08.07.2022 15:43
Risk parameters for new stock options on Derivatives market
CCP NCC sets the following risk parameters for new stock options on Derivatives market starting from July, 11th 2022:
- Risk rates to implied volatility:
| Underlying | T(m) | VR_SPOT | VVR_SPOT |
|---|---|---|---|
| GAZR | 1 | 0.2866 | 0.9431 |
| GAZR | 10 | 0.2866 | 0.7542 |
| GAZR | 30 | 0.2866 | 0.3344 |
| GAZR | 90 | 0.2108 | 0.2459 |
| GAZR | 180 | 0.1939 | 0.2262 |
| GAZR | 270 | 0.1855 | 0.2164 |
| GAZR | 365 | 0.177 | 0.2065 |
| GAZR | 1095 | 0.1349 | 0.1573 |
- Other static parameters:
Underlying |
Number of settlement periods before the stock options expiration for using "Half netting" rule for inter-month spread margining | Cashflow risk rate |
|---|---|---|
| GAZR | 2 | 100% |
| Option series number | In Spread |
|---|---|
| 1 | Yes |
| 2 | Yes |
| 3 | Yes |