Description

BSE announces contract specifications and trading parameters for Brent Crude Oil Options with futures as underlying.

Summary

BSE has released detailed contract specifications for Brent Crude Oil Options with Crude Oil Futures as the underlying asset. The European style call and put options will trade under symbol BRCRUDE with specific margin requirements, strike intervals, and trading parameters.

Key Points

  • Symbol: BRCRUDE for Brent Crude Oil Options on Futures
  • European Call & Put Options with 100 barrel futures as underlying
  • Trading hours: Monday to Friday 9:00 AM to 11:30/11:55 PM
  • Strike configuration: 25 ITM + 25 OTM + 1 ATM (51 CE and 51 PE)
  • Strike price intervals: Rs. 50
  • Tick size: Rs. 0.10 minimum price movement
  • Trading unit: One BSE Brent Crude Oil futures contract

Trading Specifications

  • Contract Listing: As per Contract Launch Calendar
  • Start Day: Next business day after near month futures expiry
  • Expiry: Two business days prior to underlying futures expiry
  • Base Price: Black 76 option pricing model theoretical price on first day
  • Quotation: Rs. per barrel, Ex-Mumbai (excluding taxes)

Margin Requirements

  • Initial Margin: SPAN-based portfolio margining system
  • Price Scan Range: 3.5 Standard Deviation
  • Volatility Scan Range: Minimum 5% or as decided by ICCL
  • Short Option Minimum Margin: Per SEBI guidelines
  • Extreme Loss Margin: Minimum 1% on short positions
  • Premium: Blocked upfront on real-time basis
  • Recomputation: Multiple times daily including BOD, EOD

Important Dates

  • Trading Sessions: Monday through Friday
  • Margin Recomputation: BOD, 10:30 AM, 12:30 PM, 1:30 PM, 3:00 PM, 5:00 PM, 7:00 PM, 8:30 PM, 10:30 PM, EOD
  • Sensitivity Reports: Provided 2 days in advance for margin increases

Impact Assessment

This circular enhances BSE’s commodity derivatives offering by providing detailed specifications for Brent crude oil options trading. The comprehensive margin framework and real-time premium blocking ensures risk management while facilitating hedging and speculation in crude oil markets. Trading members need to understand the complex margin calculations and multiple daily recomputation schedules.

Impact Justification

Introduces new derivative contract specifications affecting commodity traders