Introduction. ISMR Derivatives Market Derivatives Market

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1 ISMR Derivatives Market Derivatives Market Introduction The emergence and growth of the market for derivative instruments can be traced back to the willingness of riskaverse economic agents to guard themselves against uncertainties arising out of fluctuations in asset prices. Derivatives are meant to facilitate the hedging of price risks of inventory holdings or a financial/commercial transaction over a certain period. By locking in asset prices, derivative products minimize the impact of fluctuations in asset prices on the profitability and cash flow situation of risk-averse investors, and thereby, serve as instruments of risk management. By providing investors and issuers with a wider array of tools for managing risks and raising capital, derivatives improve the allocation of credit and the sharing of risk in the global economy, lowering the cost of capital formation and stimulating economic growth. Now that world markets for trade and finance have become more integrated, derivatives have strengthened these important linkages between global markets, increasing market liquidity and efficiency, and have facilitated the flow of trade and finance. Following the growing instability in the financial markets, the financial derivatives gained prominence after In recent years, the market for financial derivatives has grown in terms of the variety of instruments available, as well as their complexity and turnover. Financial derivatives have changed the world of finance through the creation of innovative ways to comprehend, measure, and manage risks. India s tryst with derivatives began in 2000 when both the NSE and the BSE commenced trading in equity derivatives. In June 2000, index futures became the first type of derivatives instruments to be launched in the Indian markets, followed by index options in June 2001, options in individual stocks in July 2001, and futures in single stock derivatives in November Since then, equity derivatives have come a long way. New products, an expanding list of eligible investors, rising volumes, and the best risk management framework for exchange-traded derivatives have been the hallmark of the journey of equity derivatives in India so far. India s experience with the equity derivatives market has been extremely positive. The turnover of derivatives on the NSE increased from ` 24 billion in to ` 292,482 billion in , and reached ` 313,497 billion in In , the figure reached ` 315,330 billion. The average daily turnover in this segment of the markets on the NSE was ` 1,266 billion in compared to ` 1,259 billion in India is one of the most successful developing countries in terms of a vibrant market for exchange-traded derivatives. This reiterates the strengths of the modern development in India s securities markets, which are based on nationwide market access, anonymous electronic trading, and a predominantly retail market. There is an increasing sense that the equity derivatives market plays a major role in shaping price discovery. The various kinds of equity derivative contracts that are traded on NSE are shown in table 6-1 including the derivatives on global indices such as Dow Jones, S&P 500 and FTSE 100. The month wise trading volumes of global indices are shown in Annexure 6-1.

2 91 Derivatives Market ISMR Table 6-1: Benchmark Indices & Volume in Futures & Options Segment of NSE for the fiscal and first-half of Indices (US $ mn) Percentage of to Total (US $ mn) Percentage of to Total Index Futures Apr-Sep '13 NIFTY 68,223,052 18,674, , ,797,888 12,062, , MINIFTY 6,428, ,640 12, BANKNIFTY 20,821,316 5,716, , ,136,878 3,853,743 60, CNXIT 38,111 11, ,365 11, NFTYMCAP50 2, ,251 2, CNXINFRA CNXPSE DJIA 206,680 68,266 1, ,404 40, S&P500 63,624 22, ,553 19, FTSE ,985 87,930 1,617-8,613 2, Index Options NIFTY 794,296, ,225,321 4,050, ,578, ,363,430 2,216, MINIFTY 814,528 89,270 1, BANKNIFTY 25,636,899 7,464, , ,150,412 7,928, , CNXINFRA CNXPSE CNXIT NFTYMCAP FTSE ,775 35, S&P500 1, Total of all Indices Total of Nifty Index Futures and Options 916,977, ,087,049 4,655, ,868, ,284,482 2,591, ,519, ,900,215 4,394, ,376, ,425,697 2,405, *:- With effect from 29th August 2011 two new indices i.e. DJIA and S&P500 have been included. **:- With effect from 03rd May 2012 new index i.e. FTSE100 