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home > Information > News > [To Investors] Setting Method of Short Option Minimum Charge per position will be changed to “0.4% of the closing value of the underlying instrument on the reference date.”

[To Investors] Setting Method of Short Option Minimum Charge per position will be changed to “0.4% of the closing value of the underlying instrument on the reference date.”

2016/06/08

JSCC announces that from SPAN Parameters calculated and published on June 10 (Fri.), the level of “Short Option Minimum Charge per position,” which is one of SPAN Parameters, will be changed to “0.4% of the closing value of the underlying instrument on the reference date.”


For details, please see below:

 1. Outline of Revision
For equities-related product groups (Nikkei Stock Average group, TOPIX group and Securities group), taking into account the immediate market situations, etc., JSCC will change the level of Short Option Minimum Charge per position from “the amount equivalent to 1%” to “the amount equivalent to 0.4% (*1)” of the closing value of the underlying instrument on the reference date(*2).

(*1)For 10-year JGB group, the level of Short Option Minimum Charge per position shall remain unchanged as “0.01% of the closing value of the underlying instrument on the reference date.”

(*2)Setting method of each SPAN Parameter may be changed depending on market conditions or look-back testing results, etc.


Example)When the Closing Price of Nikkei 225 is JPY 17,000:

(Under the current method)【Short Option Minimum Charge per position for Nikkei 225】

=17,000×1%×1,000(Contract Multiplier)= JPY170,000

(After the revision)【Short Option Minimum Charge per position for Nikkei 225】

=17,000×0.4%×1,000(Contract Multiplier)= JPY68,000


②Implementation Timing

The first SPAN Parameters after the revision of the setting method to be calculated and published on June 10 (Fri.) will start to apply from June 13 (Mon.) (Margin to be deposited on June 14 (Tue.)).

Notice
[Annex]Operational Procedures for Setting SPAN Parameters
[Reference]SPAN Risk Parameter File generated by the revised Setting Method
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