Description
The emergence of the market for derivative products, most notably forwards, futures and options, can be traced back to the willingness of risk-averse economic agents to guard themselves against uncertainties arising out of fluctuations in asset prices.
Derivatives (Futures & Options)
INTRODUCTION OF DERIVATIVES
The emergence of the market for derivative products, most notably forwards,
futures and options, can be traced back to the willingness of risk-averse economic
agents to guard themselves against uncertainties arising out of fluctuations in asset
prices. By their very nature, the financial markets are marked by a very high
degree of volatility. Through the use of derivative products, it is possible to
partially or fully transfer price risks by locking-in asset Prices. As instruments of
risk management, these generally do not influence the Fluctuations in the
underlying asset prices. owever, by locking-in asset prices, !erivative products
minimi"e the impact of fluctuations in asset prices on the Profitability and cash
flow situation of risk-averse investors.
!erivatives are risk management instruments, which derive their value from
an underlying asset. The underlying asset can be bullion, inde#, share, bonds,
$urrency, interest, etc., Banks, %ecurities firms, companies and investors to hedge
risks, to gain access to cheaper money and to make profit, use derivatives.
!erivatives are likely to grow even at a faster rate in future.
DEFINITION OF DERIVATIVES
&!erivative is a product whose value is derived from the value of an underlying
asset in a contractual manner. The underlying asset can be e'uity, Fore#,
commodity or any other asset.(
? %ecurities $ontract ) regulation* Act, +,-. )%$)/* A*defines &debt
instrument, share, loan whether secured or unsecured, risk instrument or
contract for differences or any other form of security(
? A contract which derives its value from the prices, or inde# of prices, of
underlying securities.
1
Derivatives (Futures & Options)
HISTORY OF DERIVATIVES MARKETS
0arly forward contracts in the 1% addressed merchants concerns about ensuring
that there were buyers and sellers for commodities. owever &credit risk(
remained a serious problem. To deal with this problem, a group of $hicago2
businessmen formed the Chicago Board of Trade (CBOT in 1!"!. The primary
intention of the CBOT was to provide a centrali"ed location known 3n advance for
buyers and sellers to negotiate forward contracts. 3n +4.-, the $B5T went one
step further and listed the first &e#change traded( derivatives $ontract in the 1%2
these contracts were called &futures contracts(. 3n +,+,, $hicago Butter and 0gg
Board, a spin-off $B5T was reorgani"ed to allow futures trading. 3ts name was
changed to Chicago Merca#$i%e E&cha#ge (CME. The $B5T and the $60
remain the two largest organi"ed futures e#changes, indeed the two largest
&financial( e#changes of any kind in the world today.
The first stock inde# futures contract was traded at Ka#'a' Ci$( Board of
Trade. $urrently the most popular stock inde# futures contract in the world is
based on S)* +,, i#de&- traded on $hicago 6ercantile 0#change. !uring the
6id eighties, financial futures became the most active derivative instruments
7enerating volumes many times more than the commodity futures. 3nde# futures,
futures on T-bills and 0uro-!ollar futures are the three most popular Futures
contracts traded today. 5ther popular international e#changes that trade
derivatives are .IFFE in E#g%a#d- DTB in /er0a#(- S/1 in Si#ga2ore- TIFFE
in 3a2a#, MATIF in France, E4re& etc.,
1
Derivatives (Futures & Options)
THE /RO5TH OF DERIVATIVES MARKET
5ver the last three decades, the derivatives markets have seen a phenomenal
growth. A large variety of derivative contracts have been launched at e#changes
across the world. %ome of the factors driving the growth of financial derivatives
are8
? 3ncreased volatility in asset prices in financial markets,
? 3ncreased integration of national financial markets with the
international markets,
? 6arked improvement in communication facilities and sharp decline in
their costs,
? !evelopment of more sophisticated risk management tools, providing
economic agents a wider choice of risk management strategies, and
? 3nnovations in the derivatives markets, which optimally combine the
risks and returns over a large number of financial assets leading to
higher returns, reduced risk as well as transactions costs as compared
to individual financial assets.
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Derivatives (Futures & Options)
DERIVATIVE *RODUCTS (TY*ES
The following are the various types of derivatives. They are8
For6ard'7
A forward contract is a customi"ed contract between two entities, where settlement
takes place on a specific date in the future at today9s pre-agreed price.
F4$4re'7
A futures contract is an agreement between two parties to buy or sell an asset at a
certain time in the future at a certain price. Futures contracts are special types of
forward contracts in the sense that the former are standardi"ed e#change-traded
contracts.
O2$io#'7
5ptions are of two types-calls and puts. $alls give the buyer the right but not the
obligation to buy a given 'uantity of the underlying asset, at a given price on or
before a given future date. Puts give the buyer the right, but not the obligation to
sell a given 'uantity of the underlying asset at a given price on or before a given
date.
5arra#$'7
5ptions generally have lives of upto one year2 the ma
rity of options traded on
options e#changes having a ma#imum maturity of nine months. ;onger-dated
options are called warrants and are generally traded 5ver-the-counter.
.ea2'7
The acronym ;0AP% means ;ong-Term 0'uity Anticipation %ecurities. These are
options having a maturity of upto three years.
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Derivatives (Futures & Options)
Ba'8e$'7
Basket options are options on portfolio of underlying assets. The underlying asset
is usually a moving average of a basket of assets. 0'uity inde# options are a form
of basket options.
S6a2'7
%waps are private agreement between two parties to e#change cash flows in the
future according to a prearranged formula. They can be regarded as portfolios of
forward contracts. The two commonly used swaps are8
? I#$ere'$ ra$e '6a2'7
The entail swapping only the interest related cash flows between the parties in the
same currency.
? C4rre#c( '6a2'7
These entail swapping both principal and interest between the parties, with the
cashflows in one direction being in a different currency than those in the opposite
direction.
S6a2$io#'7
%waptions are options to buy or sell a swap that will become operative at the
e#piry of the options. Thus a swaption is an option on a forward swap. /ather than
have calls and puts, the swaptions market has receiver swaptions and payer
swaptions. A receiver swaption is an option to receive fi#ed and pay floating. A
payer swaption is an option to pay fi#ed and received floating.
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Derivatives (Futures & Options)
*ARTICI*ANTS IN THE DERRIVATIVES MARKETS
The following three broad categories of participants8
HED/ERS7
edgers face risk associated with the price of an asset. They use futures or options
markets to reduce or eliminate this risk.
