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Stat of FcyINR option reports





Ozg FEMA Consultant

Phone # 09811415831-37-61-72-84-92-94

Website: fema.in 


Annex VII
(See paragraph A 6(c) of the Master Circular on Risk Management and Inter-bank Dealings dated July 2, 2007)
Reports on Foreign Currency- Rupee Options :

[For the week ended__________________]


I. Option Transaction Report

Sr. no
Trade
date
Client/
C-party
Name
Notional
Option
Call/
Put
Strike
Maturity
Premium
Purpose*



























*Mention balance sheet, trading or client related.

II. Option Positions Report

Currency Pair
Notional Outstanding
Net Portfolio Delta
Net Portfolio Gamma
Net Portfolio Vega
calls
puts
USD-INR
USD
USD
USD


EUR-INR
EUR
EUR
EUR


JPY-INR
JPY
JPY
JPY


 (Similarly for other currency pairs)

Total Net Open Options Position (INR):

The total net open options position can be arrived using the methodology prescribed in A. P. (DIR Series) Circular No. 92 dated April 4, 2003.

III. Change in Portfolio Delta Report

Change in USD-INR delta for a 0.25% change in spot ($-appreciation) in INR terms =

Change in USD-INR delta for a 0.25% change in spot ($-depreciation) in INR terms =

Similarly, Change in delta for a 0.25% change in spot (FCY appreciation & depreciation separately) in INR terms for other currency pairs, such as EUR-INR, JPY-INR etc.




 IV. Strike Concentration Report
 
Maturity Buckets
Strike Price
1 week
2 weeks
1 month
2 months
3 months
> 3 months

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 

 
 
 
 
 
 
This report should be prepared for a range of 150 paise around current spot level. Cumulative positions to be given.

All amounts in USD million. When the bank owns an option, the amount should be shown as positive. When the bank has sold an option, the amount should be shown as negative. All reports may be sent via e-mail by market-makers to fedcofmd@rbi.org.in. Reports may be prepared as of every Friday and sent by the following Monday.



Ozg FEMA Consultant

Phone # 09811415831-37-61-72-84-92-94

Website: fema.in