Снова глюки на мосбирже в день экспирации

[wanderer]

Не зря в америке день экспирации называют "колдовским" (Witching Day). На мосбирже в этот день тоже происходят разные "чудеса".
Вот одно из них в опционах на фьючерс на индекс РТС (время 17:30, чуть больше часа до экспирации):

Доска опционов 17.30

Доска_опционов_17.30.png (13.06 KiB) Viewed 18551 times

Обратите внимание на волатильность, транслируемую биржей, и цену опционов на центральном страйке.

Через полчасика всё почти "нормализовалось" (время около 18:00):

Доска опционов 18.00

Доска_опционов_18.00.png (13.28 KiB) Viewed 18551 times

[wanderer]

За 1 секунду(!) до экспирации биржа снова настаивает на том, что call 150000 (вне денег) стоит 290 пунктов:

Доска опционов 18:44:59

Доска_опционов_18.44.59.png (13.26 KiB) Viewed 18543 times

При этом базовый актив в 690 пунктах от 150000-го страйка (напоминаю, что это за 1 секунду до экспирации):

Фьючерс на индекс РТС 18:44:59

riz3_18.44.59.png (5.83 KiB) Viewed 18543 times

[intelligent investor]

Возможно биржа так подстраховывается на случай резкого движения?

[wanderer]

Возможно биржа так подстраховывается на случай резкого движения?

Что мешает просто заблокировать ГО, а не транслировать бред в котировках? Тем более гарантийное обеспечение они и так резервируют с огромным запасом весь последний день перед экспирацией.

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