Eurex
1. Introduction
As announced in Eurex Circular 023/22, the Management Board of Eurex Deutschland has decided to terminate trading in the remaining 3 options and 1 future in Gazprom (GAZ, GAZG), Lukoil (LUK) and Norilsk Nickel (NNIA), effective 3 March 2022 at the close of trading 17:30 CET and 17:45 CET (GAZG), as orderly trading seems not to be ensured anymore.
Furthermore it was announced that, open positions on 3 March 2022 will be cash settled using the Fair value method based on official close of the respective underlying on the London Stock Exchange on 3 March 2022 or the last available price before that, if the closing price cannot be determined on 3 March 2022.
Due to the suspension of underlyings at the London Stock Exchange on 3 March 2022, Eurex suspended the trading in respective options and future contracts 3 March 2022 before trading start.
This circular details the Fair value settlement procedure and applicable parameters.
2. Required action
Trading Participants with open positions in above-mentioned contracts are encouraged to take notice of the settlement details. Additionally, all participants holding open positions in options contracts will receive a notice containing an overview of their respective open positions.
3. Details
Procedure for Fair Value Settlement of Eurex options and Eurex Single Stock Futures
The Eurex Options Contracts and the Eurex Single Stock Futures Contracts on Gazprom (GAZ, GAZG), Lukoil (LUK) and Norilsk Nickel (NNIA) will be settled according to the Fair value method. The following parameters will be used for calculation:
Options and Single Stock Future final settlement details
Implied Volatility and option final settlement price
For each option series an implied volatility is defined. This volatility is calculated on the basis of the average implied volatility of the daily settlement prices on the ten exchange days preceding the sanctions announcement (14 February 2022 to 25 February 2022). The highest and lowest value will be excluded from the calculation of the average. The same volatility will be used for call and put.
The attached table details the implied volatilities and there of resulting final settlement price.
Interest Rate and Dividend
For calculation of the fair value, implied interest rates is used. The following dividend data are applied for the calculation of the implied volatility and are used for determination of the fair values.
Product | Dividend amount in USD | Ex-date | ||
GAZ / GAZG | 0.2375 | 16.07.2022 | ||
GAZ / GAZG | 0.00 | 16.07.2023 | ||
NNIA | 1.10 | 27.04.2022 | ||
LUK | 4.6384 | 08.07.2022 |
Settlement details
Following official closing prices of the underlyings on the London Stock Exchange 2 March 2022 (last available price) will be used for determination of the fair values.
Underlying | Closing price | |
GAZPROM ADR | USD 0.5814 | |
NORILSK NICKEL ADR | USD 1.8900 | |
LUKOIL ADR | USD 0.7200 |
Cash settlement
On 4 March 2022, all participants holding open positions in options contracts will receive a notice containing an overview of their respective open positions. Booking of the cash amounts will take place on 4 March 2022 with value date 4 March 2022. In the end-of-day batch processing of 4 March 2022 the positions will be booked out effective 7 March 2022.
All obligations in Futures contracts are fulfilled with the last variation margin. No cash bookings will take place.
Attachment:
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com | |
Web: | www.eurex.com | |
Authorized by: | Randolf Roth |
Market Status ⓘ
XEUR
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