have been included. Global Derivatives Markets As per the FIA Annual Volume Survey, during the year 2012, global listed derivatives witnessed the biggest and the broadest decline in atleast a decade. The survey noted that the number of futures and options traded on exchanges around the world fell 15.3 percent to a total of 21.2 billion contracts. This is the lowest level since Looking at the global trends in derivatives volume by category, we find that the trading in commodity derivatives bucked the downward trend; most were up year over year. All the financial categories interest rates, equities and currencies were down in double digits. (Table 6 2)

3 ISMR Derivatives Market 92 Table 6-2: Global Exchange Derivatives Volume by Category Category Jan-Dec 2011 (in mn) Jan-Dec 2012 (in mn) Change (in percent) Equity Index 8,462 6, Individual Equity 7,063 6, Interest Rate 3,491 2, Agricultural 997 1, Energy Currency 3,147 2, Precious Metal Non-precious metal Other Total Volume 24,982 21, Source: Futures Industry Annual Volume Survey, March 2013 The derivatives trading on exchanges in Asia Pacific fell the most, with a decline of 23.4 percent, followed by Europe (-12.5 percent) and North America (-11.9 percent) which accounted for 32.8 percent of the global volume, compared to 39.3 percent for Asia Pacific and 20.1 percent for Europe. According to the annual volume survey by Futures Industry, the primary reason for the decline, especially in Asia Pacific region was a steep decline in trading of Kospi 200 options; Kospi options are the most actively traded derivatives contract in the world (in 2011 total volume in Kospi options was 3.67 billion contracts). In 2012, the volume in Kospi options dropped by more than half, following the decision by Korean authorities to increase the index multiplier, thus making it five times more expensive to trade in Kospi contracts. Table 6-3: Top 5 Exchanges in various Derivatives Top 5 Exchanges by number of single stock future contracts traded in 2012 (in million) Exchange /2011 growth rate (in percent) 1 NYSE Liffe Europe MICEX/RTS Eurex National Stock Exchange of India Korea Exchange Top 5 Exchanges by number of single stock option contracts traded in 2012 (in million) Exchange /2011 growth rate (in percent) 1 BM&FBOVESPA NASDAQ OMX PHLX NYSE Euronext US Chicago Board Options Exchange (CBOE) International Securities Exchange (ISE) Contd.

4 93 Derivatives Market ISMR Contd. Top 5 Exchanges by number of stock index options contracts traded in 2012 (in million) Exchange /2011 growth rate (in percent) 1 Korea Exchange 1, National Stock Exchange India Eurex Chicago Board Options Exchange (CBOE) BOMBAY SE 235 NA Top 5 Exchanges by number of stock index futures contracts traded in 2012 (in million) Exchange /2011 growth rate (in percent) 1 CME Group Eurex MICEX/RTS Osaka Securities Exchange National Stock Exchange of India Source: WFE Market Highlights 2012 In terms of the number of single stock futures contracts traded in 2012, the NSE held the fourth position. It was second in terms of the number of stock index options contracts traded and fifth in terms of the number of stock index futures contracts traded in These rankings are based on the World Federation of Exchanges (WFE) Market Highlights (Table 6 3) Table 6 4 provides the ranking of the top 10 exchanges in terms of the number of futures and options traded and/or cleared in The NSE improved its ranking in 2012 in terms of traded volumes in futures and options taken together, improving its worldwide ranking from 15th in 2006 to eighth position in 2008, seventh in 2009, and fifth in 2010 and In 2012, NSE stood at third position worldwide, even though the traded volumes in the derivatives segment of the NSE declined by 8.6 percent. Table 6-4: Global Futures and Options Volume Rank Volume (in million) Exchange Jan-Dec 2012 Jan-Dec CME Group (includes CBOT and Nymex) 2,890 3, Eurex (includes ISE) 2,291 2, National Stock Exchnage of India 2,010 2, NYSE Euronext (includes all EU and US markets) 1,951 2, Korea Exchange 1,836 3, BM&F Bovespa 1,636 1, Chicago Board Options Exchange group 1,134 1, Nasdaq OMX Group 1,116 1, Moscow Interbank Currency Exchange 1, Multi Commodity Exchange of India (includes MCX-SX) 960 1,196 Note: Ranked by number of contracts traded and/or cleared. Source: Futures Industry Annual Volume Survey, March 2012.

