Description

BSE announces contract specifications and launch calendar for Brent crude oil options with crude oil 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 be available as per the contract launch calendar with specific trading parameters and margin requirements.

Key Points

  • Symbol: BRCRUDE - Options on Brent Crude Oil Futures
  • Option Type: European Call & Put Options
  • Trading Unit: One BSE Brent Crude Oil futures contract
  • Trading Hours: Monday to Friday 9:00 AM to 11:30/11:55 PM (based on US daylight saving time)
  • Strike Configuration: 25 ITM + 25 OTM + 1 ATM strikes (51 CE and 51 PE)
  • Strike Price Intervals: Rs. 50
  • Tick Size: Rs. 0.10
  • Quotation: Rs. per barrel, Ex-Mumbai (excluding all taxes)

Contract Details

  • Contract Start: Next business day after near month futures expiry
  • Expiry: Two business days prior to underlying futures expiry
  • Base Price: Theoretical price using Black 76 option pricing model on first day, then previous day’s settlement price
  • Daily Price Limits: Determined using Black 76 model with statistical methods

Margin Requirements

  • Initial Margin: SPAN-based portfolio margining system
  • Price Scan Range: 3.5 Standard Deviation
  • Volatility Scan Range: Minimum 5% or as per ICCL
  • Short Option Minimum Margin (SOMM): As per SEBI circular SEBI/HO/CDMRD/DRMP/CIR/P/2020/15
  • Extreme Loss Margin: Minimum 1% on short positions only
  • Premium: Blocked upfront on real-time basis

Trading Operations

  • Real-time margin computation at client level
  • Multiple daily margin recomputation: 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
  • Mark-to-market without cash settlement for options positions
  • Sensitivity reports provided 2 days in advance for margin increases

Impact Assessment

This launch expands BSE’s commodity derivatives offerings, providing traders with additional hedging and speculation tools in the energy sector. The comprehensive margin framework ensures risk management while the European-style options offer specific exercise characteristics for market participants.

Impact Justification

New derivative product launch affects commodity derivatives trading segment