The daily profit/losses of the members are settled using the Daily Settlement Price. The Daily Settlement Price shall be determined in the manner described here under or in such manner as may be prescribed by NCCL from time to time. The Daily Settlement price notified by NCCL by any such method, shall be binding on all its members and their constituents.

The Closing Price or Daily Settlement Price (DSP) of Commodity Futures Contract is currently determined as follows: -

Method 1

The Clearing Corporation shall determine the Daily Settlement Price in the following order:

1. Volume Weighted Average Price (VWAP) of all trades done during last half an hour of the trading day; or
2. If the number of trades during last half an hour is less than 10, then DSP shall be based on the VWAP of the last 10 trades executed during the day; or

Method 2

In the event of failure of Method 1, the Daily Settlement Price will be determined using any of the following methods which in the opinion of NCCL would be a better indicator of market prices:

1. If the number of trades done during the day is less than 10, then VWAP of all the trades during the day; or
2. Theoretical futures price derived from the spot price:

   F = (S − U) e^rt

   Where F = futures price, S = polled spot price, r = 30-day MIBOR rate and T = time remaining till maturity, e is not defined here, U is0 a factor of adjustment for backwardation (where the futures prices are lower than spot prices). This can arise due to reasons such as cyclical/seasonal factors, changes expected in supply/demand conditions due to arrival of new crops during harvest season, etc.; or

3. Theoretical Futures price arrived from liquid contracts of the same commodity:

   The spreads that prevail between active contracts (the contracts that qualify method 1 described above) shall be used to determine the theoretical futures price for other contracts that do not meet the criteria for liquid contract as stated above, in the same commodity. For example, if we assume that the near month and middle month contracts are active, the theoretical futures price for an illiquid far month contract shall be determined as a theoretical futures price using the spread between the near and the middle month contract; or

4. Previous day’s settlement price, settlement price based on other active liquid contracts of same commodity, prices of outstanding orders, price at other Exchanges / CC’s or a price arrived through any other method which the Clearing Corporation, in its absolute discretion, considers to reflect the market price better. And any such Daily Settlement Price determined by Clearing Corporation shall be binding on all its Members and their Constituents.

The Closing Price or Daily Settlement Price (DSP) of Index Futures Contract is currently determined as follows:-

Method 1

The Clearing Corporation shall determine the Daily Settlement Price in the following order provided the liquidity criteria set by the Clearing Corporation is met

1. Volume Weighted Average Price (VWAP) of contracts during the last 30 minutes of trading; or
2. VWAP during the last one hour of trading; or
3. VWAP during the last three hours of trading; or
4. VWAP during the last five hours of trading; or
5. VWAP of the trades during the day; or
6. A price arrived through any other method which the Clearing Corporation, in its absolute discretion, considers to reflect the market price better.

However, in case the contract hits the daily price limit and closes at circuit price then the DSP will be the circuit price.

Method 2

In the event of failure of Method 1, the Daily Settlement Price will be determined using any of the following methods which in the opinion of NCCL would be a better indicator of market prices:

1. Theoretical futures price derived from the spot price:

   F = (S − U) e^rt

   Where F = futures price, S = polled spot price, r = 30 day MIBOR rate and T = time remaining till maturity, e is the exponential factor; or

2. Theoretical Futures price arrived from liquid contracts of the same commodity:

   The spreads that prevail between active contracts (the contracts that qualify method 1 described above) shall be used to determine the theoretical futures price for other contracts that do not meet the criteria for liquid contract as stated above, in the index. For example, if we assume that the near month and middle month contracts are active, the theoretical futures price for an illiquid far month contract shall be determined as a theoretical futures price using the spread between the near and the middle month contract; or

3. Previous day’s settlement price or a price arrived through any other method which the Clearing Corporation, in its absolute discretion, considers to reflect the market price better. And any such Daily Settlement Price determined by Clearing Corporation shall be binding on all its Members and their constituents.

The Final Settlement Price (FSP) at the expiry of contract shall be determined in accordance with the method prescribed in respective contract specification. All open position at close of market on the expiry date of the relevant contract shall be settled/ marked for delivery at the Final settlement Price.

The price arrived at as above shall be adjusted by applying premium / discount in respect of quality, quantity, location etc. in accordance with the adjustments specified in the Contract Specifications / Product Note of respective commodity. The premium/discount shall be determined and disclosed by NCDEX prior to launch of the contract in various commodities.

Currently for contracts where Final Settlement Price (FSP) is determined by polling, unless specifically approved otherwise, the FSP shall be arrived at by taking the simple average of the last polled spot prices of the last three trading days viz., E0 (expiry day), E-1 and E-2. In the event the spot price for any one or both of E- 1 and E-2 is not available; the simple average of the last polled spot price of E0, E-1, E-2 and E-3, whichever available, shall be taken as FSP. Thus, the FSP under various scenarios of non-availability of polled spot prices shall be as under:

In case of non-availability of polled spot price on expiry day (E0) due to sudden closure of physical market under any emergency situations noticed at the basis centre, the Framework for Determination of Final Settlement Price (FSP) as laid down by NCDEX vide its circular No. NCCL/CLEARING-024/2019 dated April 10, 2019 shall be applicable.

The Settlement Price for any delivery allocation during staggered period (i.e. up to one day prior to expiry) would be the last available spot price for the respective contract.

The Final Settlement Price shall be the underlying index price arrived at based on Volume Weightage Average Price of the constituents of the underlying index between 4:00 pm and 5:00 pm on the expiry day of the Index futures contract. {In absence of trading in any constituent during last one hour, the Clearing Corporation shall determine appropriate methodology (in line with the methodology for determining daily closing price) to arrive at appropriate price of the constituent to be used for determining Index price}.

All open position at close of market on the expiry date of the relevant contract shall be settled at the Final Settlement Price

The Final Settlement Price shall be determined in the manner described here under or in such other manner as may be prescribed from time to time.

Currently, Final Settlement Price of the corresponding Futures Contract shall be the Final Settlement Price for Options Contracts.