NSE F&O Trading System
NSE's derivatives segment operates on the NEAT-F&O (National Exchange Automated Trading) platform. Key features:
- Order-driven continuous market: orders are matched by price-time priority
- Market, limit, stop-loss, and good-till-cancelled (GTC) orders
- Two trading sessions: Normal (9:15 AM to 3:30 PM IST)
- Expiry: Last Thursday of the contract month (monthly contracts); weekly contracts for Nifty expire every Thursday
Clearing through NSCCL
NSCCL (National Securities Clearing Corporation Ltd) acts as the central counterparty for all NSE derivatives trades:
- Becomes the buyer to every seller and seller to every buyer
- Eliminates bilateral counterparty risk
- Collects margins from both parties before and during the life of the trade
- Guarantees settlement even if one party defaults
Settlement Types
Daily MTM Settlement
- All open positions settled daily at the Daily Settlement Price (DSP)
- DSP = closing futures price on NSE
- MTM gains/losses credited/debited to margin accounts by T+1
Final Settlement
- Occurs on expiry (last Thursday)
- Index futures/options: settled at the Final Settlement Price (FSP) = last 30 minutes' volume-weighted average of the underlying index
- Stock futures: settled at closing spot price of the stock on expiry day
- All settlements are cash-based (no physical delivery of index)
Position Limits
| Level | Limit for Index Derivatives | Limit for Stock Derivatives |
|---|---|---|
| Market-wide | No specific limit | 20% of free-float market cap (or 30× ADTV) |
| Client/Proprietary | Higher of 15% of market OI or ₹500 cr | Higher of 1% of free-float shares or ₹500 cr |
| FII | Higher of 15% of market OI or ₹5,000 cr | Same as client limit per stock |