Revision of Price Scan Range Calculation Method for Nikkei Stock Average Volatility Index Group
2016/03/16
We hereby notify you that Price Scan Range (PSR) of Nikkei Stock Average Volatility Index (Nikkei 225 VI) Group shall be the value calculated by multiplying 30% of the closing value of the underlying instrument in Nikkei 225 VI group on the Reference Date (rounded up to the integral multiple of 0.05) by 10,000 yen from SPAN parameters to be calculated on Mar. 25.
*See Attachments for detail
(Reference Example) When the Price of Nikkei 225 VI for calculation of SPAN parameter is 25(Pt):
[On and after Mar.25 under the revised PSR Calculation Method]
PSR of Nikkei 225 VI = 25(Pt) × 30% × 10,000 (Contract Multiplier) = JPY75,000
[Under the Current PSR Calculation Method]
PSR of Nikkei 225 VI = 25(Pt) × 25% × 10,000 (Contract Multiplier) = JPY62,500
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| (Reference) Operational Procedures for Setting SPAN Parameters |
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