Description

BSE specifies contract specifications for Brent Crude Oil Options with Crude Oil Futures as underlying, including trading parameters, margin requirements, and settlement details.

Summary

BSE has issued contract specifications for Brent Crude Oil Options (symbol: BRCRUDE) with Brent Crude Oil Futures as the underlying instrument. The circular outlines trading parameters, strike price structure, margin framework, and settlement mechanics for European-style Call and Put options on Brent Crude Oil Futures contracts.

Key Points

  • Symbol: BRCRUDE — European Call & Put Options on Brent Crude Oil Futures (100 barrels per contract)
  • Trading Hours: Monday to Friday, 9:00 a.m. to 11:30/11:55 p.m. (timing varies based on US daylight saving time)
  • Trading Unit: One BSE Brent Crude Oil Futures contract
  • Strike Structure: 25 In-the-money, 25 Out-of-the-money, and 1 Near-the-money (51 CE and 51 PE); Exchange may add additional strikes
  • Strike Price Interval: Rs. 50
  • Tick Size: Rs. 0.10
  • Base Price: Theoretical price using Black 76 option pricing model on first day; previous day’s Daily Settlement Price thereafter
  • Quotation Base: Rs. per barrel, Ex-Mumbai (excluding taxes and levies)
  • Contract Start Day: Next business day immediately after expiry of near month futures contract
  • Expiry Day: Two business days prior to the expiry of the underlying futures contract

Regulatory Changes

  • Contracts will be listed as per the Contract Launch Calendar issued by BSE.
  • Daily Price Limit is determined using statistical methods based on the Black76 option pricing model, with relaxation permitted considering underlying futures movement or option-specific volatility.
  • SPAN margining system is mandated for Initial Margin computation.

Compliance Requirements

  • Initial Margin: Computed via SPAN at portfolio level per individual client (futures + options positions combined)
  • Price Scan Range: 3.5 Standard Deviation (3.5 sigma)
  • Volatility Scan Range: Minimum 5% or as determined by ICCL; refer to latest ICCL circulars
  • Short Option Minimum Margin (SOMM) and MPOR: Per SEBI Circular SEBI/HO/CDMRD/DRMP/CIR/P/2020/15 dated January 27, 2020; refer latest ICCL circulars
  • Extreme Loss Margin: Minimum 1% on short option positions only
  • Buyer Premium: Blocked upfront on real-time basis
  • SPAN Recomputation Schedule: 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, and End of Day
  • Mark to Market: Options positions marked to market; MTM gains/losses not settled in cash for options
  • Members to receive sensitivity reports at least 2 days in advance of margin increases near expiry

Important Dates

  • Circular Date: March 12, 2026
  • Contracts available per the Contract Launch Calendar (specific dates to be notified separately)
  • Pre-expiry margin mechanism: sensitivity report provided at least 2 days before expiry

Impact Assessment

This circular primarily impacts commodity derivatives traders and exchange members participating in the Brent Crude Oil segment on BSE. The specifications align with standard BSE/ICCL margining frameworks and SEBI guidelines. The European-style option structure limits early exercise risk. The SPAN-based margining and real-time premium blocking requirements necessitate adequate liquidity management by members. No broad equity market impact is anticipated.

Impact Justification

Operational circular detailing contract specifications for Brent Crude Oil options; relevant to commodity derivatives traders and members but limited to a specific instrument segment.