Comment on Policy on settlement of compulsory delivery derivative contracts — Update Oct 2019
commented on
15 Sep 2021, 10:56 AM
a) Say I have sold SBI SEP21 PE 440. On expiry day, SBI spot is trading at 300. This will result in physical settlement as the strike price is more than 3 strikes away. To avoid this physical settlement, can I buy SBI SEP21 PE 300 just before expiry day square-off time say at 3PM? Expectation is that, it will result in netting with MTM loss of 140 points without needing two opposite physical settlement.
b) Similar to (a) but with Futures. Say I have sold SBI SEP21 PE 440. On expiry day, SBI spot is trading at 300. This will result in physical settlement as the strike price is more than 3 strikes away. To avoid this physical settlement, can I buy SBI SEP21 FUT just before expiry day square-off time say at 3PM? Expectation is that, it will result in netting without needing two opposite physical settlement.