SGX Nifty – Futures & Options
Key Features of SGX Nifty
3. No FII requirements
4. Lower cost structure – Lower exchange clearing fees, No transaction and capital taxes, Interest payable on margins
5. Extended trading hours
6. Availability of cross product margins offset
7. Co Location available.
Its first important Point is – Nifty is available to you from 6:30 AM Indian time at Singapore till 3:30 AM India time at India.
Now Futures as well as options trading is approved.
Singapore Exchange has obtained licensing rights and expects to provide S&P CNX Nifty Index (Nifty) options and related products in end of Year 2011.Licensing rights from India Index Services & Products Limited (IISL) will allow SGX to offer the product range including derivative contracts on the CNX Nifty Junior, CNX 100 and CNX Midcap indices. Subject to regulatory approvals, the products may be added amidst rise in the trading of India-related products on SGX.
Contract Size – US$2 × SGX S&P CNX Nifty Index Futures price ≈ US$11,000* (*assuming futures price of 5,500) .
Contract Months – 2 nearest serial months and Mar, Jun, Sep and Dec months on 1-year cycle.
Minimum Price Fluctuation – 0.5 index point (US$1.00)
Trading Hours (Singapore Time) – T session: 9.00am – 6.10pm T+1 session: 7.15pm – 2.00am (next day)
Last Trading Day – Last Thursday of the expiring contract month. If this falls on an India holiday, the last trading day shall be the preceding business day.
Settlement Basis – Cash settlement
Final Settlement Price – Official closing price of the S&P CNX Nifty Index rounded to the nearest 2 decimal places.
Negotiated Large Trade (NLT) – Minimum 50 lots
Margins (as of 11 Aug 2011) – Maintenance: US$550
Daily Price Limits – Temporary Price Limits
Effective from 10 October 2008 until further notice from the Exchange
(when the Initial Price Limit at 10% is reached, the Exchange will only signal a Cooling Off Period* if the underlying cash market for the SGX Nifty Contract is closed)b. an Intermediate Upper and Lower Price Limit of 15%c. a Final Upper and Lower Price Limit of 20%.
Cooling Off Periods* for all price limits (10%, 15% and 20%) will be 5 minutes. There shall be no price limits for the remaining of the Trading Day after the Final Cooling Off Period*.
For the avoidance of doubt,
(i) if the Exchange signals a Cooling Off Period* when the 10% Upper or Lower price limit is reached, all resting bid and offer orders beyond the 10% price limit will automatically be removed from the order book.
(ii) once the Initial Upper and Lower Price Limit of 10% is reached for the Trading Day, the SGX Nifty Contract will then be subject to the Intermediate and Final Price Limits (15% and 20% respectively) for the remainder of the Trading Day. This will apply regardless of whether the Exchange signals a Cooling Off Period* when the Initial Upper and Lower Price Limit of 10% is reached.
There shall be no price limits on the Last Trading Day of the expiring contract.
Settlement Basis – Cash Settlement. The Final Settlement Price shall be the official closing price of the S&P CNX Nifty Index, which is derived based on the average weighted prices of the individual component stocks of the index during the last 30 minutes of trading. The official closing price will be rounded to two decimal places.
Position Limit – A person shall not own or control more than 25,000 contracts net long or net short in all contract months combined.
