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30 June 2023

CCP NCC sets the following risk parameters for new currency options on Derivatives market starting from July, 3rd 2023:

1. 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


 

2. 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