S*ECU.ATORS7
%peculators wish to bet on future movements in the price of an asset. Futures and
options contracts can give them an e#tra leverage2 that is, they can increase both
the potential gains and potential losses in a speculative venture.
ARBITRA/EURS7
Arbitrageurs are in business to take advantage of a discrepancy between prices in
two different markets. 3f, for e#ample they see the futures prices of an asset
getting out of line with the cash price, they will take offsetting positions in the two
markets to lock in a profit.
FUNCTIONS OF THE DERIVATIVES MARKET
3n spite of the fear and criticism with which the derivative markets are commonly
looked at, these markets perform a number of economic functions.
? Price in an organi"ed derivative markets reflect the perception of market
participants about the future and lead the prices of underlying to the
perceived future level. The prices of derivatives converge with the
prices of the underlying at the
0#piration of the derivative contract. Thus derivatives help in
discovery of future as well as current prices.
? The derivative markets helps to transfer risks from those who have them
but may not like them to those who have an appetite for them.
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Derivatives (Futures & Options)
? !erivative due to their inherent nature, are linked to the underlying cash
markets. ,,1 and trading in options on individual securities commenced on 34%( >- >,,1
%ingle stock futures were launched on No:e0Aer C- >,,1. Today, both in terms of
volume and turnover, A%0 is the largest derivatives e#change in 3ndia. $urrently,
the derivatives contracts have a ma#imum of E .a8h. 0#changes have to submit details of the futures contract
they propose to introduce.
? The initial margin re'uirement, e#posure limits linked to capital
ade'uacy and margin demands related to the risk of loss on the
position will be prescribed by %0B3 = 0#changed from time to time.
? The ;.$.7upta committee report re'uires strict enforcement of
&Gnow your customer &rule and re'uires that every client shall be
registered with the derivatives broker. The members of the derivatives
segment are also re'uired to make their clients aware of the risks
involved in derivatives trading by issuing to the clients the /isk
!isclosure and obtain a copy of the same duly signed by the clients.
? The trading members are re'uired to have 'ualified approved user and
sales person who have passed a certification programmed approved
by %0B3.
E.I/IBI.ITY OF ANY STOCK TO ENTER IN DERIVATIVES MARKET
? Aon Promoter holding ) free float capitali"ation * not less than R'B
?+, Crore' from %a'$ H 0o#$h'
? !aily Average Trading value not less than + Crore' in last H Mo#$h'
? At least C,F of Trading days in %a'$ H 0o#$h'
? Aon Promoter olding at least E,F
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Derivatives (Futures & Options)
? B0TA not more than " ) previous last . months *
DESCRI*TION OF THE METHOD
The following are the steps involved in the study.
Se%ec$io# of $he 'cri27<
The scrip selection is done on a random and the scrip selected is
OI. ) NATURA. /AS COR*ORATION .TDB The %o$ i' >>+. Profitability
position of the futures buyers and seller and also the option holder and option
writers is studied.
Da$a Co%%ec$io#7<
The data of the ON/C .$d has been collected from the 9$he Eco#o0ic
Ti0e'; and the i#$er#e$B The data consist of the March Co#$rac$ and period of
!ata collection is from >E
rd
FEBRUARY >,,? < >C$h
MARCH >,,?B
A#a%('i'7<
The analysis consist of the tabulation of the data assessing the profitability
Positions of the futures buyers and sellers and also option holder and the option
.%tandardi"ed
contract terms
E. hence more li'uid
". /e'uires margin
payment
+. Follows daily
%ettlement
1. 5T$ in nature
>.$ustomi"ed contract
terms
E. hence less li'uid
". Ao margin payment
+. %ettlement happens
at end of period
TaA%e >B1
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Derivatives (Futures & Options)
FEATURES OF FUTURES
• Futures are highly standardi"ed.
• The contracting parties need not pay any down payment.
• edging of price risks.
• They have secondary markets too.
TY*ES OF FUTURES
5n the basis of the underlying asset they derive, the futures are divided into two
types8
• %tock Futures
• 3nde# Futures
*ARTIES IN THE FUTURES CONTRACT
There are two parties in a futures contract, the buyers and the seller. The buyer
of the futures contract is one who is ;5A7 on the futures contract and the seller of
the futures contract is who is %5/T on the futures contract.
The pay-off for the buyers and the seller of the futures of the contracts are as
follows8
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Derivatives (Futures & Options)
*AYB1
CASE 17< The buyers bought the futures contract at )F*2 if the futures
Price 7oes to 0
+
then the buyer gets the profit of )FP*.
CASE >7< The buyers gets loss when the futures price less then )F*2 if
The Futures price goes to 0
?
then the buyer the loss of )F;*.
LOSS
PROFIT
F
L
P
E
1
E
2
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Derivatives (Futures & Options)
*AYB>
F J F1T1/0% P/3$0
0
+
, 0? J %0T;060AT P/3$0
CASE 17< The seller sold the future contract at )F*2 if the future goes to
0
+
Then the seller gets the profit of )FP*.
CASE >7< The seller gets loss when the future price goes greater than )F*2
3f the future price goes to 0
?
then the seller get the loss of )F;*.
F
LOSS
PROFIT
E
1
P
E
2
L
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Derivatives (Futures & Options)
MAR/INS
6argins are the deposits which reduce counter party risk, arise in a futures
contract. These margins are collect in order to eliminate the counter party risk.
There are three types of margins8
I#i$ia% Margi#'7<
>2 the
following table shows the effect of margins on the $ontract. The contract si"e of
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Derivatives (Futures & Options)
5A7$ is +4>>. The initial margin amount is say /s. @>,>>> the maintenance
margin is .-F of initial margin.
*RICIN/ FUTURES
Pricing of futures contract is very simple. 1sing the cost-of-carry logic, we
calculate the fair value of a future contract. 0very time the observed price deviates
from the fair value, arbitragers would enter into trades to captures the arbitrage
profit. This in turn would push the futures price back to its fair value. The cost of
carry model used for pricing futures is given below.
F I Se
rT
7 )%pot Price O %trike Price*
As a spot price )0
?
* of the underlying asset is less than strike price )%*
The buyer gets loss of )%P*2 if price goes down less than 0
?
then also his loss is
limited to his premium )%P*
*AYB"
% J %trike price 3T6 J 3n the 6oney
%P J Premium = profit AT6 J At The money
0
+ J
%pot Price + 5T6 J 5ut of the 6oney
0
?
