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ICCL India - Indian Clearing Corporation Limited
ICCL - Derivatives Settlement Price
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Equity Derivatives Segment
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Settlement Price
Daily Settlement Price ("DSP") for mark to market settlement of Equity futures contracts
The Daily settlement price for futures contracts shall be the closing price of such contracts on the trading day. The closing price for a futures contract shall be calculated on the basis of the last half an hour weighted average price of such contract or such other price as may be decided by the relevant authority from time to time. All positions (brought forward, traded during the day, closed out during the day) of a clearing member in futures contracts, at the close of trading hours on a day, shall be marked to market at the daily settlement price (for daily mark to market settlement) and settled.
The theoretical daily settlement price for unexpired futures contracts, which are not traded during the last half an hour on a day, shall be the price computed as per the formula detailed below:
*Rate of interest may be the relevant MIBOR rate or such other rate as may be specified.
Daily Premium settlement for option contracts
The premium payable value or receivable value of clearing members in respect of option contracts is computed after netting the premium payable or receivable positions at trading member level, for each option contract, at the end of each trading day.
Exercise settlement style for option contracts
Exercise style of index option contracts of option contracts on individual securities are European style wherein all in-the-money contracts get automatically exercised/assigned on the expiry day. Exercise settlement is effected for all in-the-money option contracts on the last trading day of an option contract.
The exercise settlement are cash settled in accordance with SEBI guidelines. The open positions of index option contracts and option on individual securities contracts cease to exist after their expiration day.
Final Settlement Price for futures contracts and exercised option contracts
Final settlement price for futures contract and option contract shall be the closing price of the relevant underlying index/security in the normal market of the Capital Market segment of the Stock Exchange on the last trading day of such futures contract. The closing price of the relevant underlying security is calculated on the basis of the last half an hour weighted average price of the relevant underlying security or such other price as may be decided by the relevant authority from time to time. All positions (brought forward, traded during the last day, closed out during the last day) of a clearing member in futures contracts, at the close of trading hours on the last trading day of the contract, are marked to market at final settlement price (for final settlement) and settled.