Option Plus

What is Reference Price and Exchange Trade Price execution Range?

In order to promote orderly trading, National Stock Exchange of India Ltd (NSE) has prescribed reference price and execution range for futures and options (F&O) contracts. Orders shall be matched and trades shall take place only if the trade price is within the trade execution range based on reference price of the contract. The reference price for each contract shall be the theoretical price based on the underlying price at market open, and during trade, it would be the simple average of trade prices of that contract in the last three minutes. For contracts that have traded in the last three minutes, the reference price shall be revised throughout the day on a rolling basis at one minute intervals. For other contracts, the reference price shall be the theoretical price based on the latest available underlying price and shall be revised throughout the day at regular intervals. The execution range for future contracts would be 5% around the reference price. For option contracts, between Rs.0.05 to Rs 25 reference prices, it would be a minimum absolute range of Rs.7.50 around the reference price. For option contracts above Rs.25 reference price, it would be 30% of such reference price with minimum absolute range of Rs.10 around the reference price. The execution range will not apply to India Vix Futures and long-term option contracts on Nifty. If any order which is within the operating range but which may result in a trade outside the execution range is entered then such an order (full or partial as the case may be) shall be cancelled by the Exchange.