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21 October 2022

CCP NCC sets the following risk parameters for new stock options on Derivatives market starting from October, 20th 2022:

  1. Risk rates to implied volatility:
Underlying T(m) VR_SPOT VVR_SPOT
OZON 1 0.2866 0.9431
OZON 10 0.2866 0.7542
OZON 30 0.2866 0.3344
OZON 90 0.2108 0.2459
OZON 180 0.1939 0.2262
OZON 270 0.1855 0.2164
OZON 365 0.177 0.2065
OZON 1095 0.1349 0.1573
TCSI 1 0.2866 0.9431
TCSI 10 0.2866 0.7542
TCSI 30 0.2866 0.3344
TCSI 90 0.2108 0.2459
TCSI 180 0.1939 0.2262
TCSI 270 0.1855 0.2164
TCSI 365 0.177 0.2065
TCSI 1095 0.1349 0.1573
FIVE 1 0.2866 0.9431
FIVE 10 0.2866 0.7542
FIVE 30 0.2866 0.3344
FIVE 90 0.2108 0.2459
FIVE 180 0.1939 0.2262
FIVE 270 0.1855 0.2164
FIVE 365 0.177 0.2065
FIVE 1095 0.1349 0.1573

 

  1. Other static parameters:

 


Underlying		 Cashflow risk rate
OZON 100%
TCSI 100%
FIVE 100%


 

Underlying Option series number In Spread
OZON all No
TCSI all No
FIVE all No