Description

where:
Т₃₀ — 30 days, expressed as a fraction of a year (year = 365 days);
Т₃₆₅ — 365 days, expressed as a fraction of a year;
Т₁ — time to expiration¹, expressed as a fraction of a calendar year (year = 365 days) of the near-series options;
T₂ — time to expiration¹, expressed as a fraction of a calendar year (year = 365 days) of the next-series options;
σ₁² — variance of the near-series options;
σ₂² — variance of the next-series options.

where:

ΔK_i  – interval between strike prices (5,000 points for the RTS Index);
Т₁   – time to expiration expressed as a fraction of a calendar year of the near-series options. Updates every 15 seconds;
T₂   – time to expiration expressed as a fraction of a calendar year of the next-series options. Updates every 15 seconds;
K_i  – i-th strike price. K_i < K_i+1 (only primary strike prices are used, e.g. 110,000 or 115,000; half-interval strike prices are ignored, e.g. 112,500);
K₀ – at-the-money strike;
F₁, F₂ – underlying RTS futures quotes of the near- and next-series options;
Pr(K_i) – value determined by options prices.