1. SCOPE OF CONTRACT SPECIFICATIONS AND DEFINITIONS
These SGX S&P CNX Nifty Index futures contract specifications (“these specifications”) govern futures trading in the SGX S&P CNX Nifty Index on the SGX-DT Market. The rules and procedures for trading that are not specifically covered in these Specifications shall be as set forth in the Trading Rules.1 Capitalized terms used herein and not otherwise defined shall have the meanings ascribed to them under the Trading Rules. For the purposes of these Specifications and unless the context otherwise requires, the following capitalized terms shall have the meanings set forth below:
Contract Refers to the SGX S&P CNX Nifty Index Futures Contract traded on the SGX-DT Market;
Cooling Off Period Refers to a period of ten (10) minutes or such other period as the Exchange may from time to time prescribe during which each Contract may only continue to be traded at or within its Price Limits for the time being in force;
Final Lower Limit Refers to a price of twenty percent (20%) or such other amount as the Exchange may prescribe from time to time below the previous day’s Daily Settlement Price for such Contract;
Final Upper Limit Refers to a price of twenty percent (20%) or such other amount as the Exchange may prescribe from time to time above the previous day’s Daily Settlement Price for such Contract;
Initial Lower Limit Refers to a price of ten percent (10%) or such other amount as the Exchange may prescribe from time to time below the previous day’s Daily Settlement Price for such Contract;
Initial Upper Limit Refers to a price of ten percent (10%) or such other amount as
the Exchange may prescribe from time to time above the previous day’s Daily Settlement Price for such Contract;
S&P CNX Nifty Index Refers to a free float-adjusted, market capitalization-weighted
index representing a diversified 50 stock index owned and managed by India Index Services & Products Limited;
Indian Business Day Refers to a day on which the National Stock Exchange of India
is open for trading.
1 Trading Rules refers to the Futures Trading Rulebook, which may be found on the Exchange’s website at
2.1 Trading Months and Hours
The Contract shall be listed for such Contract Months and scheduled for trading during such hours as may be determined by the Exchange.
2.2 Contract Value and Trading Unit
Each Contract shall be valued at two (2) U.S. Dollars multiplied by the Contract price. The trading unit shall be two (2) U.S. Dollars multiplied by the Contract price.
2.3 Minimum Fluctuations
Bids and offers shall be quoted in index points. The minimum fluctuation of the Contract
shall be one half (0.5) of an index point, equivalent to one (1) U.S. Dollar per Contract.
2.4 Position Limits
Unless otherwise approved by the Exchange and subject to Rule 4.1.18 of the Trading Rules, a Person shall not own or control Futures Contracts on the S&P CNX Nifty Index that exceed twenty five thousand (25,000) contracts net on the same side of the Market, and in all Contract Months combined.
2.5 Price Limits and Cooling Off Period
2.5.1 There shall be no trading in any Contract at a price above its Initial Upper Limit or
below its Initial Lower Limit except as provided for in this clause 2.5 and clause 2.6.
If the price for any Contract reaches either its Initial Upper Limit or Initial Lower Limit, the Exchange will signal a Cooling Off Period. After such Cooling Off Period, the respective Final Upper Limit and Final Lower Limit for each Contract shall come into effect.
2.5.2 If, after the Cooling Off Period signaled pursuant to clause 2.5.1, the price for any
such Contract reaches either its Final Upper Limit or Final Lower Limit, the Exchange will signal a further Cooling Off Period. After such Cooling Off Period, there will be no Price Limits for the remainder of the Trading Day.
2.6 Price Limits on Last Trading Day
Notwithstanding clause 2.5, there shall be no Price Limits on the Last Trading Day for an
2.7 Trigger for Price Limits
The Price Limits referred to in clause 2.5 shall be deemed to have been reached upon:
(a) the making of the first unsatisfied bid at the Initial Upper Limit or Final Upper Limit in part or in whole; or
(b) the first unsatisfied offer at the Initial Lower Limit or Final Lower Limit in part or in whole, as the case may be.
2.8 Termination of Trading
The Last Trading Day shall be the last Thursday of the Contract Month. If the Last Trading Day is not an Indian Business Day, the preceding day on which the underlying market is open for trading shall be the Last Trading Day.
If, at any time in the course of or after the close of trading on the day preceding what should in the normal course of business be the penultimate trading day (the “NPTD”) with respect to a Contract Month, or anytime thereafter, it comes to the knowledge of the Exchange that either of the two (2) days in that Contract Month which was expected in the ordinary course of business to have been respectively the last and penultimate Trading Day for that Contract Month will not in fact be an India Business Day, then the Last Trading Day shall be the next India Business Day that follows the NPTD.If, at any time in the course of or after the close of trading on the day preceding the NPTD, or anytime thereafter, it becomes known to the Exchange that both of the days erstwhile expected in the ordinary course of business to have been respectively the penultimate and the Last Trading Day would not be Indian Business Day(s) of the Contract Month, then the Last Trading Day shall be the next Indian Business Day following the NPTD.
