Description

BSE announces contract specifications and trading parameters for Brent crude oil options with futures as underlying instrument.

Summary

BSE has announced the contract specifications for Brent crude oil options with crude oil futures as the underlying instrument. The options will be European-style call and put options with symbol BRCRUDE, trading Monday through Friday from 9:00 AM to 11:30/11:55 PM based on US daylight saving time.

Key Points

  • Contract symbol: BRCRUDE with Brent crude oil futures as underlying
  • European call and put options available
  • Trading unit: One BSE Brent crude oil futures contract (100 barrels)
  • Strike price intervals: Rs. 50
  • Minimum tick size: Rs. 0.10
  • 51 strikes available: 25 ITM, 25 OTM, 1 ATM (51 CE and 51 PE)
  • Base price determined using Black 76 option pricing model

Trading Parameters

  • Trading Hours: Monday to Friday, 9:00 AM to 11:30/11:55 PM
  • Contract Listing: As per Contract Launch Calendar
  • Expiry: Two business days prior to underlying futures expiry
  • Quotation: Rs. per barrel, Ex-Mumbai (excluding all taxes)
  • Price Limits: Determined using Black76 model based on underlying futures movement

Margin Requirements

  • Initial margin computed using SPAN (Standard Portfolio Analysis of Risk)
  • Price Scan Range: 3.5 Standard Deviation
  • Volatility Scan Range: Minimum 5% or as decided by ICCL
  • Short Option Minimum Margin (SOMM) as per SEBI guidelines
  • Extreme Loss Margin: Minimum 1% on short option positions
  • Premium blocked upfront on real-time basis
  • Real-time margin computation at multiple intervals throughout trading day

Important Dates

  • Contract start: Next business day after near month futures expiry
  • Last trading day: Two business days prior to underlying futures expiry
  • Margin computation: Begin of Day, 10:30 AM, 12:30 PM, 1:30 PM, 3:00 PM, 5:00 PM, 7:00 PM, 8:30 PM, 10:30 PM, End of Day

Impact Assessment

This launch expands BSE’s commodity derivatives offerings, providing traders and hedgers additional instruments for managing crude oil price risk. The European-style options with comprehensive margin framework using SPAN methodology ensures adequate risk management while facilitating efficient price discovery in the energy derivatives segment.

Impact Justification

New derivative product launch with specific trading parameters affecting commodity derivatives market participants