American Option Deals with Future Style Premium

The Instrument involved in all the American option deals is - NSE-HLL-230-Option-Put. The details of this instrument are given below:

Instrument Details - CME-90dayUSTbill-96-Option-Call

Table 9-34 Field Values

Field	Values
Instrument Product	EQAO
Instrument Type	Option
Underlying Asset Type	Equity
Nature of Underlying Asset	Real
Underlying Asset	HINDLEVER
Underlying Asset Currency	INR
Call Put Indicator	Put
Instrument ID	NSE-HLL-230-Option-Put
Instrument Series	23 Jan-01
Instrument Description	EquityOptionHINDLEVERNSE230 Jan-01
Instrument Start Date	30-Oct-2000
Instrument Expiry Date	26-Jan-2001
Pricing Currency	INR
Contract Size	100
Contract Size Unit	Share
Pricing Precision	2 Decimals
Instrument Pricing Size	1
Instrument Pricing Size Unit	Share
Instrument Pricing Size Multiple	100
Underlying Pricing Size	1
Underlying Pricing Size Unit	Share
Underlying Pricing Unit Multiple	100
Underlying Price Code	NSE
Min Price Movement	0.05
Max Long Position Customer	10000
Max Short Position customer	10000
Max Long Position Self	100000
Max Short Position Self	100000
Default Broker ID	SCG
Issuer Exchange	NSE
MSTL Days	1
Physical Settlement Days	2
Initial Margin per Open Long	5%
Initial Margin per Open Short	10%
Clearing House	NSCCL
Margin CCY	INR

The details of the basket involved in the option deals in our example are as follows:

Table 9-35 Field Values

Field	Values
Basket Reference Number	BSK003
Portfolio ID	PF001
Instrument ID	NSE-HLL-230-Option-Put
Series ID	230/Jan-01
Broker ID	CITI
Broker Account	CB001

Deal I – Reference Number D20104

Table 9-36 Nature of Contract - Open Short in American Put Future Style Option.

Field	Values
Deal Number	D20104
Deal Type	LS
Deal Product	DP03
Instrument ID	NSE-HLL-PUT-AFP
Instrument Series	230/Jan-01
Strike Price	230
Buy/Sell	S
Booking Date	21-Nov-2000
Value Date	21-Nov-2000
Expiry Date	V25-Jan-2001
Trade Rate	35
No. of Contracts	20

As a result of processing this deal, the system creates a basket BSK003 with the following combination:

PF001 + NSE-HLL-230-Option-Put + 230 Jan-01+ CITI + CB001

The basket will be created with 20 short contracts.

At EOD, the event that needs to be processed in the Basket because of this Deal is EOSH. The accounting entries posted for this event are as follows:

Table 9-37 Accounting Entries

Accounting Role	Dr/Cr Indicator	Currency	Amount	Description
Contingent Asset	Debit	USD	390000	Bought Asset Value
Contingent Asset offset	Credit	USD	390000	Asset value net of premium.

For the event ERVS, the following entries will be posted:

Table 9-38 Accounting Entries

Accounting Role	Dr/Cr Indicator	Currency	Amount	Description
Contingent Asset	Debit	INR	6000	Increase in Asset
Contingent Asset Offset	Credit	INR	6000
Customer	Debit	INR	6000	Realized gain on revaluation
Income	Credit	INR	6000

Deal II –Reference Number D10402

Table 9-39 Nature of Contract - Assignment Prior to Expiry of Own Short Position in American Put.

Field	Values
Deal Number	D20601
Deal Type	XRS
Deal Product	DP04
Instrument ID	NSE-HLL-PUT-AFP
Instrument Series	230/Jan-01
Strike Price	230
Booking Date	28-Nov-2000
Value Date	28-Nov-2000
Expiry Date	25-Jan-2001
No. of Contracts	20

At EOD, the event that needs to be processed in the Basket because of this Deal is EAXS. The accounting entries posted for this event are as follows:

Table 9-40 Accounting Entries

Accounting Role	Dr/Cr Indicator	Currency	Amount	Description
Contingent Asset Offset	Debit	INR	40400 0	Reversal of contingents
Contingent Asset	Credit	INR	40400 0
Control	Debit	INR	50000	Spot strike difference
Settlement Bridge	Credit	INR	50000
Settlement Bridge	Debit	INR	56000	Deal Premium
Control	Credit	INR	56000
Control	Debit	INR	6000	Gain on Assignment of positions
Income	Credit	INR	6000