5 ISMR Derivatives Market 94 Trading Volumes in Equity Derivatives The total trading volumes in the equity derivatives at NSE and BSE increased from ` 321,582 billion in to ` 386,965 billion (US $ 7,118 billion) in At NSE, million contracts with a turnover of ` 315,330 billion (US $ 5,800 billion) were traded while at BSE 262 million contracts traded with trading volumes of ` 7,164 billion (US $ 132 billion) were traded. Table 6-5: Trade Details of Derivatives Market Month/Year NSE BSE TOTAL (US $ mn) (US $ mn) (US $ mn) ,293, ,636,663 3,913,085 9,026 2, ,302, ,639,004 3,913, ,034,212, ,482,211 6,550,553 5,623 1, ,034,217, ,483,751 6,550, ,205,045, ,497,318 6,268,683 32,222,825 8,084, ,915 1,237,268, ,582,088 6,427,599 Apr-12 82,812,184 22,073, ,017 14,115,666 3,697,170 68,006 96,927,850 25,770, ,024 May ,152,708 27,198, ,292 25,119,550 6,242, , ,272,258 33,441, ,126 Jun ,012,433 26,407, ,736 28,986,767 7,324, , ,999,200 33,731, ,470 Jul-12 93,181,580 24,530, ,224 37,912,818 9,781, , ,094,398 34,312, ,145 Aug-12 90,991,925 24,321, ,377 32,826,346 8,743, , ,818,271 33,065, ,207 Sep-12 93,363,996 25,919, ,767 11,109,685 3,053,190 56, ,473,681 28,972, ,928 Oct-12 93,797,175 27,142, ,256 14,404,176 4,108,450 75, ,201,351 31,250, ,827 Nov-12 86,573,274 24,798, ,141 19,375,154 5,465, , ,948,428 30,263, ,680 Dec-12 88,379,684 26,403, ,678 30,747,136 8,998, , ,126,820 35,402, ,198 Jan-13 94,654,356 29,509, ,807 30,526,334 9,234, , ,180,690 38,744, ,666 Feb-13 85,485,498 25,750, ,667 7,861,330 2,294,700 42,209 93,346,828 28,045, ,876 Mar ,062,605 31,274, ,267 9,458,404 2,690,140 49, ,521,009 33,964, , ,131,467, ,330,040 5,800, ,443,366 71,635,180 1,317,669 1,393,910, ,965,220 7,117,898 Apr ,848,783 30,101, ,977 11,025,210 3,139,500 49, ,873,993 33,241, ,202 May ,522,180 35,038, ,376 20,357,869 6,262,165 98, ,880,049 41,300, ,564 Jun ,713,211 31,908, ,313 23,118,783 6,732, , ,831,994 38,641, ,871 Jul ,155,866 31,803, ,668 48,234,613 14,395, , ,390,479 46,199, ,379 Aug ,223,874 38,139, ,001 29,886,385 8,351, , ,110,259 46,491, ,954 Sep ,912,167 33,815, ,209 13,449,268 4,035,913 63, ,361,435 37,851, ,490 Apr - Sep '13 699,376, ,807,217 3,148, ,072,128 42,917, , ,448, ,724,283 3,821,460 Source: BSE, NSE The index options segment was the clear leader in the product-wise turnover of the futures and options segment in the NSE in (Table 6 6). In , the turnover in the index options category was 72.2 percent of the total turnover in the F&O segment of the NSE, whereas the Index Futures witnessed a year-on-year decline of 29.4 percent. on Stock options, on the other hand, more than doubled over the previous year. During the first half of , Index options constituted around 74.3 percent of the total turnover in this segment. In fact, according to the Future Industry Association (FIA) Survey 2012, NSE s CNX Nifty Index options were the second most traded options after Kospi 200.