3 CLEARING AND SETTLEMENT
Settlement under these Specifications shall be by cash settlement.
3.1. Final Settlement Price
The Final Settlement Price shall be the official closing price for the S&P CNX Nifty Index rounded to two decimal places on the Last Trading Day.
3.2 Alternative Resolution of Final Settlement Price
Notwithstanding clause 3.1, the Exchange and the Clearing House may, where the Final
Settlement Price prescribed in clause 3.1 is not available, resolve that the Final Settlement Price shall be determined by other means in accordance with Rule 4.1.20 of the Trading Rules. The decision of the Exchange and the Clearing House shall be binding upon all parties to the Contract.
3.3. Final Settlement
Clearing Members holding Open Positions in the Contract at the time of termination of trading in that Contract shall make payment to or receive payment from the Clearing House in accordance with normal variation margin procedures, based on a settlement price equal to the Final Settlement Price.
3.4 Other Rules and Procedures for Clearing and Settlement
The rules and procedures for clearing and settlement that are not specifically covered in these Specifications shall be governed by the Clearing Rules.2
2 The Clearing Rules refers to the SGX-DC Clearing Rules, which may be found on the Exchange’s website at
4. REQUIREMENTS FOR TRADING
The Exchange has entered into a license agreement with the India Index Services & Products Limited (“IISL”) to be permitted to use certain stock indices to which the India Index Services & Products Limited owns rights in and to (the “IISL Indices”) and the proprietary data contained therein in connection with the listing, trading, marketing and clearing of derivative securities linked to such indices.
IISL assumes no liability or obligations in connection with the trading of any contract based on the IISL Indices. IISL and Standard & Poor’s, a division of the McGraw-Hill Companies Inc. (S&P) shall not be responsible for any losses, expenses or damages arising in connection with the trading of any contract linked to the IISL Indices, provided that nothing herein shall affect either party’s obligations as a party trading in
any contract linked to the IISL Indices. The Exchange, IISL and Standard & Poor’s do not guarantee the accuracy or completeness of any of the IISL Indices or any data included herein.
SGX Nifty – Options contract Specifications (Started in December 2011)
New Functionalities Features
A. Listed Options Strategies
• Vertical Spread
• Horizontal Spread
• 1:2 Ratio Spread
B. Tailor-Made Combinations (TMCs)
• Available for listing and trading
• RFQ supported
SGX Nifty – Options contract Specifications
Contract Size – US$2 x S&P CNX Nifty Index Price ≈ US$11,600
Contract Months – 2 nearest serial months and 12 nearest quarterly months on the Mar, Jun, Sep and Dec cycle.
Strike Prices – 100 index points (ATM strike +/- 12 strikes)
Minimum Price Fluctuation – 0.1 index points (US$0.20)
Trading Hours (Singapore Time) – T session: 9.00am – 6.15pm T+1 session: 7.15pm – 2.00am (next day)
Last Trading Day – Last Thursday of the expiring contract month. If this falls on an Indian holiday, the Last Trading Day shall be the preceding business day.
Option Exercise – European style – In-the-money options will be exercised and cash settled automatically.
Trading Halt – Save for trading on the Last Trading Day of an expiring Option Contract, trading in an Option Contract shall be halted during the Cooling Off Period of the SGX S&P CNX Nifty Index Futures.
Negotiated Large Trade (NLT)- Minimum 25 lots
This post originally appeared on the Algotradingindia Blog. Lokesh Madan is a strategy business consultant for various high frequency trading companies worldwide with more than 12 years of experience in financial technology, research work and business development.