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Corporate Laws Central Ministry of Finance Securities and Exchange Board of India Act, 1992

Revision in Scheme of Strikes in US Dollar Indian Rupee (USDINR) Currency Options

22-Aug-2023 | 32/2023

National Stock Exchange of India Limited (NSE) has released a circular detailing revisions to the scheme of strikes in the US Dollar Indian Rupee (USDINR) Currency Options. These changes aim to enhance the efficiency of trading in USDINR options. The revision involves adjustments to the strike intervals for different expiries and currency pair scenarios.

Key Points of the Circular:

1. Revised Strike Scheme: The strike scheme for USDINR options will be revised as follows:

a. Weekly and Near Monthly Expiry:

Existing Strike Price and Strike Interval: INR 0.25 with 12-1-12 number of strikes (ITM-ATM-OTM)
Revised Strike Scheme: INR 0.125 with 3-1-3 number of strikes (ITM-ATM-OTM) and INR 0.25 with 12-1-12 number of strikes (ITM-ATM-OTM) including strikes generated due to 0.125 strike interval.

b. Middle-month, Far-month, and Quarterly Expiries:

Existing Strike Price and Strike Interval: INR 0.25 with 12-1-12 number of strikes (ITM-ATM-OTM)
No change in the strike scheme.

c. Effective Date: The revised strike scheme will be effective from September 04, 2023, specifically for the USDINR currency pair. All new weekly expiry cycles introduced from September 01, 2023, will adhere to the revised strike scheme in USDINR options.

d. Expiry Day Impact: On the expiry day of the near-month contract, the strike scheme for the middle-month contract will match the near-month contract's definition. For example, if the near-month expiry cycle expires on September 26, 2023, with a 12.30 pm deadline, the strike scheme in the middle-month expiry cycle, ending on October 27, 2023, will follow the new near-month expiry cycle's scheme from the beginning of the trading day.

e. Transition for Existing Expiries: All un-expired weekly and near-month expiries that are available for trading from September 04, 2023, will transition to the revised strike scheme starting from September 01, 2023 (end of the day).

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