Derivatives, Futures & Options
3 terms
European Option
Derivatives, Futures & Options
qualitative
An option that may be exercised only on its expiry date, not before.
Test: exercise is permitted only at expiry; the holder may still close the position by selling it in the market at any time
Expiry Date
Derivatives, Futures & Options
days
The date on which a derivative contract ceases to exist and is settled.
Test: the contract's rights and obligations terminate at the close of the stated expiry day, with settlement at the closing reference price
Exposure Margin
Derivatives, Futures & Options
₹
An additional margin charged on top of SPAN margin as a buffer against risks the scenario model does not capture.
Exposure Margin = a prescribed percentage of contract value, or a multiple of the underlying's volatility, whichever the exchange specifies