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Table Of Contents

1.1 DERIVATIVES DEFINED
1.2 FACTORS DRIVING THE GROWTH OF DERIVATIVES
1.3 DERIVATIVE PRODUCTS
1.4 PARTICIPANTS IN THE DERIVATIVES MARKETS
1.5 ECONOMIC FUNCTION OF THE DERIVATIVE MARKET
1.6 EXCHANGE-TRADED vs. OTC DERIVATIVES MARKETS
1.7 NSE's DERIVATIVES MARKET
1.7.1 Participants and functions
1.7.2 Trading mechanism
1.7.3 Turnover
CHAPTER 2
MARKET INDEX
2.1 UNDERSTANDING THE INDEX NUMBER
2.2 ECONOMIC SIGNIFICANCE OF INDEX MOVEMENTS
2.3 INDEX CONSTRUCTION ISSUES
2.4 TYPES OF INDEXES
2.5 DESIRABLE ATTRIBUTES OF AN INDEX
2.5.1 Capturing behavior of portfolios
2.5.2 Including liquid stocks
2.5.3 Maintaining professionally
2.6 THE S&P CNX NIFTY
2.6.1 Impact cost
2.6.2 Hedging effectiveness
2.7 APPLICATIONS OF INDEX
2.7.1 Index derivatives
2.7.2 Index funds
2.7.3 Exchange Traded Funds
CHAPTER 3
INTRODUCTION TO FUTURES AND OPTIONS
3.1 FORWARD CONTRACTS
3.2 LIMITATIONS OF FORWARD MARKETS
3.3 INTRODUCTION TO FUTURES
3.4 DISTINCTION BETWEEN FUTURES AND FORWARDS CONTRACTS
3.5 FUTURES TERMINOLOGY
3.6 INTRODUCTION TO OPTIONS
3.7 OPTION TERMINOLOGY
3.8 FUTURES AND OPTIONS
3.9 INDEX DERIVATIVES
CHAPTER 4
APPLICATIONS OF FUTURES AND OPTIONS
4.1 TRADING UNDERLYING VERSUS TRADING SINGLE STOCK FUTURES
4.2 FUTURES PAYOFFS
4.2.1 Payoff for buyer of futures: Long futures
4.2.2 Payoff for seller of futures: Short futures
4.3 PRICING FUTURES
4.3.1 Pricing equity index futures
4.3.2 Pricing index futures given expected dividend amount
4.3.3 Pricing index futures given expected dividend yield
4.4 PRICING STOCK FUTURES
4.4.1 Pricing stock futures when no dividend expected
4.4.2 Pricing stock futures when dividends are expected
4.5 APPLICATION OF FUTURES
4.5.1 Hedging: Long security, sell futures
4.5.2 Speculation: Bullish security, buy futures
4.5.3 Speculation: Bearish security, sell futures
4.5.4 Arbitrage: Overpriced futures: buy spot, sell futures
4.5.5 Arbitrage: Underpriced futures: buy futures, sell spot
4.6 OPTIONS PAYOFFS
4.6.1 Payoff profile of buyer of asset: Long asset
4.6.2 Payoff profile for seller of asset: Short asset
4.6.3 Payoff profile for buyer of call options: Long call
4.6.4 Payoff profile for writer of call options: Short call
4.6.5 Payoff profile for buyer of put options: Long put
4.6.6 Payoff profile for writer of put options: Short put
4.7 PRICING OPTIONS
4.8 APPLICATION OF OPTIONS
4.8.1 Hedging: Have underlying buy puts
4.8.2 Speculation: Bullish security, buy calls or sell puts
4.8.3 Speculation: Bearish security, sell calls or buy puts
4.8.4 Bull spreads - Buy a call and sell another
4.8.5 Bear spreads - sell a call and buy another
4.9 THE GREEKS
4.9.2 Gamma ()
4.9.4 Vega
CHAPTER 5
TRADING
5.1 FUTURES AND OPTIONS TRADING SYSTEM
5.1.1 Entities in the trading system
5.1.2 Basis of trading
5.1.3 Corporate hierarchy
5.1.4 Client Broker Relationship in Derivative Segment
5.1.5 Order types and conditions
5.2 THE TRADER WORKSTATION
5.2.1 The market watch window
5.2.2 Inquiry window
5.2.3 Placing orders on the trading system
5.2.4 Market spread/combination order entry
5.2.5 Basket trading
5.3 FUTURES AND OPTIONS MARKET INSTRUMENTS
5.3.1 Contract specifications for index futures
5.3.2 Contract specification for index options
5.3.3 Contract specifications for stock futures
5.3.4 Contract specifications for stock options
5.4 CRITERIA FOR STOCKS AND INDEX ELIGIBILITY FOR TRADING
5.4.1 Eligibility criteria of stocks
5.4.2 Eligibility criteria of indices
5.4.3 Eligibility criteria of stocks for derivatives trading
especially on account of corporate restructuring
5.5 CHARGES
CHAPTER 6
CLEARING AND SETTLEMENT
6.1 CLEARING ENTITIES
6.1.1 Clearing members
6.1.2 Clearing banks
6.2 CLEARING MECHANISM
6.3 SETTLEMENT MECHANISM
6.3.1 Settlement of futures contracts
6.3.2 Settlement of options contracts
6.4 ADJUSTMENTS FOR CORPORATE ACTIONS
6.5 RISK MANAGEMENT
6.5.1 NSCCL-SPAN
6.5.2 Types of margins
6.6 MARGINING SYSTEM
6.6.1 SPAN approach of computing initial margins
6.6.2 Mechanics of SPAN
6.6.3 Overall portfolio margin requirement
7.3 REGULATION FOR DERIVATIVES TRADING
7.3.1 Forms of collateral’s acceptable at NSCCL
7.3.2 Requirements to become F&O segment member
7.3.3 Requirements to become authorized / approved user
7.3.4 Position limits
7.3.5 Reporting of client margin
7.4 ADJUSTMENTS FOR CORPORATE ACTIONS
7.5 ACCOUNTING
7.5.1 Accounting for futures
7.5.2 Accounting for options
7.6 TAXATION OF DERIVATIVE TRANSACTION IN SECURITIES
7.6.2 Securities transaction tax on derivatives transactions
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DMDM_jun08

DMDM_jun08

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Published by: nik_deshmukh on May 05, 2011
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