Template:Nutshell Equity Derivatives 12.1(m): Difference between revisions

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:{{eqderivprov|12.1(m)}} “'''{{eqderivprov|Implied Volatility}}'''” means for any {{eqderivprov|Exchange Business Day}}, the mid-market implied volatility of the {{eqderivprov|Shares}} the {{eqderivprov|Calculation Agent}} determines by reference to the most comparable listed option on the relevant {{eqderivprov|Shares}} considering such factors as it considers appropriate. If there is no such listed option or the {{eqderivprov|Calculation Agent}} considers it is not sufficiently liquid, it will determine {{eqderivprov|Implied Volatility}} at it sees fit. <br>
:{{eqderivprov|12.1(m)}} “'''{{eqderivprov|Implied Volatility}}'''” means for any {{eqderivprov|Exchange Business Day}}, the mid-market implied volatility of the relevant {{eqderivprov|Shares}}, as determined by the {{eqderivprov|Calculation Agent}} by interpolating or extrapolating from the most comparable listed put or call option (which shall be of the same {{eqderivprov|Option Type}} as the {{eqderivprov|Option Transaction}} being cancelled) on the relevant {{eqderivprov|Shares}} as determined by the {{eqderivprov|Calculation Agent}} taking into account the nearest strike price, maturity and “'''{{eqderivprov|in-the-money}}'''” or “'''{{eqderivprov|out-of-the-money}}'''” amount, as the case may be, and such other factors that the {{eqderivprov|Calculation Agent}} deems appropriate. To the extent that such a listed option does not exist or the {{eqderivprov|Calculation Agent}} determines that the market for such listed option is not sufficiently liquid for the purpose of the relevant calculation, the {{eqderivprov|Implied Volatility}} will be determined by the {{eqderivprov|Calculation Agent}} by whatsoever means it deems appropriate. <br>

Latest revision as of 09:47, 13 May 2022

12.1(m) “Implied Volatility” means for any Exchange Business Day, the mid-market implied volatility of the Shares the Calculation Agent determines by reference to the most comparable listed option on the relevant Shares considering such factors as it considers appropriate. If there is no such listed option or the Calculation Agent considers it is not sufficiently liquid, it will determine Implied Volatility at it sees fit.
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