Недельные опционы на подходе

[wanderer]

Московской биржа осуществила ряд изменений, касающихся опционных контрактов Срочного рынка:

• уплотнение сетки страйков перед экспирацией опционов: для опционов на фьючерс на индекс РТС за месяц до истечения срока обращения будут вводиться промежуточные страйки (после дробления страйков шаг между ними будет составлять не 5000, а 2500 пунктов);
• реализовано введение в обращение недельных опционных контрактов, базовым активом которых будет фьючерсный контракт с ближайшим сроком исполнения (о дате запуска новых инструментов будет сообщено дополнительно);
• изменяется механизм расчета биржевого сбора по опционным контрактам, который будет зависеть от расчётной цены опциона на момент последнего вечернего клиринга (данное нововведение, теоритечески, позволит сократить издержки при работе с дешёвыми опционами). Новые тарифы по опционам вступят в силу 20 ноября 2013 года с 19.00 мск.

Кроме того, начнётся расчёт индекса волатильности с учетом пожеланий участников.

Новый релиз торгово-клиринговой платформы Срочного рынка выходит 18 ноября 2013 года.

Источник

[wanderer]

По поводу нового индекса волатильности не могу найти информацию. Вот что известно из анонса:
Новый индекс волатильности:

• дискретный расчет индекса;
• использует цены опционов (не IV);
• индекс на 30-дневную волатильность

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