At go-live of the Genium INet release Apr 20, 2015, Markit will be introduced as price provider for certain options. The Markit option data will replace the current inhouse solution “Volatility Surface” for option implied volatilities, used in option valuation and margin calculation for some instruments. The primary reasons for the change is to achieve increased operational robustness, efficiency and stability.
Scope of change
| Underlying instruments using to-be decommissioned inhouse solution | Underlying instruments covered by the Markit service Apr 20, 2015 |
| ABB | - |
| - | AZN |
| ELUXB | ELUXB |
| ERICB | ERICB |
| HMB | HMB |
| - | NDA |
| OMXS30 | OMXS30 |
| SAND | SAND |
| SKFB | - |
| - | SWED |
| - | TLSN |
| VOLVB | VOLVB |
The list of underlying instruments covered by the Markit service may change from time to time. Options on underlying instruments not covered by the Markit service will not be affected by this change and will be handled in the same way as today (with a “flat” smile per expiration and call/put based on the orderbook observed average of the three most at-the-money options).
In intra-day calculations will the implied volatilities based on Markit data be adjusted (parallell shifted per underlying and expiration) based on observed intra-day changes in the orderbook traded/quoted options.
At go-live with Markit option data, clearing participants will experience a one-off change to option market values and margins. Changes in option implied volatilities will be more significant for deep in and out of the money options while at the money options will observe only minor changes.
Further will the implied volatility bid/ask spread handling be simplified, in accordance with the below table.
| Term | Spread from mid |
| 0-2 years | 1 percentage unit |
| > 2 years | 2 percentage units |
For further information, please visit the Risk Management website or contact us using the details below.
Risk Management
Email: risk.management@nasdaq.com
Phone +46 8 405 7088