The National Stock Exchange (NSE) on April 26, 2024, issued a notification regarding the Base price for Future & Option contracts.
The following has been stated namely: -
• The below shall be applicable to the Base price of the futures and options contracts:
o Futures Contracts:
The theoretical price of the contract shall be set as the base price, using the formula 'S * e^t' (where 'S' is the appropriate underlying price, 'r' is the applicable MIBOR rate, and 't' is time to maturity in years)
o Options Contracts:
The theoretical price of an option contract shall be computed considering inputs like appropriate underlying price, strike price, applicable MIBOR rate, underlying volatility computed using the EWMA model, and time to maturity in years.
o The base price of the GOLDM option on futures contracts on subsequent days shall be computed theoretically for all the option contracts at the EOD, as per the Black and Scholes model (the Bachelier model shall be used for negative strikes and when the underlying is negative)
• Members are advised to take the updated co_contract.gz and NSE_COM_contract_ddmmyyyy.csv.gz files available on the NSE extranet (path: /comtftp/comtcommon) before trading
The circular shall be effective from April 30, 2024.
[Notification No. NSE/COM/61784]