6 95 Derivatives Market ISMR Table 6-6: Product-wise on the Derivatives Segment of NSE Period Index Futures Stock Futures Index Options Stock Options Total Average Daily contracts contracts contracts Notional contracts Notional Percentageshare in total turnover Percentage share in total turnover Percentageshare in total turnover Percentage share in total turnover contracts ,306,889 39,343, ,591,240 51,952, ,379,523 80,279, ,016,270 5,060, ,293, ,636, , ,023,653 43,567, ,041,459 54,957, ,638, ,653, ,508,393 10,303, ,034,212, ,482,211 1,151, ,188,740 35,779, ,344,617 40,746, ,017, ,200, ,494,371 9,770, ,205,045, ,497,318 1,259,025 Apr-12 9,218,725 2,289, ,739,998 3,038, ,396,590 15,738, ,456,871 1,006, ,812,184 22,073,169 1,103,658 May-12 11,444,310 2,660, ,748,867 3,030, ,452,069 20,379, ,507,462 1,128, ,152,708 27,198,431 1,236,292 Jun-12 11,066,729 2,643, ,482,626 3,047, ,261,461 19,634, ,201,617 1,081, ,012,433 26,407,065 1,257,479 Jul-12 9,049,837 2,245, ,436,098 3,357, ,982,807 17,571, ,712,838 1,356, ,181,580 24,530,832 1,115,038 Aug-12 7,881,956 1,996, ,675,491 3,156, ,359,441 17,729, ,075,037 1,438, ,991,925 24,321,686 1,158,176 Sep-12 7,815,624 2,069, ,441,509 3,498, ,458,468 18,705, ,648,395 1,645, ,363,996 25,919,485 1,295,974 Oct-12 7,925,535 2,160, ,992,449 3,881, ,495,200 19,075, ,383,991 2,025, ,797,175 27,142,095 1,292,481 Nov-12 6,169,741 1,697, ,203,483 3,494, ,225,955 17,810, ,974,095 1,795, ,573,274 24,798,167 1,239,908 Dec-12 6,081,895 1,764, ,874,846 3,923, ,683,543 18,939, ,739,400 1,776, ,379,684 26,403,928 1,320,196 Jan-13 6,337,412 1,900, ,648,279 4,953, ,766,416 19,669, ,902,249 2,985, ,654,356 29,509,751 1,283,033 Feb-13 6,051,654 1,796, ,500,825 3,612, ,801,321 18,393, ,131,698 1,947, ,485,498 25,750,974 1,287,549 Mar-13 7,056,967 2,047, ,967,220 3,243, ,993,878 24,166, ,044,540 1,817, ,062,605 31,274,458 1,646, ,100,385 25,271, ,711,691 42,238, ,877, ,815, ,778,193 20,004, ,131,467, ,330,040 1,266,386 Apr-13 7,222,107 2,085, ,251,753 3,650, ,321,333 21,924, ,053,590 2,440, ,848,783 30,101, ,508 May-13 7,991,561 2,457, ,019,161 4,098, ,926,564 26,216, ,584,894 2,265, ,522,180 35,038, ,339 Jun-13 8,501,380 2,463, ,719,906 3,434, ,678,819 24,379, ,813,106 1,631, ,713,211 31,908, ,544 Jul-13 8,704,083 2,536, ,223,466 4,285, ,950,920 22,514, ,277,397 2,468, ,155,866 31,803, ,278 Aug-13 12,433,264 3,277, ,977,082 4,100, ,800,393 29,009, ,013,135 1,751, ,223,874 38,139, ,696 Sep-13 11,286,692 3,171, ,861,402 3,877, ,051,331 25,247, ,712,742 1,518, ,912,167 33,815, ,078 Apr-Sep 13 56,139,087 15,992, ,052,770 23,447, ,729, ,291, ,454,864 12,074, ,376, ,807,217 1,593,708

7 ISMR Derivatives Market 96 Chart 6 1: Product-wise Distribution of on the Derivatives Segment of NSE in (in percent) Open Interest Open interest is the total number of open contracts on a security, that is, the number of future contracts or options contracts that have not been exercised, expired or fulfilled by delivery. Hence, we can say that the open interest position at the end of each day represents the net increase or decrease in the number of contracts for that day. Increasing open interest means that fresh funds are flowing into the market, while declining open interest means that the market is liquidating. The daily open interest for near month index futures at NSE is presented in (Chart 6-2). Chart 6 2: Daily Open Interest for Near Month Nifty Futures (April 2012 to September 2013)

