Enhancements to ASX 24 Options Margin Calculations
Mon 8 Nov 2021
As per ASX Notice 15220.127.116.11 ASX Clear (Futures) is enhancing the volatilities used for the margin calculations of options contracts. The changes will remove the current averaging process for a put and a call of the same strike but different traded volatilities and ensure that the volatilities used in margin calculations more accurately reflect the volatilities calculated during the daily settlement process.
Where daily settlement price volatilities differ for a put and call of the same strike these different volatilities will be used in initial margin calculations.
What do I need to do by when?
No actions required. ASX will be implementing these changes on 27th November 2021 as at end of day 26th November 2021, for initial margins called on 29th November 2021. Impacts of these changes will vary amongst each Clearing Participant.
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