選擇權開放履約價新制 - 期貨
By Xanthe
at 2010-07-27T09:20
at 2010-07-27T09:20
Table of Contents
目前收到的消息是
加開選擇權的履約價,以指數的上下15%為準(沒說加權還期貨)
例如現在指數8000,則選擇權會開到8000*0.15=1200
8000 +-1200 = 9200,6800
所以前一天收盤為8000的話,隔天就會出現9200以及6800的Call+Put
舊制是以 "五天前" 的指數來當作新開履約價的基準
新制是以 "前一天" 的指數來當作新開履約價的基準
聽說是下半年會實施
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期貨部落閣 - 工作用
http://tw.myblog.yahoo.com/Ronnie-16888
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期貨
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