As communicated in Exchange Notices 69/11 (May 26) and 74/11 (June 23), NASDAQ OMX has changed the margining model for options in Hennes & Mauritz B (HMB) and OMX Stockholm 30 (OMXS30) to use a volatility surface instead of fixed volatilities when calculating margin requirements.
Roll-out to additional names (planned for Aug 22, Aug 29 and Sep 5) will be put on hold as NASDAQ OMX needs more time to monitor the model in production. A new implementation schedule for additional names will be presented shortly.
For further information concerning this exchange notice please contact Martin Granlund +46 8 405 7134 or Joakim Norbäck + 46 8 405 6507
