Greater transparency
In the data used in the calculation, which will now consider the data available on the trading screen.
New Premium and Volatility Calculation with Market Data (through Options and Options on IDI via UDS))
Greater accuracy and agility for Options on IDI
Greater accuracy and agility for Options on IDI
Options on the Average One-Day Interbank Deposit Rate Index (IDI) allow the management of risks related to interest rate fluctuations in the Brazilian market. These products are widely used by investors for hedging, speculation and the creation of structured strategies.
To make this market even more efficient and transparent, B3 is improving its model for calculating premiums and estimating the volatility of Options on IDI.
The main new feature is the priority use of real market data, such as executed trades and orders registered on the B3 trading screen, both in dry options and options strategies, such as UDS (User Defined Spread).
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Product benefits
Greater accuracy
In volatility estimates using a proprietary model.
Greater agility
With the reduction of the SLA for publication of Options on IDI.
Hedging
The product is used to hedge against interest rate fluctuations, with no cash flow between the parties after the premium is paid.
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New methodology offers greater transparency and agility to investors trading Options on IDI.
Options on IDI allow investors to hedge against fluctuations in interest rates, similar to international instruments such as caps and floors. Options on IDI are mainly used by those wishing to hedge or speculate based on expectations of future interest rates.
Timeline
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06/23/2025
Disclosure plan
Release plan disclosure
Technical details
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Catalog changes
No catalog changes
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Main systems
GPS Pricing
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Main related functions
No functions impacted
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Certification roadmap
No impact
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What is the Sinacor version?
No impact