8 97 Derivatives Market ISMR Implied Interest Rate In the futures market, the implied interest rate or cost of carry is often used interchangeably. Cost of carry is more appropriately used for commodity futures, as by definition it means the total costs required to carry a commodity or any other good forward in time. The costs involved are storage cost, insurance cost, transportation cost, and financing cost. In the case of equity futures, the cost of carry is the cost of financing minus the dividend returns. Assuming zero dividends, the only relevant factor is the cost of financing. Implied interest rate is the percentage difference between the future value of an index and the spot value, annualized on the basis of the number of days before the expiry of the contract. Cost of carry or implied interest rate plays an important role in determining the price differential between the spot and the futures market. The degree of relative costliness of a future rate can be assessed by comparing the implied rate with the spot rate. Implied interest rate is also a measure of the profitability of an arbitrage position. Theoretically, if the futures price is less than the spot price plus cost of carry, or if the futures price is greater than the spot price plus cost of carry, arbitrage opportunities exist. The futures prices are available for different contracts at different points of time. Chart 6-3 presents Nifty futures close prices for the near month contracts, and the spot Nifty close values from April 2012 to September The difference between the future and the spot price is called basis. As the time to expiration approaches, the basis reduces. Daily implied interest rate for Nifty futures from April 2012 to September 2013 is presented in Chart 6-4. The implied interest rate for near month Nifty futures as on last trading of the month is presented in Table 6-7. Table 6-7: Implied Interest Rate for Near Month Nifty Futures (April September 2013) Month Expiry Date of Near Month Contract Closing Future Price (`) Closing Spot Price (`) Implied Interest Rate (in percent) Apr Apr May May Jun Jun Jul Jul Aug Aug Sep Sep Oct Oct Nov Nov Dec Dec Jan Jan Feb Feb Mar Mar Apr Apr May May Jun Jun Jul Jul Aug Aug Sep Sep Note: (1) The implied interest rate is calculated on the last trading day of the month for Near Month Nifty Futures (2) Number of days in a year have been taken as 365

9 ISMR Derivatives Market 98 Chart 6 3: Nifty Futures and Spot Price (April 2012 to September 2013) Chart 6 4: Implied Interest Rate for Near Month Nifty Futures (April 2012 to September 2013) Implied Volatility Volatility is one of the important factors that are taken into account while pricing options. It is a measure of the amount and the speed of price change. To estimate the future volatility, a time-series analysis of historical volatility may be carried out to know the future movements of the underlying. Alternatively, one could work out the implied volatility by entering all the parameters into an option pricing model, and then solving it for volatility. For example, the Black Scholes model solves for the fair price of the option by using the following parameters: days to expiry, strike price, spot price, and volatility of underlying, interest rate, and dividend. The reverse of this model could be used to arrive at the implied volatility by putting the current price of the option prevailing in the market.