J %pot Price ?
%/ J loss at spot price 0
?
CASE 17 )%pot price O %trike price*
ITM
PROFIT
E
1
P
S
ATM
E
2
OTM
R
LOSS
1
Derivatives (Futures & Options)
As the spot price )0
+
* of the underlying is less than strike price )%*. The seller gets
the profit of )%P*, if the price decreases less than 0
+
then also profit of the seller
does not e#ceed )%P*.
CASE >7 )%pot price N %trike price*
As the spot price )0
?
* of the underlying asset is more than strike price )%* the %eller
gets loss of )%/*, if price goes more than 0
?
then the loss of the seller also increase
more than )%/*.
*AYB+
% J %trike price 3T6 J 3n the 6oney
%P J Premium = loss AT6 J At the 6oney
0
+
J %pot price + 5T6 J 5ut of the 6oney
0
?
J %pot price ?
%/ J Profit at spot price 0
+
CASE 17 )%pot price O %trike price*
PROFIT
ITM
R
E
1
ATM
P LOSS
OTM
E
2
S
1
Derivatives (Futures & Options)
As the spot price )0
+
* of the underlying asset is less than strike price )%*. The buyer
gets the profit )%/*, if price decreases less than 0
+
then profit also increases more
than )%/*.
CASE >7 )%pot price N %trike price*
As the spot price )0
?
* of the underlying asset is more than strike price )%*,
The buyer gets loss of )%P*, if price goes more than 0
?
than the loss of the buyer is
limited to his premium )%P*.
*AYBH
% J %trike price 3T6 J 3n The 6oney
%P J Premium=profit AT6 J At The 6oney
0
+ J
%pot price + 5T6 J 5ut of the 6oney
0
? J
%pot price ?
%/ J ;oss at spot price 0
+
CASE 18 )%pot price O %trike price*
LOSS
OTM
R
S
E
1
P
PROFIT
ITM
ATM
E
2
1
Derivatives (Futures & Options)
As the spot price )0
+
* of the underlying asset is less than strike price )%*, the seller
gets the loss of )%/*, if price decreases less than 0
+
than the loss also increases
more than )%/*.
CASE >7 )%pot price N %trike price*
As the spot price )0
?
* of the underlying asset is more than strike price )%*, the seller
gets profit of )%P*, of price goes more than 0
?
than the profit of seller is limited to
his premium )%P*.
FACTORS AFFECTIN/ THE *RICE OF AN O*TION
The following are the various factors that affect the price of an option they are8
S$oc8 *rice7
The pay-off from a call option is an amount by which the stock price e#ceeds the
strike price. $all options therefore become more valuable as the stock price
increases and vice versa. The pay-off from a put option is the amount2 by which
the strike price e#ceeds the stock price. Put options therefore become more
valuable as the stock price increases and vice versa.
S$ri8e 2rice7
3n case of a call, as a strike price increases, the stock price has to make a larger
upward move for the option to go in-the Mmoney. Therefore, for a call, as the
strike price increases option becomes less valuable and as strike price decreases,
option become more valuable.
Ti0e $o e&2ira$io#7
Both put and call American options become more valuable as a time to e#piration
increases.
Vo%a$i%i$(7
The volatility of a stock price is measured of uncertain about future stock price
movements. As volatility increases, the chance that the stock will do very well or
1
Derivatives (Futures & Options)
very poor increases. The value of both calls and puts therefore increases as
volatility increase.
Ri'8< free i#$ere'$ ra$e7
The put option prices decline as the risk-free rate increases where as the price of
call always increases as the risk-free interest rate increases.
Di:ide#d'7
!ividends have the effect of reducing the stock price on the P- dividend rate. This
has a negative effect on the value of call options and a positive effect on the value
of put options.
*RICIN/ O*TIONS
An option buyer has the right but not the obligation to e#ercise on the seller.
The worst that can happen to a buyer is the loss of the premium paid by him. is
downside is limited to this premium, but his upside is potentially unlimited. This
optionality is precious and has a value, which is e#pressed in terms of the option
price. Kust like in other free markets, it is the supply and demand in the secondary
market that drives the price of an option.
There are various models which help us get close to the true price of an option.
6ost of these are variants of the celebrated Black- %choles model for pricing
0uropean options. Today most calculators and spread-sheets come with a built-in
Black- %choles options pricing formula so to price options we don9t really need to
memori"e the formula. All we need to know is the variables that go into the
model.
1
Derivatives (Futures & Options)
The Black-%choles formulas for the price of 0uropean calls and puts on a non-
dividend paying stock are8
1
Derivatives (Futures & Options)
Ca%% o2$io#
CA I SN (d
1
M 1e
< rT
N (d
>
*4$ O2$io#
*A I 1e
< rT
N (< d
>
M SN (< d
1
5here d
1
I %# (SG1 J (r J :
>
G> T
:NT
A#d d
>
I d
1
< :NT
B>
O*TIONS TERMINO.O/Y
O2$io# 2riceG2re0i408
5ption price is the price which the option buyer pays to the option seller. 3t is also
referred to as the option premium.
1
Derivatives (Futures & Options)
E&2ira$io# da$e7
The date specified in the options contract is known as the e#piration date, the
e#ercise date, the strike date or the maturity.
S$ri8e 2rice7
The price specified in the option contract is known as the strike price or the
e#ercise price.
I#E %tock 0#changes
?* !epositaries (NSD.-CDS.-? !epositaries
@* ;isted %ecurities-C-"1E
D* /egistered Brokers-C-+1C
-* F33s-+,>
Highe'$ I#:e'$or *o24%a$io#
TaA%e >BH
I#:e'$or Ed4ca$io# ) 2ro$ec$io# F4#d
This fund used to educate C develop the awareness of the 3nvestors.
The following funds credited to 30 C PF
+* 1npaid dividends
?* !ue for refund )application money received for allotment*
@* 6atured deposits C debentures with company.
D* 7overnment donations.
State Total No. Investors % o Investors in In!ia
"a#arastra $.11 %a&#s 28.50
'u(arat 5.36 %a&#s 16.)5
Del#i 3.25 %a&#s 10.10%
Ta*ilna!u 2.30 %a&#s ).205
+est ,an-al 2.14 %a&#s 6.)5%
.n!#ra /ra!es# 1.$4 %a&#s 6.05%
1
Derivatives (Futures & Options)
co02a#(
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The price at buy signal +..@
Profit J selling price M buying price
J ?DD> M +..@
JIII
Aow,
the total profit J ;ot si"e S Profit
J I- S III
TOTA. *ROFITI+!>?+
CASE>7
The price at sell signal +..-
The price at buy signal +..@
Profit J selling price M buying price
1
Derivatives (Futures & Options)
J +..--+..@
J?
