16.01.2023 22:19
Risk parameters for stock options on Derivatives market
CCP NCC sets the following risk parameters for stock options on Derivatives market starting from January, 17th 2023:
- Risk rates to implied volatility:
| Underlying | T(m) | VR_SPOT | VVR_SPOT |
|---|---|---|---|
| MOEX | 1 | 0.2866 | 0.9431 |
| MOEX | 10 | 0.2866 | 0.7542 |
| MOEX | 30 | 0.2866 | 0.3344 |
| MOEX | 90 | 0.2108 | 0.2459 |
| MOEX | 180 | 0.1939 | 0.2262 |
| MOEX | 270 | 0.1855 | 0.2164 |
| MOEX | 365 | 0.177 | 0.2065 |
| MOEX | 1095 | 0.1349 | 0.1573 |
| MTSS | 1 | 0.2866 | 0.9431 |
| MTSS | 10 | 0.2866 | 0.7542 |
| MTSS | 30 | 0.2866 | 0.3344 |
| MTSS | 90 | 0.2108 | 0.2459 |
| MTSS | 180 | 0.1939 | 0.2262 |
| MTSS | 270 | 0.1855 | 0.2164 |
| MTSS | 365 | 0.177 | 0.2065 |
| MTSS | 1095 | 0.1349 | 0.1573 |
| POSI | 1 | 0.2866 | 0.9431 |
| POSI | 10 | 0.2866 | 0.7542 |
| POSI | 30 | 0.2866 | 0.3344 |
| POSI | 90 | 0.2108 | 0.2459 |
| POSI | 180 | 0.1939 | 0.2262 |
| POSI | 270 | 0.1855 | 0.2164 |
| POSI | 365 | 0.177 | 0.2065 |
| POSI | 1095 | 0.1349 | 0.1573 |
| ROSN | 1 | 0.2866 | 0.9431 |
| ROSN | 10 | 0.2866 | 0.7542 |
| ROSN | 30 | 0.2866 | 0.3344 |
| ROSN | 90 | 0.2108 | 0.2459 |
| ROSN | 180 | 0.1939 | 0.2262 |
| ROSN | 270 | 0.1855 | 0.2164 |
| ROSN | 365 | 0.177 | 0.2065 |
| ROSN | 1095 | 0.1349 | 0.1573 |
| TATN | 1 | 0.2866 | 0.9431 |
| TATN | 10 | 0.2866 | 0.7542 |
| TATN | 30 | 0.2866 | 0.3344 |
| TATN | 90 | 0.2108 | 0.2459 |
| TATN | 180 | 0.1939 | 0.2262 |
| TATN | 270 | 0.1855 | 0.2164 |
| TATN | 365 | 0.177 | 0.2065 |
| TATN | 1095 | 0.1349 | 0.1573 |
- Other static parameters:
| Underlying | Cashflow risk rate |
|---|---|
| MOEX | 100% |
| MTSS | 100% |
| POSI | 100% |
| ROSN | 100% |
| TATN | 100% |
| Underlying | Zero implied volatility scenario, NullVolat(OSnum,БА) |
|---|---|
| POSI | Y |