.ae/price-limits
Expiry Month Expiry Code Last Trading Day Oct'18 DINRI-20181029 29 Oct 2018 Nov'18 DINRI-20181128 28 Nov 2018 Dec'18 DINRI-20181227 27 Dec 2018