The National Stock Exchange (NSE) on May 13, 2023, issued an update in regards to Daily Price Limit (DPL), Base Price & Close Price for Commodity Future Contracts.
The following has been stated:
1. Close price for Future contracts:
Close price for future contracts shall be determined in the following order:
a)Volume Weighted Average Price (VWAP) of all trades done during the last half an hour of the trading day, subject to a minimum of ten trades.
b)If the number of trades during the last half an hour is less than ten, then the close price shall be based on the VWAP of the last ten trades executed during the day.
c)If the contract has traded during the day but the number of trades executed is less than ten, then the close price shall be the Last Traded Price (LTP) of the contract for the day.
d)If no trade is executed during the day on the contract, the previous close price shall be the close price for the day (this shall be the base price in case of the first trading day of the contract).
2. Base price for future contracts:
a)In case the close price of the futures contract is computed as per point 1. a or 1. b above, then such close price shall be set as the base price.
b)In case the close price of the futures contract is computed as per point 1. c or 1.d above, then the daily settlement price of the contract shall be set as the base price.
3. Daily Price Limits (DPL) on First Trading Day (launch day) of the future contracts:
a)At the start of trading the DPL as per the initial slab shall be applicable on the base price computed on the previous day's EOD. The base price shall be computed as the theoretical price of the contract. (S*e^rt; where S is the underlying price, r is the rate of interest, and t is the time to maturity.)
Disclaimer: Please refer to the document to view further details.
[Ref No: NSE/COM/56703]
