The Bombay Stock Exchange (BSE) on April 28, 2023, issued a notification regarding the Modification to the Methodologies of the S&P BSE Indices.
The following has been stated namely: -
• To align the S&P BSE Indices, Asia Index Private Limited (“AIPL”) announced the following methodology changes to the S&P BSE Indices.
• Under the S&P BSE SENSEX Futures Index - The near-month futures contract expires on the last Friday of each month. In case the last Friday is a holiday, it expires on the immediately preceding business day.
This change will be implemented in conjunction with the May 2023 rollover, which takes effect after the market close on Tuesday, May 23, 2023.
• Under the S&P BSE Arbitrage Rate Index - The index is rebalanced monthly, effective after the close one business day prior to the expiration of the futures contract. The near-month futures contract expires on the last Friday of each month. If the last Friday is a holiday, the contract expires on the immediately preceding business day.
This change will be implemented in conjunction with the May 2023 rebalancing, which takes effect after the market close on Wednesday, May 24, 2023.
• Under the S&P BSE Realized Volatility Indices - The formula for realized volatility uses continuously compounded daily returns assuming a mean daily price return of zero. The summation of the squared daily returns is annualized, assuming 252 business days per year.
The formula is used to calculate the value of the index on the nth day of the underlying option expiration cycle. At BSE, the options expire on the last Friday of the month.
This change will be implemented effective after the market close on Friday, May 26, 2023.
[Notification No. 20230428-14]