10 99 Derivatives Market ISMR To put it simply, implied volatility is the estimate of how volatile the underlying will be from the present until the expiry of the option. If the volatility is high, then option premiums are relatively expensive, and vice versa. However, the implied volatility estimate can be biased, especially if they are based on options that are thinly traded samples. Settlement All derivative contracts are currently cash settled. In , the cash settlement amounted to ` 568 billion, compared to ` 723 billion in During the first half of , the cash settlement amounted to ` 340 billion. The detail of the settlement statistics in the F&O segment is presented in Table 6 8. Table 6-8: Settlement Statistics in F&O Segment Month/Year Index/Stock Futures Index/Stock Options Total MTM Settlement Final Settlement Premium Settlement Exercise Settlement Settlement (mn) Total Settlement (US $ mn) ,137 7,975 31,944 11, ,945 15, ,446,547 13,121 67,602 37,923 1,565,193 39, ,936 14, ,605 41, ,400 18, ,557 13, ,110 38, ,428 17, ,879 15, ,034 21, ,009 18, ,629 12, ,983 15, ,962 14,132 Apr-12 28, , , May-12 42, , ,657 1,005 Jun-12 33, ,925 1,244 46, Jul-12 34,579 1,631 14, , Aug-12 23, , , Sep-12 32, ,624 1,459 45, Oct-12 32, , , Nov-12 33,617 1,328 8,258 1,342 44, Dec-12 31, ,060 3,421 44, Jan-13 46, ,579 1,149 56,816 1,045 Feb-13 42,046 3,824 8,399 2,012 56,280 1,035 Mar-13 36,541 1,319 11,015 3,036 51, ,252 12, ,133 17, ,588 10,440 Apr-13 29,943 1,385 11,540 1,570 44, May-13 38, ,945 1,530 51, Jun-13 37,038 2,337 10,343 4,869 54, Jul-13 43,590 1,253 10,821 1,339 57, Aug-13 52,743 3,587 14,398 3,292 74,020 1,161 Sep-13 42, ,524 1,770 58, Apr-Sep ,077 9,792 71,570 14, ,808 5,328 Source:NSE Business Growth in Currency Futures & Options Segment The currency futures and options turnover on the NSE increased by 12.8 percent from ` 46,750 billion in to ` 52,745 billion in The turnover for the period April 2013 to September 2013 was ` 2,850 billion. Table 6 9 presents the business growth in the currency derivatives segments (currency futures and options volumes) on the NSE while table 6-10 presents the number of contracts and turnover for USD-INR futures and option contracts; and future contracts on Euro-INR, JPY-INR and GBP-INR.

11 ISMR Derivatives Market 100 Table 6-9 Business Growth of Currency Futures and Options Segment at NSE Month/Year Currency Futures Currency Options Total Total (US $ mn) Call Put ,181,928 32,790,021 23,297,306 1,065,061 14,122, , ,602,075 34,497, , ,371,974 33,784, ,704,180 7,347, ,267,978 5,617, ,344,132 46,749, ,860 Apr-12 37,256,978 1,953,855 6,661, ,016 5,765, ,638 49,684,569 2,604,510 47,908 May-12 61,319,344 3,377,763 10,529, ,599 10,641, ,097 82,490,519 4,539,459 83,499 Jun-12 52,671,206 2,977,691 8,862, ,336 8,090, ,162 69,624,353 3,936,189 72,403 Jul-12 60,118,966 3,358,298 12,346, ,308 11,146, ,133 83,611,989 4,672,739 85,951 Aug-12 43,248,100 2,422,669 8,815, ,812 6,652, ,587 58,715,174 3,289,068 60,500 Sep-12 51,589,559 2,825,082 11,946, ,107 9,015, ,729 72,551,533 3,975,918 73,134 Oct-12 67,774,606 3,625,005 14,236, ,760 12,849, ,493 94,860,746 5,074,259 93,337 Nov-12 58,350,327 3,235,177 13,411, ,176 12,753, ,398 84,515,590 4,678,751 86,062 Dec-12 58,135,350 3,218,925 12,217, ,810 10,811, ,794 81,164,915 4,487,530 82,544 Jan-13 73,027,819 4,016,319 19,002,754 1,043,910 14,675, , ,705,891 5,860, ,794 Feb-13 63,317,459 3,468,591 15,354, ,216 12,345, ,965 