30.06.2023 15:14
Risk parameters for new currency options on Derivatives market
CCP NCC sets the following risk parameters for new currency options on Derivatives market starting from July, 3rd 2023:
- Risk rates to implied volatility:
| Underlying | T(m) | VR_SPOT | VVR_SPOT |
| Si | 1 | 0.4866 | 0.9431 |
| Si | 10 | 0.4866 | 0.7312 |
| Si | 30 | 0.4866 | 0.2604 |
| Si | 90 | 0.4108 | 0.1915 |
| Si | 180 | 0.3939 | 0.1762 |
| Si | 270 | 0.3855 | 0.1685 |
| Si | 365 | 0.3770 | 0.1608 |
| Si | 1095 | 0.3349 | 0.1225 |
| Eu | 1 | 0.4866 | 0.9431 |
| Eu | 10 | 0.4866 | 0.7312 |
| Eu | 30 | 0.4866 | 0.2604 |
| Eu | 90 | 0.4108 | 0.1915 |
| Eu | 180 | 0.3939 | 0.1762 |
| Eu | 270 | 0.3855 | 0.1685 |
| Eu | 365 | 0.3770 | 0.1608 |
| Eu | 1095 | 0.3349 | 0.1225 |
| CNY | 1 | 0.2866 | 0.9431 |
| CNY | 10 | 0.2866 | 0.7312 |
| CNY | 30 | 0.2866 | 0.2604 |
| CNY | 90 | 0.2108 | 0.1915 |
| CNY | 180 | 0.1939 | 0.1762 |
| CNY | 270 | 0.1855 | 0.1685 |
| CNY | 365 | 0.1770 | 0.1608 |
| CNY | 1095 | 0.1349 | 0.1225 |
- Other static parameters:
| Underlying | Option series number | In Spread |
| Si | first 3 series | yes |
| Eu | first 3 series | yes |
| CNY | first 3 series | yes |
| Underlying | Period | NullVolat |
| Si | 1 day | yes |
| Eu | 2 days | yes |
| CNY | 5 days | yes |
| Underlying | NClOpt |
| Si | 120 |
| Eu | 120 |
| CNY | 120 |