Contract Specification for Silver Mini Options with Silver Mini (5 kilograms)

Futures as underlying

Symbol SILVERM
Underlying Underlying shall be Silver Mini Futures contract traded on MCX
Description Option on Silver Mini Futures
Option type European Call & Put Options
Contract Listing Contracts will be available as per the Contract Launch Calendar.
Contract Start Day 16th day of contract launch month. If 16th day is a holiday then
the following business day.
Expiry Day (Last Three business days prior to the first business day of Tender
Trading Day) Period of the underlying futures contract.
Trading
Trading Period Mondays through Fridays
Trading Session Monday to Friday: 9.00 a.m. to 11.30 / 11.55 p.m.*

* based on US daylight saving time period

Trading Unit One MCX Silver Mini futures contract
Underlying Rs. per Kg
Quotation/ Base
Value
Maximum Order 600 Kg
Size
Underlying Price Ex-Ahmedabad (inclusive of all taxes and levies relating to import
Quote duty, customs but excluding sales tax and VAT, any other
additional tax or surcharge on sales tax, local taxes and octroi or
GST as applicable)
Strikes 25 In-the-money, 25 Out-of-the-money and 1 Near-the-money.
(51 CE and 51 PE).
The Exchange, at its discretion, may enable additional strikes
intraday, if required.
Strike Price Rs. 250
Intervals
Base price Base price shall be theoretical price on Black 76 option pricing
model on the first day of the contract. On all other days, it shall be
previous day’s Daily Settlement Price of the contract.
Tick Size (Minimum Rs. 0.50
Price Movement)
Daily Price Limit The upper and lower price band shall be determined based on
statistical method using Black76 option pricing model and relaxed
considering the movement in the underlying futures contract. In
the event of freezing of price ranges even without a
corresponding price relaxation in underlying futures, if deemed
necessary, considering the volatility and other factors in the option
contract, the Daily Price Limit shall be relaxed by the Exchange.
Margins The Initial Margin shall be computed using SPAN (Standard
Portfolio Analysis of Risk) software, which is a portfolio based
margining system. To begin with, the various risk parameters
shall be as under:
 A. Price Scan Range – 3.5 Standard Deviation (3.5 sigma)
B. Volatility Scan Range – Minimum 4% or as decided by
MCXCCL from time to time. For applicable VSR refer latest
circulars issued by MCXCCL.
C. The Short Option Minimum Margin (SOMM) and Margin Period
of Risk (MPOR) shall be in accordance with SEBI Circular no.
SEBI/HO/CDMRD/DRMP/CIR/P/2020/15 dated January 27,
2020. For applicable SOMM and MPOR refer latest circulars
issued by MCXCCL from time to time.
D. Extreme Loss Margin – Minimum 1% (to be levied only on
short option positions)

Premium Premium of buyer shall be blocked upfront on real time basis.

Margining at client Initial Margins shall be computed at the level of portfolio of
level individual clients comprising of the positions in futures and options
contracts on each commodity
Real time The margins shall be recomputed using SPAN at Begin of
computation Day, 9.30 am, 11.00 am, 1.00 pm, 3.00 pm, 5.00 pm, 7.00 pm,
8.30 pm, 10.30 pm and End of Day.
Mark to Market The option positions shall be marked to market by deducting /
adding the current market value of options positions (positive for
long options and negative for short options) times the number of
long / short options in the portfolio from / to the margin
requirement. Mark to Market gains and losses would not be
settled in Cash for Options Positions.
Risks pertaining to a) A sensitivity report shall be provided to members of the
options that impending increase in margins at least 2 days in advance. The
devolve into futures mechanism shall be reviewed and if deemed necessary, pre-
on expiry expiry option margins shall be levied on the buy/sell/both
positions during last few days before the expiry of option
contract.
b) The penalty for short collection / non collection due to increase
in initial margins resulting from devolvement of options into
futures shall not be levied for the first day.
Additional and/ or At the discretion of the Exchange / Clearing Corporation when
Special Margin deemed necessary
Position Limits
Maximum Position limits for options would be separate from the position
Allowable Open limits applicable on futures contracts.
Position For individual client: 200 MT for all Silver Options contracts
combined together or 5% of the market wide open position
whichever is higher, for all Silver Options contracts combined
together.
For a member collectively for all clients: 2000 MT for all Silver
Options contracts combined together or 20% of the market wide
open position whichever is higher, for all Silver Options contracts
combined together.
Upon expiry of the options contract, after devolvement of options
position into corresponding futures positions, open positions may
exceed their permissible position limits applicable for future
contracts. Such excess positions shall have to be reduced to the
permissible position limits of futures contracts within two trading
days.
 Settlement
Settlement of T+1 day
premium/Final
Settlement
Mode of settlement On expiry of options contract, the open position shall devolve into
underlying futures position as follows:-
long call position shall devolve into long position in the underlying
futures contract
long put position shall devolve into short position in the underlying
futures contract
short call position shall devolve into short position in the
underlying futures contract
short put position shall devolve into long position in the underlying
futures contract
All such devolved futures positions shall be opened at the strike
price of the exercised options.
Exercise Mechanism All In the money (ITM)# option contracts shall be exercised
at expiry automatically, unless ‘contrary instruction’ has been given by long
position holders of such contracts for not doing so.

The ITM option contract holders, who have not submitted contrary
instructions, shall receive the difference between the Settlement
Price and Strike Price in Cash as per the settlement schedule.

In the event contrary instruction are given by ITM option position

holders, the positions shall expire worthless.

All Out of the money (OTM) option contracts shall expire

worthless.

All devolved futures positions shall be considered to be opened at

the strike price of the exercised options.

All exercised contracts within an option series shall be assigned

to short positions in that series in a fair and non-preferential
manner.

#ITM for call option = Strike Price < Settlement Price

ITM for put option = Strike Price > Settlement Price

Due Date Rate
(Final Settlement Daily settlement price of underlying futures contract on the expiry
Price) day of options contract.
Contract Launch Calendar for Silver Mini Options on Futures contracts expiring
during the year 2024

Options Contract Options Contract Corresponding Futures

Launch Months Expiry Months Contract Expiry Months
March 2023 February 2024 February 2024

May 2023 April 2024 April 2024

July 2023 June 2024 June 2024

September 2023 August 2024 August 2024

December 2023 November 2024 November 2024

(Reference Circular No.: MCX/TRD/143/2023 dated February 28, 2023)