Adjustment of Futures and Options contracts in the security ITC Limited (ITC)

At its meeting on 26th June 2020, ITC Limited declared a dividend of Rs. 10.15 per equity share and 3rd July 2020 shall be considered to be the last cum dividend date.

Accordingly, all positions in futures contracts of ITC would be marked-to-market on the last cum-dividend date i.e. 3rd July 2020, based on the daily settlement price. Subsequent to such processing, open positions shall be carried forward at the daily settlement price less Rs. 10.15 (dividend amount) for the respective futures contract.

Begin of day margins on 6th July 2020 would be computed for the futures contract of ITC based on the adjusted carry forward value.

An example of adjustment of the futures contract is given below:

Before adjustment:

Clearing Member	Trading Member	Client Code	Instrument	Symbol	Expiry date	Long position	Long value	Short position	Short value
A	ABC	A1	FUTSTK	ITC	30/7/20	3200	640000
B	PQR	A2	FUTSTK	ITC	27/8/20	0		3200	640000
C	XYZ	A3	FUTSTK	ITC	24/9/20	0		6400	1280000

* Valued at price Rs.200.00/-

After Adjustment:

Clearing Member	Trading Member	Client Code	Instrument	Symbol	Expiry date	Long position	Long value	Short position	Short value
A	ABC	A1	FUTSTK	ITC	30/7/20	3200	607520
B	PQR	A2	FUTSTK	ITC	27/8/20	0		3200	607520
C	XYZ	A3	FUTSTK	ITC	24/9/20	0		6400	1215040

* Valued at price Rs. 189.85 (Rs.200.00 – Rs.10.15 which is the dividend amount)

Further the full value of dividend (i.e. Rs. 10.15) would be adjusted from the strike prices of the options contracts.

An example of adjustment of the Strike Price is given below:

Before adjustment:

Clearing Member	Trading Member	Client Code	Instrument	Symbol	Expiry Date	Strike Price	Option Type	Long Position	Short Position
A	ABC	A1	OPTSTK	ITC	30-Jul-2020	197.50	CE	3200	0
B	PQR	A2	OPTSTK	ITC	27-Aug-2020	200.00	PE	0	3200
C	XYZ	A3	OPTSTK	ITC	24-Sep-2020	202.50	CE	0	6400

After Adjustment

Clearing Member	Trading Member	Client Code	Instrument	Symbol	Expiry Date	Strike Price	Option Type	Long Position	Short Position
A	ABC	A1	OPTSTK	ITC	30-Jul-2020	187.35	CE	3200	0
B	PQR	A2	OPTSTK	ITC	27-Aug-2020	189.85	PE	0	3200
C	XYZ	A3	OPTSTK	ITC	24-Sep-2020	192.35	CE	0	6400