Introduction of Index options with longer tenure
11 Jan 2008
SEBI issued a circular regarding this.
1. The SEBI Derivatives Market Review Committee (DMRC) headed by Professor M.
Rammohan Rao, recommended the introduction of new derivative products in the
Indian market, with option contracts on indices and stocks with life/tenure of up to 5 years (60 months) being one of them.
2. To begin with, it has been decided to launch long term options on Sensex and Nifty
with tenures of upto 3 years. The options cycle shall be as under:
a. The 3 serial month contracts would continue to exist.
b. The following 3 quarterly months of the cycle Mar/Jun/Sep/Dec would be
available.
c. After these, 5 following semi-annual months of the cycle Jun/Dec would be
available, so that at any point in time there would be options contract with
atleast 3 year tenure available for investors.
3. The risk containment and other measures applicable for existing exchange traded
equity Index option contracts shall be extended suitably to long term option contracts on Index.
SEBI Circular No. SEBI/DNPD/Cir-34/2008
January 11, 2008
Showing posts with label Regulations Derivatives. Show all posts
Showing posts with label Regulations Derivatives. Show all posts
Friday, February 22, 2008
Introduction of Volatility Index for Derivative Exchanges
Introduction of Volatility Index
15 Jan 2008
The SEBI appointed Derivatives Market Review Committee (DMRC), headed by Professor M.
Rammohan Rao, recommended the introduction of Volatility Index and Futures and Options on this Index.
Accordingly, it has been decided that, to begin with, Exchanges shall construct a Volatility Index and disseminate the same. The Exchanges are free to decide whether they want to adopt any of the Volatility Index computation models available globally or may like to develop their own model for computation of Volatility Index. The detailed methodology for computing the Volatility Index shall be disseminated by the Exchange for the benefit of the market participants and investors.
Based on experience gained and awareness generated, derivatives on Volatility Index shall be considered for introduction in due course of time.
15 Jan 2008
The SEBI appointed Derivatives Market Review Committee (DMRC), headed by Professor M.
Rammohan Rao, recommended the introduction of Volatility Index and Futures and Options on this Index.
Accordingly, it has been decided that, to begin with, Exchanges shall construct a Volatility Index and disseminate the same. The Exchanges are free to decide whether they want to adopt any of the Volatility Index computation models available globally or may like to develop their own model for computation of Volatility Index. The detailed methodology for computing the Volatility Index shall be disseminated by the Exchange for the benefit of the market participants and investors.
Based on experience gained and awareness generated, derivatives on Volatility Index shall be considered for introduction in due course of time.
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