Aow,
the total profit J ;ot si"e S Profit
J I- S ?
TOTA. *ROFITI1+,
CASEE
The price at sell signal +..-
The price at buy signal +@ID
Profit J selling price M buying price
J +..- - +@ID
J?,+
Aow,
the total profit J ;ot si"e S Profit
J I- S ?,+
TOTA. *ROFITI>1!>+
CASE"
The price at sell signal +,D-
The price at buy signal +@ID
Profit J selling price M buying price
J +,D- - +@ID
J-I+
Aow,
the total profit J ;ot si"e S Profit
J I- S -I+
TOTA. *ROFITI">!>+
1
Derivatives (Futures & Options)
The future prices at %0;; and B1;; %ignals8
CASE18
The price at sell signal ?+4D
1
Derivatives (Futures & Options)
The price at buy signal +D,,
Profit J selling price M buying price
J ?+4D - +D,,
J.4-
Aow,
the total profit J ;ot si"e S Profit
J I- S .4-
TOTA. *ROFITI+1E?+
CASE>7
The price at sell signal +I,-
The price at buy signal +D,,
Profit J selling price M buying price
J +I,- - +D,,
J?,.
Aow,
the total profit J ;ot si"e S Profit
J I- S ?,.
TOTA. *ROFITI>>>,,
1
Derivatives (Futures & Options)
CONC.USIONS
? !erivatives market is an innovation to cash market. Appro#imately
its daily turnover reaches to the e'ual stage of cash market. The
average daily turnover of the A%0 derivative segments
? 3n cash market the profit=loss of the investor depend the market
price of the underlying asset. The investor may incur ugh profit ts
or he may incur ugh loss. But in derivatives segment the investor
enys ugh profits with limited downside.
? 3n cash market the investor has to pay the total money, but in
derivatives the investor has to pay premiums or margins, which are
some percentage of total money.
? !erivatives are mostly used for hedging purpose.
? 3n derivative segment the profit=loss of the option writer is purely
depend on the fluctuations of the underlying asset.
1
Derivatives (Futures & Options)
SU//ESTIONS
? 3n bullish market the call option writer incurs more losses so the
investor is suggested to go for a call option to hold, where as the
put option holder suffers in a bullish market, so he is suggested to
write a put option.
? 3n bearish market the call option holder will incur more losses so
the investor is suggested to go for a call option to write, where as
the put option writer will get more losses, so he is suggested to hold
a put option.
? 3n the above analysis the market price of 5A7$ is having low
volatility, so the call option writer enys more profits to holders.
? The derivative market is newly started in 3ndia and it is not known
by every investor, so %0B3 has to take steps to create awareness
among the investors about the derivative segment.
? 3n order to increase the derivatives market in 3ndia, %0B3 should
revise some of their regulations like contract si"e, participation of
F33 in the derivatives market.
? $ontract si"e should be minimi"ed because small investors cannot
afford this much of huge premiums.
? %0B3 has to take further steps in the risk management mechanism.
? %0B3 has to take measures to use effectively the derivatives
segment as a tool of hedging.
1
Derivatives (Futures & Options)
BIB.IO/RA*HY
? BOOKS 7<
? !erivatives !ealers 6odule
1
Derivatives (Futures & Options)
BUY ORDER FORM
Fig4re ?BE
1
Derivatives (Futures & Options)
SE.. ORDER FORM
Fig4re ?B"
1
Derivatives (Futures & Options)
MARKET DE*TH
Fig4re ?B+
1
Derivatives (Futures & Options)
TRADE BOOK
Fig4re ?BH
1
Derivatives (Futures & Options)
C.IENT MAR/IN
Fig4re ?B?
1
Derivatives (Futures & Options)
ORDER BOOK
Fig4re ?B!
1
Derivatives (Futures & Options)
C.IENT ACTIVITY RE*ORT
Fig4re ?BC
1
Derivatives (Futures & Options)
MESSA/E RE*ORT
Fig4re ?B1,
1
Derivatives (Futures & Options)
E1ERCISE RE*ORT
Fig4re ?B11
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Derivatives (Futures & Options)
TRADIN/ SCRI*DS IN DIA.O/UE BO1
Fig4re ?B1>
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Derivatives (Futures & Options)
.IST OF ABBREVIATIONS
BSE Bombay %tock 0#change
NSE Aational %tock 0#change
ISE 3nter-connected %tock 0#change
ABC Additional Base $apital
BMC Base 6inimum $apital
NSD. Aational %ecurities !epository ;td.
CDS. $entral !epositories %ervices ;td.
CM $apital 6arket
CoB $ompany
DCA !epartment of $ompany Affairs
DEA !epartment of 0conomic Affairs
D* !epository Participant
D*/ !ominant Promoter 7roup
D= !isclosed Huantity
D:* !elivery versus Payment
FI Financial 3nstitution
FII Foreign 3nstitutional 3nvestors
F)O Futures and 5ptions
FT* File Transfer Protocol
IOC 3mmediate or $ancel
I*F 3nvestor Protection Fund
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Derivatives (Futures & Options)
ISIN 3nternational %ecurities 3dentification Aumber
.T* ;ast Trade Price
MB* 6arket by Price
MTM 6ark to 6arket
NSCC. Aational %ecurities $learing $orporation ;imited
OTC 5ver the $ounter
NEAT Aational 0#change for Automated Trading
NCFM A%0Xs $ertification in Financial 6arkets
RBI /eserve Bank of 3ndia
RDM /etail !ebt 6arket
SAT %ecurities Appellate Tribunal
SBTS %creen Based Trading %ystem
SC(RA %ecurities $ontracts )/egulation* Act, +,-.
SC(RR %ecurities $ontracts )/egulation* /ules, +,-I
SEBI %ecurities and 0#change Board of 3ndia
S/F %ettlement 7uarantee Fund
SRO %elf /egulatory 5rgani"ation
TJ> %econd day from the trading day
TM Trading 6ember
UTI 1nit Trust of 3ndia
VaR Lalue at /isk
VSAT Lery %mall Aperture Terminal
5DM
The emergence of the market for derivative products, most notably forwards, futures and options, can be traced back to the willingness of risk-averse economic agents to guard themselves against uncertainties arising out of fluctuations in asset prices.