91,017,848 4,972,772 91,470 Mar-13 57,349,549 3,171,678 14,762, ,570 12,187, ,957 84,300,321 4,653,204 85, ,159,263 37,651, ,148,355 8,173, ,935,830 6,919, ,243,448 52,744, ,193 Apr-13 53,216,306 2,935,091 15,482, ,438 11,573, ,291 8,02,73,119 4,416,820 69,253 May-13 68,624,957 3,839,361 17,205, ,755 17,911, ,486 10,37,42,010 5,784,602 90,699 Jun-13 82,868,291 4,921,599 22,100,698 1,311,494 26,121,236 1,520,035 13,10,90,225 7,753, ,565 Jul-13 47,765,700 2,931,759 9,871, ,579 9,393, ,056 6,70,30,359 4,097,394 64,245 Aug-13 42,873,698 2,845,026 3,578, ,699 5,303, ,350 5,17,55,070 3,408,075 53,437 Sep-13 38,568,769 2,575,860 3,740, ,914 3,337, ,547 4,56,46,963 3,036,321 47,608 Apr-Sep ,917,721 20,048,696 71,979,412 4,202,879 73,640,613 4,244, ,537,746 28,496, ,807 Note: Currency Futures trading statred at NSE on August 29, Currency Options were introducded at NSE w.e.f October 29, Source:NSE

12 101 Derivatives Market ISMR Table 6-10: Business Growth of Currency Futures and Options (Currency Pairs) at NSE Month/ Year USD-INR Options USD-INR Future EUR-INR Future JPY-INR Future GBP-INR Future Total contracts (Notional) (Notional) (Notional) (Notional) (Notional) ,495,580 17,443,161 5,709, , ,419 9, ,005 14, ,606,983 17,826, ,420, , ,678,302 31,544,673 15,326, ,467 2,755, ,171 2,421, , ,602,075 32,960, ,972,158 12,965, ,249,054 32,126,143 15,626,184 1,017,017 4,488, ,408 5,008, , ,344,132 46,749,899 Apr-12 12,427, ,654 36,610,229 1,907, ,516 21, ,310 11, ,923 13,188 49,684,569 2,604,510 May-12 21,171,175 1,161,696 60,494,350 3,316, ,833 28, ,395 14, ,766 17,716 82,490,519 4,539,459 Jun-12 16,953, ,498 51,955,948 2,924, ,640 24, ,013 13, ,605 14,825 69,624,353 3,936,189 Jul-12 23,493,023 1,314,441 59,335,290 3,301, ,298 27, ,657 14, ,721 15,397 83,611,989 4,672,739 Aug-12 15,467, ,399 42,544,735 2,369, ,188 20, ,866 13, ,311 19,207 58,715,174 3,289,068 Sep-12 20,961,974 1,150,836 50,578,103 2,749, ,615 37, ,540 15, ,301 21,813 72,551,533 3,975,918 Oct-12 27,086,140 1,449,254 66,655,968 3,544, ,930 42, ,420 17, ,288 21,076 94,860,746 5,074,259 Nov-12 26,165,263 1,443,574 57,184,776 3,148, ,128 43, ,822 19, ,601 23,806 84,515,590 4,678,751 Dec-12 23,029,565 1,268,604 56,438,771 3,094, ,997 68, ,859 27, ,723 28,669 81,164,915 4,487,530 Jan-13 33,678,072 1,843,929 70,349,775 3,826,558 1,450, , ,077 51, ,256 33, ,705,891 5,860,248 Feb-13 27,700,389 1,504,181 60,321,569 3,259,078 1,504, , ,982 53, ,553 47,419 91,017,848 4,972,772 Mar-13 26,950,772 1,481,527 54,806,341 2,996,018 1,178,398 83, ,129 46, ,681 45,258 84,300,321 4,653, ,084,185 15,093, ,275,855 36,438,256 8,632, ,752 4,731, ,296 3,519, , ,243,448 52,744,647 Apr-13 27,056,813 1,481,729 50,237,232 2,737,474 1,084,204 76,981 1,361,278 76, ,592 44,535 80,273,119 4,416,820 May-13 35,117,053 1,945,242 65,312,442 3,613,329 1,379,059 98,874 1,212,628 66, ,828 60, ,742,010 5,784,602 Jun-13 48,221,934 2,831,529 79,784,093 4,688,554 1,318, , ,310 57, ,449 73, ,090,225 7,753,128 Jul-13 19,264,659 1,165,635 44,529,905 2,677,119 1,646, , ,012 38, ,884 87,164 67,030,359 4,097,394 Aug-13 8,881, ,049 38,223,522 2,444,130 2,261, , ,848 55,006 1,543, ,439 51,755,070 3,408,075 Sep-13 7,078, ,461 34,485,299 2,215,955 1,761, , ,774 48,623 1,572, ,237 45,646,963 3,036,321 Apr-Sep '13 145,620,025 8,447, ,572,493 18,376,561 9,452, ,957 5,760, ,769 6,132, , ,537,746 28,496,340 Note: Currency Futures on GBP-INR and JPY-INR were introduced w.e.r. February 01, 2010.

