Starting September 04, 2023, NSE will be revising the strike scheme for USDINR currency pair options (circular). Under the new revised scheme, strike interval of INR 0.125 with 3-1-3 number of strikes (ITM-ATM-OTM) AND strike interval of INR 0.25 with 12-1-12 number of strikes (ITM-ATM-OTM) (includes strikes generated due to 0.125 strike interval) will exist. Please find the below illustration for better understanding.
| Strike Scheme | Present | Revised Set 1 | Revised Set 2 |
|---|---|---|---|
| ATM - 12 | 80 | 80 | |
| ATM - 11 | 80.25 | 80.25 | |
| ATM - 10 | 80.5 | 80.5 | |
| ATM - 9 | 80.75 | 80.75 | |
| ATM - 8 | 81 | 81 | |
| ATM - 7 | 81.25 | 81.25 | |
| ATM - 6 | 81.5 | 81.5 | |
| ATM - 5 | 81.75 | 81.75 | |
| ATM - 4 | 82 | 82 | |
| ATM - 3 | 82.25 | 82.25 | 82.625 |
| ATM - 2 | 82.5 | 82.5 | 82.75 |
| ATM - 1 | 82.75 | 82.75 | 82.875 |
| ATM | 83 | 83 | 83 |
| ATM + 1 | 83.25 | 83.25 | 83.125 |
| ATM + 2 | 83.5 | 83.5 | 83.25 |
| ATM + 3 | 83.75 | 83.75 | 83.375 |
| ATM + 4 | 84 | 84 | |
| ATM + 5 | 84.25 | 84.25 | |
| ATM + 6 | 84.5 | 84.5 | |
| ATM + 7 | 84.75 | 84.75 | |
| ATM + 8 | 85 | 85 | |
| ATM + 9 | 85.25 | 85.25 | |
| ATM + 10 | 85.5 | 85.5 | |
| ATM + 11 | 85.75 | 85.75 | |
| ATM + 12 | 86 | 86 |
Important Points to note:
2 Consequently, any subsequent weekly expiry cycles introduced after September 01, 2023 (end of day) will adhere to the updated strike scheme in USDINR options.
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Upon the expiration of the near-month contract, the strike scheme in the middle-month contract will align with the definition established for the near-month contract. For example, on September 26, 2023, the near-month expiry cycle with a termination date of September 26, 2023, will expire at 12:30 pm. Meanwhile, the strike scheme within the middle-month expiry cycle, set to expire on October 27, 2023, will be in accordance with the newly established scheme for the upcoming near-month expiry cycle, commencing from the beginning of the trading day.
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All ongoing weekly and near-month expiries initiated before September 01, 2023, and accessible for trading from September 04, 2023, will align with the revised strike scheme commencing September 01, 2023 (end of day).
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There are no further alterations to the contract specifications for USDINR options.