ASX Clear Futures Electricity Swaption Default Volatilities

Wed 18 Nov 2020

As per ASX Notice 1475.20.11 ASX Clear Futures is revising the default volatilities for electricity swaptions from 30% to 23.5% on the 20th November 2020. This is to better align the volatilities with current market value. The current strikes that are affected (as of 09 Nov 2020) are contained in Appendix 1 below and this will also impact any new expiries or strikes that are listed in the future.

What do I need to do by when?

ASX will be implementing the new default volatilities on Friday, 20 Nov 2020 for settlement on Friday 20 Nov 2020.