As we all know that traders in India have not been able to do
forex trading in cross currency pairs legitimately due to RBI
regulations. So far, all currency pairs are bench-marked against
the Indian Rupee (INR). This has an inherent disadvantage if you
want to trade international pairs. The US Dollar is on one side of
87% of global forex trading around the world. More than 50% of
global forex volumes consist of the 3 big global currency pairs
which will soon be launched in India.
Recently, NSE has announced that it will launch cross currency
pairs. They will be launching 3 global currency pairs:
1. (EUR/USD) Euro-US Dollar
2. (GBP/USD) British Pound US Dollar
3. (USD/JPY) US Dollar Japanese Yen
Points to note about the new forex pairs:
They will be listing both futures and options contracts.
The contract size will continue to be 1000 for all the new forex
The tick size will be as follows:
EUR/USD = 0.0001
GBP/USD = 0.0001
USD/JPY = 0.01
So for example, if the last traded price (LTP) of EUR/USD is
1.0914, the next minimum price change can be: 1.0915 or 1.0913.
Futures contracts will have 12 months contracts available in
addition to monthly contracts. Whereas options contracts will
3 monthly expiry
3 quarterly expiry
The new contracts will be introduced after the expiry of near
This is an illustration so you can understand better.
Options Strike Price:
The Strike price intervals will differ for USD/JPY but the number
of strikes will be the same for all these new forex pairs.
The market hours can actually be a disadvantage as these pairs are
traded 24/7 around the world. It starts in the land of the rising
sun and during their day hours is when USD/JPY is most active. The
second major activity happens during the evening when the American
markets open. EUR/USD and GBP/USD are mainly active during
European and American hours. Overnight positions can pose a risk
management threat during times of great volatility and strong
These forex contracts shall trade from 9:00 AM to 7:30 PM,
Monday to Friday.
They shall expire 2 days prior to last working day at 12:30 PM.
The existing forex contracts which are benchmarked with the INR (USDINR,
GBPINR etc.) will close at 5:00 PM every day. The time extension
for the new forex trading pairs are to accommodate for the
actively traded hours of the day. However, in spite of this time
extension till 7:30 PM, it will not include the American trading
These forex contracts will be quoted and traded in foreign
Settlement will be done in Indian Rupees (INR).
Profit/Loss in foreign currency will be converted using
applicable RBI rate for the day.
RBI rate will be available after 12:30 PM
Daily Settlement: t+1 day, Final Settlement: T+2 days.
Take a look at the table below for more clarity.
Example 1 Futures MTM Settlement:
On April 20 2016 a participant buys & sells 1 contract
Daily MTM shall be converted to INR
For EUR/USD & GBP/USD, using USD/INR RBI reference rate.
For USD/JPY using JPY/INR RBI exchange rate.
Checkout examples of how futures trades will be settled in all 3
Example 2 Futures MTM Settlement:
On April 20, 2016 a trader buys and sells 1 contract and holds
Daily MTM shall be computed in US dollar but settlement shall be
Conversion to INR shall be using daily USD-INR RBI Reference
rate of 12:30 PM.
#4.9 = (1.0950 1.0901) * 1 (No. of contracts) * 1000 (Contract
Since the profits are settled in INR, it will be important to
track USD/INR pair especially during times when the currency trend
is strong in one direction.
Example 3 Options Premium Settlement:
Lets say you trade 2 call option contracts of different strikes
Net premium shall be payable/receivable on T+1 day.
Example 4- Options Final Settlement:
Lets say you have 1 call option contract in USD/JPY, which is
in the money (ITM).
Conversion to INR shall be using JPY/INR RBI exchange rate of
#830 = (112.83 112.0) * 1 (No. of contracts) * 1000 (Contract
Daily Settlement Price:
Open futures positions are marked-to-market (MTM) at daily
Daily Settlement Price = Last Half Hour Weighted Average Price.
In the absence of the last half hour trading, the theoretical
price shall be considered.
Final Settlement Price:
EUR/USD, GBP/USD and USD/YEN are cross currency rates for India.
Cross rate is calculated by dividing one of the pairs by the
Final settlement price shall be computed using RBI rate at 12:30
PM on last trading day.
Here is an example of computation of final settlement price:
Value of a Tick:
Value of 1 tick = Tick Size * Contract Size * INR conversion rate
We are very positive about this new initiative and will provide
the necessary facilities to our clients to trade in this these new
global pairs when NSE officially launches. Hope this post has
answered all your potential queries.