Methodology for Calculation of Closing Price/ Daily Settlement Price
In compliance to SEBI Circular No. SEBI/HO/CDMRD/DNPMP/CIR/P/2021/9 dated January 11, 2021, MCXCCL has formulated the methodology for calculation of Closing Price/ Daily Settlement Price as under:
- Closing Price is equal to weighted average price of all trades done during the last 30 minutes of a trading day.
- If the number of trades during last 30 minutes are less than 10, then it is based on the weighted average price of the last 10 trades executed during the day.
- If the number of trades done during the day are less than 10, then it is taken as the weighted average of all the trades executed during the day.
- If no trades have been executed in a contract on a day, then the official closing price of the last day is taken as the official Closing Price. However, in such cases, MCXCCL shall have the right to modify the Closing Price for the purpose of marking to market and making the open positions closer to the market as under:
Method for change in Close Price in case of illiquid contracts’ as under:
- The spread prevailing between the active contracts*, shall be used to determine the theoretical futures price for other contracts that do not meet the criteria for liquid contract as stated above in the same commodity.
*contract is considered as active if the close price of such contract is determined by (1), (2) or (3) of above Clause.
- Prices available for comparable commodity/ contracts in domestic/ internationally reference markets (converted to INR at the prevailing RBI reference rate).
- In case of agricultural commodities, due to seasonal nature of the commodities, in order to make the contract available in tradable range, MCXCCL may also set the close price considering the prices prevailing in spot market (and duly adjusting the same for contango / backwardation market conditions) domestically / internationally or by using the prices prevailing in other Clearing Corporations/ Exchanges where the commodity contracts are liquid.
Note 1: In case of contracts, where the base asset is the same, MCXCCL may consider the price of nearest expiry of the liquid variant of the base asset in order to deduct the price of the illiquid contract, after carrying out such adjustments as may be deemed necessary. - Further, MCXCCL may arrive at the close price through any other method, which MCXCCL in its absolute discretion considers appropriate, in order to reflect a fair close price of the illiquid contract.
- If there are no trades for a trading day in options contracts, the close price shall be changed based on the Black 76 options pricing model.
- In case of index futures contracts, in the scenario of no trades in the contract, settlement prices shall be computed theoretically as under:
F = S * ert
Where,
F = futures price,
S = underlying index,
r = 30 day MIBOR rate and
T = time remaining till maturity,
e = the exponential factor
- The spread prevailing between the active contracts*, shall be used to determine the theoretical futures price for other contracts that do not meet the criteria for liquid contract as stated above in the same commodity.