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Project Tags:

In Progress

Risk

Equities

Listed

Listed

Product benefits

Learn more

Improved pricing will mitigate mark-to-market discrepancies, especially in strategies between Options and Ibovespa Futures.

Currently Ibovespa Options are priced by capturing market data from traded options and using the Black-Scholes model to calculate the product's implied volatility. In the calculation, we consider a yield (carryover of the future position versus spot position) of Ibovespa Index with a zero value.

In the case of Ibovespa Futures, pricing takes into account the yield, which is calculated using the Ibovespa Futures contract. In this format, mark-to-market discrepancies may occur, especially in strategies between Options and Futures, due to the different variables of each derivative.

The Ibovespa Futures contract allows participants to trade future expectations of the stock market without having to buy the entire basket of stocks that make up the index and be exposed to its fluctuation. Learn more.

Timeline

  • Go-live

    Available to the market

Technical details

  • Catalog changes

    No catalog changes

  • Main systems

    No system impacted

  • Main related functions

    No functions impacted

  • Certification roadmap

    Optional and not available

  • What is the Sinacor version?

    No impact

Material name

Date

Material Type

Language

Format

Size

EN - Index Options Initiatives

10/17/2024

-

-

pdf

969KB

PT - Opções de Indices

10/17/2024

-

-

pdf

964KB