13 ISMR Derivatives Market 102 Currency option contracts based on the currency pair USD-INR were launched by NSE on October 29, From April 2012 to March 2013, number of USD-INR currency option contracts traded stood at 275 million with a traded value of ` 15,094 billion. During April March 2013, cash settlement for currency derivatives amounted to ` 86.5 billion (US $ 1.6 billion). The details of settlement statistics for currency futures and options at NSE is presented in Table Table 6-11: Settlement Statistics of Currency Futures and Options at NSE Month/Year NSE Total Total Currency Futures Currency Options MTM Settlement Final Settlement MTM Settlement Final Settlement (US $ mn) , , , ,290 1,561 14,210 8,843 82,904 1,621 Apr-12 3, , May-12 9, , , Jun-12 6, , , Jul-12 6, , , Aug-12 3, , , Sep-12 4, , , Oct-12 5, , , Nov-12 5, , , Dec-12 4, , , Jan-13 5, , , Feb-13 4, , , Mar-13 3, , , , ,917 4,929 86,479 1,591 Apr-13 3, , , May-13 4, , , Jun-13 11, ,055 1,728 16, Jul-13 6, , , Aug-13 7, , Sep-13 4, , Apr-Sep 13 38, ,756 4,234 52,

14 103 Derivatives Market ISMR Annexure 6-1: Business Growth in Derivatives on Global Indices at NSE Month / Year traded S&P 500 Futures S&P 500 Options FTSE Futures FTSE Options DJIA Futures (US $ mn) traded (US $ mn) traded (US $ mn) traded (US $ mn) traded (US $ mn) , ,610 2,182 42,085 13, ,787 1,486,466 29,057 Apr-12 7,267 2, ,105 48, May-12 6,443 2, ,205 36, ,247 5, ,553 65,042 1,196 Jun-12 7,321 2, ,487 20, ,628 4, ,251 63,365 1,166 Jul-12 5,336 1, ,098 6, ,774 7, ,637 53, Aug-12 5,427 1, ,032 5, ,384 6, ,448 60,491 1,113 Sep-12 3,109 1, ,902 5, ,300 6, ,306 41, Oct-12 2, ,850 6, ,375 5, ,341 54,390 1,000 Nov-12 3,743 1, ,344 1, , ,084 70,844 1,303 Dec-12 2, , ,314 33, Jan-13 4,148 1, ,415 1, ,022 50, Feb-13 6,380 2, ,888 1, ,706 47, Mar-13 9,398 3, ,520 1, ,913 93,085 1, ,624 22, , ,985 87,930 1, ,775 35, , ,246 8,319 Apr-13 10,580 4, , ,947 91,317 1,432 May-13 11,966 4, ,803 82,415 1,292 Jun-13 8,300 3, , ,439 87,932 1,379 Jul-13 6,905 2, ,013 49, Aug-13 6,127 2, , ,102 45, Sep-13 3,675 1, ,100 42, April Sep'13 47,553 19, ,613 2, , ,177 6,275 Note: With effect from May 03, 2012 FTSE100 index has been included.