Derivatives (Futures & Options)
INTRODUCTION OF DERIVATIVES
The emergence of the market for derivative products, most notably forwards,
futures and options, can be traced back to the willingness of risk-averse economic
agents to guard themselves against uncertainties arising out of fluctuations in asset
prices. By their very nature, the financial markets are marked by a very high
degree of volatility. Through the use of derivative products, it is possible to
partially or fully transfer price risks by locking-in asset Prices. As instruments of
risk management, these generally do not influence the Fluctuations in the
underlying asset prices. owever, by locking-in asset prices, !erivative products
minimi"e the impact of fluctuations in asset prices on the Profitability and cash
flow situation of risk-averse investors.
!erivatives are risk management instruments, which derive their value from
an underlying asset. The underlying asset can be bullion, inde#, share, bonds,
$urrency, interest, etc., Banks, %ecurities firms, companies and investors to hedge
risks, to gain access to cheaper money and to make profit, use derivatives.
!erivatives are likely to grow even at a faster rate in future.
DEFINITION OF DERIVATIVES
&!erivative is a product whose value is derived from the value of an underlying
asset in a contractual manner. The underlying asset can be e'uity, Fore#,
commodity or any other asset.(
? %ecurities $ontract ) regulation* Act, +,-. )%$)/* A*defines &debt
instrument, share, loan whether secured or unsecured, risk instrument or
contract for differences or any other form of security(
? A contract which derives its value from the prices, or inde# of prices, of
underlying securities.
1
Derivatives (Futures & Options)
HISTORY OF DERIVATIVES MARKETS
0arly forward contracts in the 1% addressed merchants concerns about ensuring
that there were buyers and sellers for commodities. owever &credit risk(
remained a serious problem. To deal with this problem, a group of $hicago2
businessmen formed the Chicago Board of Trade (CBOT in 1!"!. The primary
intention of the CBOT was to provide a centrali"ed location known 3n advance for
buyers and sellers to negotiate forward contracts. 3n +4.-, the $B5T went one
step further and listed the first &e#change traded( derivatives $ontract in the 1%2
these contracts were called &futures contracts(. 3n +,+,, $hicago Butter and 0gg
Board, a spin-off $B5T was reorgani"ed to allow futures trading. 3ts name was
changed to Chicago Merca#$i%e E&cha#ge (CME. The $B5T and the $60
remain the two largest organi"ed futures e#changes, indeed the two largest
&financial( e#changes of any kind in the world today.
The first stock inde# futures contract was traded at Ka#'a' Ci$( Board of
Trade. $urrently the most popular stock inde# futures contract in the world is
based on S)* +,, i#de&- traded on $hicago 6ercantile 0#change. !uring the
6id eighties, financial futures became the most active derivative instruments
7enerating volumes many times more than the commodity futures. 3nde# futures,
futures on T-bills and 0uro-!ollar futures are the three most popular Futures
contracts traded today. 5ther popular international e#changes that trade
derivatives are .IFFE in E#g%a#d- DTB in /er0a#(- S/1 in Si#ga2ore- TIFFE
in 3a2a#, MATIF in France, E4re& etc.,
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Derivatives (Futures & Options)
THE /RO5TH OF DERIVATIVES MARKET
5ver the last three decades, the derivatives markets have seen a phenomenal
growth. A large variety of derivative contracts have been launched at e#changes
across the world. %ome of the factors driving the growth of financial derivatives
are8
? 3ncreased volatility in asset prices in financial markets,
? 3ncreased integration of national financial markets with the
international markets,
? 6arked improvement in communication facilities and sharp decline in
their costs,
? !evelopment of more sophisticated risk management tools, providing
economic agents a wider choice of risk management strategies, and
? 3nnovations in the derivatives markets, which optimally combine the
risks and returns over a large number of financial assets leading to
higher returns, reduced risk as well as transactions costs as compared
to individual financial assets.
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Derivatives (Futures & Options)
DERIVATIVE *RODUCTS (TY*ES
The following are the various types of derivatives. They are8
For6ard'7
A forward contract is a customi"ed contract between two entities, where settlement
takes place on a specific date in the future at today9s pre-agreed price.
F4$4re'7
A futures contract is an agreement between two parties to buy or sell an asset at a
certain time in the future at a certain price. Futures contracts are special types of
forward contracts in the sense that the former are standardi"ed e#change-traded
contracts.
O2$io#'7
5ptions are of two types-calls and puts. $alls give the buyer the right but not the
obligation to buy a given 'uantity of the underlying asset, at a given price on or
before a given future date. Puts give the buyer the right, but not the obligation to
sell a given 'uantity of the underlying asset at a given price on or before a given
date.
5arra#$'7
5ptions generally have lives of upto one year2 the ma
rity of options traded onoptions e#changes having a ma#imum maturity of nine months. ;onger-dated
options are called warrants and are generally traded 5ver-the-counter.
.ea2'7
The acronym ;0AP% means ;ong-Term 0'uity Anticipation %ecurities. These are
options having a maturity of upto three years.
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Derivatives (Futures & Options)
Ba'8e$'7
Basket options are options on portfolio of underlying assets. The underlying asset
is usually a moving average of a basket of assets. 0'uity inde# options are a form
of basket options.
S6a2'7
%waps are private agreement between two parties to e#change cash flows in the
future according to a prearranged formula. They can be regarded as portfolios of
forward contracts. The two commonly used swaps are8
? I#$ere'$ ra$e '6a2'7
The entail swapping only the interest related cash flows between the parties in the
same currency.
? C4rre#c( '6a2'7
These entail swapping both principal and interest between the parties, with the
cashflows in one direction being in a different currency than those in the opposite
direction.
S6a2$io#'7
%waptions are options to buy or sell a swap that will become operative at the
e#piry of the options. Thus a swaption is an option on a forward swap. /ather than
have calls and puts, the swaptions market has receiver swaptions and payer
swaptions. A receiver swaption is an option to receive fi#ed and pay floating. A
payer swaption is an option to pay fi#ed and received floating.
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Derivatives (Futures & Options)
*ARTICI*ANTS IN THE DERRIVATIVES MARKETS
The following three broad categories of participants8
HED/ERS7
edgers face risk associated with the price of an asset. They use futures or options
markets to reduce or eliminate this risk.
