Material name
Date
Material Type
Language
Format
Size
Pricing improvement
Of structured transactions with the approximation of prices to the put-call parity model.
Ibovespa Options Pricing Improvement
Easier trading of structured transactions
Easier trading of structured transactions
B3 is improving Ibovespa Options pricing and from now on it will consider the carrying cost in their pricing, namely, the position maintenance cost in the futures market versus in the spot market.
The improvement will facilitate structured transactions trading of listed derivatives in the Bovespa Index, such as the three-legged box spread, which involves buying and selling different options seeking a return rate close to the interest rate.
Furthermore, the improvement will bring Ibovespa Options pricing closer to the put-call parity model (parity between call and put options), which connects buy (call) and sell (put) prices to the same underlying asset, exercise price and maturity.
With this, B3 expects to mitigate possible mark-to-market discrepancies, mainly in strategies between Options and Ibovespa Futures, which may occur due to discrepancies of variables of each derivative and the occurrence of calls and puts at the same strike price and maturity with different volatilities.
Sign up and follow up the project
Product benefits
No discrepancies
In mark to market, mainly in strategies between Options and Ibovespa Futures.
Easier
To trade structured transactions such as the three-legged box spread.
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
-
10/28/2024
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
