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 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
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