S*ECU.ATORS7
%peculators wish to bet on future movements in the price of an asset. Futures and
options contracts can give them an e#tra leverage2 that is, they can increase both
the potential gains and potential losses in a speculative venture.
ARBITRA/EURS7
Arbitrageurs are in business to take advantage of a discrepancy between prices in
two different markets. 3f, for e#ample they see the futures prices of an asset
getting out of line with the cash price, they will take offsetting positions in the two
markets to lock in a profit.
FUNCTIONS OF THE DERIVATIVES MARKET
3n spite of the fear and criticism with which the derivative markets are commonly
looked at, these markets perform a number of economic functions.
? Price in an organi"ed derivative markets reflect the perception of market
participants about the future and lead the prices of underlying to the
perceived future level. The prices of derivatives converge with the
prices of the underlying at the
0#piration of the derivative contract. Thus derivatives help in
discovery of future as well as current prices.
? The derivative markets helps to transfer risks from those who have them
but may not like them to those who have an appetite for them.
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Derivatives (Futures & Options)
? !erivative due to their inherent nature, are linked to the underlying cash
markets. ,,1 and trading in options on individual securities commenced on 34%( >- >,,1
%ingle stock futures were launched on No:e0Aer C- >,,1. Today, both in terms of
volume and turnover, A%0 is the largest derivatives e#change in 3ndia. $urrently,
the derivatives contracts have a ma#imum of E .a8h. 0#changes have to submit details of the futures contract
they propose to introduce.
? The initial margin re'uirement, e#posure limits linked to capital
ade'uacy and margin demands related to the risk of loss on the
position will be prescribed by %0B3 = 0#changed from time to time.
? The ;.$.7upta committee report re'uires strict enforcement of
&Gnow your customer &rule and re'uires that every client shall be
registered with the derivatives broker. The members of the derivatives
segment are also re'uired to make their clients aware of the risks
involved in derivatives trading by issuing to the clients the /isk
!isclosure and obtain a copy of the same duly signed by the clients.
? The trading members are re'uired to have 'ualified approved user and
sales person who have passed a certification programmed approved
by %0B3.
E.I/IBI.ITY OF ANY STOCK TO ENTER IN DERIVATIVES MARKET
? Aon Promoter holding ) free float capitali"ation * not less than R'B
?+, Crore' from %a'$ H 0o#$h'
? !aily Average Trading value not less than + Crore' in last H Mo#$h'
? At least C,F of Trading days in %a'$ H 0o#$h'
? Aon Promoter olding at least E,F
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Derivatives (Futures & Options)
? B0TA not more than " ) previous last . months *
DESCRI*TION OF THE METHOD
The following are the steps involved in the study.
Se%ec$io# of $he 'cri27<
The scrip selection is done on a random and the scrip selected is
OI. ) NATURA. /AS COR*ORATION .TDB The %o$ i' >>+. Profitability
position of the futures buyers and seller and also the option holder and option
writers is studied.
Da$a Co%%ec$io#7<
The data of the ON/C .$d has been collected from the 9$he Eco#o0ic
Ti0e'; and the i#$er#e$B The data consist of the March Co#$rac$ and period of
!ata collection is from >E
rd
FEBRUARY >,,? < >C$h
MARCH >,,?B
A#a%('i'7<
The analysis consist of the tabulation of the data assessing the profitability
Positions of the futures buyers and sellers and also option holder and the option
.%tandardi"ed
contract terms
E. hence more li'uid
". /e'uires margin
payment
+. Follows daily
%ettlement
1. 5T$ in nature
>.$ustomi"ed contract
terms
E. hence less li'uid
". Ao margin payment
+. %ettlement happens
at end of period
TaA%e >B1
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Derivatives (Futures & Options)
FEATURES OF FUTURES
• Futures are highly standardi"ed.
• The contracting parties need not pay any down payment.
• edging of price risks.
• They have secondary markets too.
TY*ES OF FUTURES
5n the basis of the underlying asset they derive, the futures are divided into two
types8
• %tock Futures
• 3nde# Futures
*ARTIES IN THE FUTURES CONTRACT
There are two parties in a futures contract, the buyers and the seller. The buyer
of the futures contract is one who is ;5A7 on the futures contract and the seller of
the futures contract is who is %5/T on the futures contract.
The pay-off for the buyers and the seller of the futures of the contracts are as
follows8
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Derivatives (Futures & Options)
*AYB1
CASE 17< The buyers bought the futures contract at )F*2 if the futures
Price 7oes to 0
+
then the buyer gets the profit of )FP*.
CASE >7< The buyers gets loss when the futures price less then )F*2 if
The Futures price goes to 0
?
then the buyer the loss of )F;*.
LOSS
PROFIT
F
L
P
E
1
E
2
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Derivatives (Futures & Options)
*AYB>
F J F1T1/0% P/3$0
0
+
, 0? J %0T;060AT P/3$0
CASE 17< The seller sold the future contract at )F*2 if the future goes to
0
+
Then the seller gets the profit of )FP*.
CASE >7< The seller gets loss when the future price goes greater than )F*2
3f the future price goes to 0
?
then the seller get the loss of )F;*.
F
LOSS
PROFIT
E
1
P
E
2
L
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Derivatives (Futures & Options)
MAR/INS
6argins are the deposits which reduce counter party risk, arise in a futures
contract. These margins are collect in order to eliminate the counter party risk.
There are three types of margins8
I#i$ia% Margi#'7<
>2 the
following table shows the effect of margins on the $ontract. The contract si"e of
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Derivatives (Futures & Options)
5A7$ is +4>>. The initial margin amount is say /s. @>,>>> the maintenance
margin is .-F of initial margin.
*RICIN/ FUTURES
Pricing of futures contract is very simple. 1sing the cost-of-carry logic, we
calculate the fair value of a future contract. 0very time the observed price deviates
from the fair value, arbitragers would enter into trades to captures the arbitrage
profit. This in turn would push the futures price back to its fair value. The cost of
carry model used for pricing futures is given below.
F I Se
rT
7 )%pot Price O %trike Price*
As a spot price )0
?
* of the underlying asset is less than strike price )%*
The buyer gets loss of )%P*2 if price goes down less than 0
?
then also his loss is
limited to his premium )%P*
*AYB"
% J %trike price 3T6 J 3n the 6oney
%P J Premium = profit AT6 J At The money
0
+ J
%pot Price + 5T6 J 5ut of the 6oney
0
?
