Ozg FEMA Consultant
Phone # 09811415831-37-61-72-84-92-94
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
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Sr. no
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Trade
date |
Client/
C-party Name |
Notional
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Option
Call/ Put |
Strike
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Maturity
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Premium
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Purpose*
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II. Option Positions Report
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Currency
Pair
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Notional
Outstanding
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Net
Portfolio Delta
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Net
Portfolio Gamma
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Net
Portfolio Vega
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calls
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puts
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USD-INR
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USD
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USD
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USD
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EUR-INR
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EUR
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EUR
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EUR
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JPY-INR
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JPY
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JPY
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JPY
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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
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Maturity
Buckets
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Strike Price |
1 week |
2 weeks |
1 month |
2 months |
3 months |
> 3 months |
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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
