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 |