The National Stock Exchange (NSE) on July 24, 2024, notified regarding the Base price computation for GOLDM contract – Discontinuation of XAU feed.
The following has been stated:
For Futures Contracts:
• In case the close price of the future contract is computed as below, then such close price shall be set as the base price.
o Volume Weighted Average Price (VWAP) of all trades done during last half an hour of the trading day, subject to minimum of ten trades, or,
o If the number of trades during last half an hour is less than ten, then close price shall be based on the VWAP of the last ten trades executed during the day,
Options Contracts:
• The GOLDM option on futures contracts on the first day shall be the theoretical options price as per the Black 76 model (Bachelier model shall be used for negative strikes and when the underlying is negative).
• Base price on subsequent trading days shall be as follows:
o In case the close price of the GOLDM option on future contract is computed as below, then such close price shall be set as the base price.
o Volume Weighted Average Price (VWAP) of all trades done during last half an hour of the trading day, or,
o If the contract has traded during the day but not traded during the last half an hour, then close price shall be Last Traded Price (LTP) of the contract for the day.
These aforesaid changes shall be effective in LIVE from August 06, 2024. Further the XAU price data feed shall be available till August 30, 2024, and shall be discontinued from next trading day.
[Notification No NSE/COM/63053]