J %pot Price ?
%/ J loss at spot price 0
?
CASE 17 )%pot price O %trike price*
ITM
PROFIT
E
1
P
S
ATM
E
2
OTM
R
LOSS
1
Derivatives (Futures & Options)
As the spot price )0
+
* of the underlying is less than strike price )%*. The seller gets
the profit of )%P*, if the price decreases less than 0
+
then also profit of the seller
does not e#ceed )%P*.
CASE >7 )%pot price N %trike price*
As the spot price )0
?
* of the underlying asset is more than strike price )%* the %eller
gets loss of )%/*, if price goes more than 0
?
then the loss of the seller also increase
more than )%/*.
*AYB+
% J %trike price 3T6 J 3n the 6oney
%P J Premium = loss AT6 J At the 6oney
0
+
J %pot price + 5T6 J 5ut of the 6oney
0
?
J %pot price ?
%/ J Profit at spot price 0
+
CASE 17 )%pot price O %trike price*
PROFIT
ITM
R
E
1
ATM
P LOSS
OTM
E
2
S
1
Derivatives (Futures & Options)
As the spot price )0
+
* of the underlying asset is less than strike price )%*. The buyer
gets the profit )%/*, if price decreases less than 0
+
then profit also increases more
than )%/*.
CASE >7 )%pot price N %trike price*
As the spot price )0
?
* of the underlying asset is more than strike price )%*,
The buyer gets loss of )%P*, if price goes more than 0
?
than the loss of the buyer is
limited to his premium )%P*.
*AYBH
% J %trike price 3T6 J 3n The 6oney
%P J Premium=profit AT6 J At The 6oney
0
+ J
%pot price + 5T6 J 5ut of the 6oney
0
? J
%pot price ?
%/ J ;oss at spot price 0
+
CASE 18 )%pot price O %trike price*
LOSS
OTM
R
S
E
1
P
PROFIT
ITM
ATM
E
2
1
Derivatives (Futures & Options)
As the spot price )0
+
* of the underlying asset is less than strike price )%*, the seller
gets the loss of )%/*, if price decreases less than 0
+
than the loss also increases
more than )%/*.
CASE >7 )%pot price N %trike price*
As the spot price )0
?
* of the underlying asset is more than strike price )%*, the seller
gets profit of )%P*, of price goes more than 0
?
than the profit of seller is limited to
his premium )%P*.
FACTORS AFFECTIN/ THE *RICE OF AN O*TION
The following are the various factors that affect the price of an option they are8
S$oc8 *rice7
The pay-off from a call option is an amount by which the stock price e#ceeds the
strike price. $all options therefore become more valuable as the stock price
increases and vice versa. The pay-off from a put option is the amount2 by which
the strike price e#ceeds the stock price. Put options therefore become more
valuable as the stock price increases and vice versa.
S$ri8e 2rice7
3n case of a call, as a strike price increases, the stock price has to make a larger
upward move for the option to go in-the Mmoney. Therefore, for a call, as the
strike price increases option becomes less valuable and as strike price decreases,
option become more valuable.
Ti0e $o e&2ira$io#7
Both put and call American options become more valuable as a time to e#piration
increases.
Vo%a$i%i$(7
The volatility of a stock price is measured of uncertain about future stock price
movements. As volatility increases, the chance that the stock will do very well or
1
Derivatives (Futures & Options)
very poor increases. The value of both calls and puts therefore increases as
volatility increase.
Ri'8< free i#$ere'$ ra$e7
The put option prices decline as the risk-free rate increases where as the price of
call always increases as the risk-free interest rate increases.
Di:ide#d'7
!ividends have the effect of reducing the stock price on the P- dividend rate. This
has a negative effect on the value of call options and a positive effect on the value
of put options.
*RICIN/ O*TIONS
An option buyer has the right but not the obligation to e#ercise on the seller.
The worst that can happen to a buyer is the loss of the premium paid by him. is
downside is limited to this premium, but his upside is potentially unlimited. This
optionality is precious and has a value, which is e#pressed in terms of the option
price. Kust like in other free markets, it is the supply and demand in the secondary
market that drives the price of an option.
There are various models which help us get close to the true price of an option.
6ost of these are variants of the celebrated Black- %choles model for pricing
0uropean options. Today most calculators and spread-sheets come with a built-in
Black- %choles options pricing formula so to price options we don9t really need to
memori"e the formula. All we need to know is the variables that go into the
model.
1
Derivatives (Futures & Options)
The Black-%choles formulas for the price of 0uropean calls and puts on a non-
dividend paying stock are8
1
Derivatives (Futures & Options)
Ca%% o2$io#
CA I SN (d
1
M 1e
< rT
N (d
>
*4$ O2$io#
*A I 1e
< rT
N (< d
>
M SN (< d
1
5here d
1
I %# (SG1 J (r J :
>
G> T
:NT
A#d d
>
I d
1
< :NT
B>
O*TIONS TERMINO.O/Y
O2$io# 2riceG2re0i408
5ption price is the price which the option buyer pays to the option seller. 3t is also
referred to as the option premium.
1
Derivatives (Futures & Options)
E&2ira$io# da$e7
The date specified in the options contract is known as the e#piration date, the
e#ercise date, the strike date or the maturity.
S$ri8e 2rice7
The price specified in the option contract is known as the strike price or the
e#ercise price.
I#E %tock 0#changes
?* !epositaries (NSD.-CDS.-? !epositaries
@* ;isted %ecurities-C-"1E
D* /egistered Brokers-C-+1C
-* F33s-+,>
Highe'$ I#:e'$or *o24%a$io#
TaA%e >BH
I#:e'$or Ed4ca$io# ) 2ro$ec$io# F4#d
This fund used to educate C develop the awareness of the 3nvestors.
The following funds credited to 30 C PF
+* 1npaid dividends
?* !ue for refund )application money received for allotment*
@* 6atured deposits C debentures with company.
D* 7overnment donations.
State Total No. Investors % o Investors in In!ia
"a#arastra $.11 %a&#s 28.50
'u(arat 5.36 %a&#s 16.)5
Del#i 3.25 %a&#s 10.10%
Ta*ilna!u 2.30 %a&#s ).205
+est ,an-al 2.14 %a&#s 6.)5%
.n!#ra /ra!es# 1.$4 %a&#s 6.05%
1
Derivatives (Futures & Options)
co02a#(
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The price at buy signal +..@
Profit J selling price M buying price
J ?DD> M +..@
JIII
Aow,
the total profit J ;ot si"e S Profit
J I- S III
TOTA. *ROFITI+!>?+
CASE>7
The price at sell signal +..-
The price at buy signal +..@
Profit J selling price M buying price
1
Derivatives (Futures & Options)
J +..--+..@
J?
