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 |
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