9.4.2.2 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 |
Parent topic: Option Deals