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Nov. 24, 2022 OSE Handling of Calculation of Final Settlement Price for Nikkei 225 VI Futures

Osaka Exchange, Inc. (OSE) decided the handling of calculation of final settlement price (hereinafter “SQ”) for Nikkei 225 VI Futures as follows to take care of exceptional cases.
In addition to this handling, a further review of current SQ calculation methodology is now underway targeting at 2023 March and OSE will announce the result once decided.

1. Condition
The number of strike prices of either put options or call options (except for ATM) whose open prices are applicable is zero.

2. Handling
For contract months which are used for SQ calculation and fulfill the above condition, the volatility which was used to calculate the final value of Nikkei 225 VI on the last business day will be used instead.

3. Implementation
This handling will be applied to SQ calculation for Nikkei 225 VI Futures (December, 2022).

* This handling aims to complement the current SQ calculation methodology which resulted in the final settlement price of 12.40pt for the contract month of October 2022 where the opening price of the underlying index was 26.23pt on the same day. This was caused by the absence of applicable strike prices of Nikkei 225 put options for the contract month of November 2022.