Aow,
the total profit J ;ot si"e S Profit
J I- S ?
TOTA. *ROFITI1+,
CASEE
The price at sell signal +..-
The price at buy signal +@ID
Profit J selling price M buying price
J +..- - +@ID
J?,+
Aow,
the total profit J ;ot si"e S Profit
J I- S ?,+
TOTA. *ROFITI>1!>+
CASE"
The price at sell signal +,D-
The price at buy signal +@ID
Profit J selling price M buying price
J +,D- - +@ID
J-I+
Aow,
the total profit J ;ot si"e S Profit
J I- S -I+
TOTA. *ROFITI">!>+
1
Derivatives (Futures & Options)
The future prices at %0;; and B1;; %ignals8
CASE18
The price at sell signal ?+4D
1
Derivatives (Futures & Options)
The price at buy signal +D,,
Profit J selling price M buying price
J ?+4D - +D,,
J.4-
Aow,
the total profit J ;ot si"e S Profit
J I- S .4-
TOTA. *ROFITI+1E?+
CASE>7
The price at sell signal +I,-
The price at buy signal +D,,
Profit J selling price M buying price
J +I,- - +D,,
J?,.
Aow,
the total profit J ;ot si"e S Profit
J I- S ?,.
TOTA. *ROFITI>>>,,
1
Derivatives (Futures & Options)
CONC.USIONS
? !erivatives market is an innovation to cash market. Appro#imately
its daily turnover reaches to the e'ual stage of cash market. The
average daily turnover of the A%0 derivative segments
? 3n cash market the profit=loss of the investor depend the market
price of the underlying asset. The investor may incur ugh profit ts
or he may incur ugh loss. But in derivatives segment the investor
en
ys ugh profits with limited downside.? 3n cash market the investor has to pay the total money, but in
derivatives the investor has to pay premiums or margins, which are
some percentage of total money.
? !erivatives are mostly used for hedging purpose.
? 3n derivative segment the profit=loss of the option writer is purely
depend on the fluctuations of the underlying asset.
1
Derivatives (Futures & Options)
SU//ESTIONS
? 3n bullish market the call option writer incurs more losses so the
investor is suggested to go for a call option to hold, where as the
put option holder suffers in a bullish market, so he is suggested to
write a put option.
? 3n bearish market the call option holder will incur more losses so
the investor is suggested to go for a call option to write, where as
the put option writer will get more losses, so he is suggested to hold
a put option.
? 3n the above analysis the market price of 5A7$ is having low
volatility, so the call option writer en
ys more profits to holders.? The derivative market is newly started in 3ndia and it is not known
by every investor, so %0B3 has to take steps to create awareness
among the investors about the derivative segment.
? 3n order to increase the derivatives market in 3ndia, %0B3 should
revise some of their regulations like contract si"e, participation of
F33 in the derivatives market.
? $ontract si"e should be minimi"ed because small investors cannot
afford this much of huge premiums.
? %0B3 has to take further steps in the risk management mechanism.
? %0B3 has to take measures to use effectively the derivatives
segment as a tool of hedging.
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Derivatives (Futures & Options)
BIB.IO/RA*HY
? BOOKS 7<
? !erivatives !ealers 6odule
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Derivatives (Futures & Options)
BUY ORDER FORM
Fig4re ?BE
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Derivatives (Futures & Options)
SE.. ORDER FORM
Fig4re ?B"
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Derivatives (Futures & Options)
MARKET DE*TH
Fig4re ?B+
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Derivatives (Futures & Options)
TRADE BOOK
Fig4re ?BH
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Derivatives (Futures & Options)
C.IENT MAR/IN
Fig4re ?B?
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Derivatives (Futures & Options)
ORDER BOOK
Fig4re ?B!
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Derivatives (Futures & Options)
C.IENT ACTIVITY RE*ORT
Fig4re ?BC
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Derivatives (Futures & Options)
MESSA/E RE*ORT
Fig4re ?B1,
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Derivatives (Futures & Options)
E1ERCISE RE*ORT
Fig4re ?B11
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Derivatives (Futures & Options)
TRADIN/ SCRI*DS IN DIA.O/UE BO1
Fig4re ?B1>
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Derivatives (Futures & Options)
.IST OF ABBREVIATIONS
BSE Bombay %tock 0#change
NSE Aational %tock 0#change
ISE 3nter-connected %tock 0#change
ABC Additional Base $apital
BMC Base 6inimum $apital
NSD. Aational %ecurities !epository ;td.
CDS. $entral !epositories %ervices ;td.
CM $apital 6arket
CoB $ompany
DCA !epartment of $ompany Affairs
DEA !epartment of 0conomic Affairs
D* !epository Participant
D*/ !ominant Promoter 7roup
D= !isclosed Huantity
D:* !elivery versus Payment
FI Financial 3nstitution
FII Foreign 3nstitutional 3nvestors
F)O Futures and 5ptions
FT* File Transfer Protocol
IOC 3mmediate or $ancel
I*F 3nvestor Protection Fund
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Derivatives (Futures & Options)
ISIN 3nternational %ecurities 3dentification Aumber
.T* ;ast Trade Price
MB* 6arket by Price
MTM 6ark to 6arket
NSCC. Aational %ecurities $learing $orporation ;imited
OTC 5ver the $ounter
NEAT Aational 0#change for Automated Trading
NCFM A%0Xs $ertification in Financial 6arkets
RBI /eserve Bank of 3ndia
RDM /etail !ebt 6arket
SAT %ecurities Appellate Tribunal
SBTS %creen Based Trading %ystem
SC(RA %ecurities $ontracts )/egulation* Act, +,-.
SC(RR %ecurities $ontracts )/egulation* /ules, +,-I
SEBI %ecurities and 0#change Board of 3ndia
S/F %ettlement 7uarantee Fund
SRO %elf /egulatory 5rgani"ation
TJ> %econd day from the trading day
TM Trading 6ember
UTI 1nit Trust of 3ndia
VaR Lalue at /isk
VSAT Lery %mall Aperture Terminal
5DM