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1 E X C H A N G E R U L E S A N D C L E A R I N G R U L E S O F N A S D A Q O M X D E R I V A T I V E S M A R K E T S Fair Valu 1 Valuation Variabls Tabl 1 blow shows th variabls us in th rspctiv valuation mols as wll as a short scription of how ths variabls ar trmin. Tabl 1 Variabl Volatility of th unrlying shar (options) Intrst rat Futur Divins Unrlying shar pric Exrcis pric Tim to xpiration Sourc 360 ays historic volatility (50 traing ays) xcluing th fiv traing ays with th largst absolut chang of th unrlying shar pric Intrbank or Govrnmnt bon rat for th rlvant currncy an tim to xpiration at th tim of ajustmnt. If th tim to xpiration at ajustmnt is btwn two intrst rats th Exchang shall us intrpolation to trmin th intrst rat. Divin stimats from Rutrs or similar ata provir will b us for th ajustmnt. If an stimat is unavailabl historic ata may b us. Volum Wight Avrag Pric (VWAP) on th ay of th ajustmnt Th xrcis pric of th sris Numbr of ays btwn th at of ajustmnt an th original xpiration at. Whn th bi has bn ma public th Exchang shall publish th volatility an ivin stimats that will b us to calculat th Fair Valu in an xchang notic. A bi is consir to b public whn a pric has bn mntion by th bi company an may also inclu an inicativ bi. Th unrlying shar pric an th intrst rat can chang until th tim of th ajustmnt an is publish in an xchang notic at th tim of th ajustmnt. R-calculation of th Exrcis Pric may occur in crtain cass btwn th tim of th bi bing ma public an th at of ajustmnt accoring to "Anum SEax, Fiax, DKax, ISax R-calculation ruls Options.1 Valuation mol for Amrican Styl Options Cox Ross Rubinstins valuation mol for options (Binomial Pricing Mol) will b us whn calculating Fair Valu. Th iffrnc btwn th intrinsic valu an Fair Valu will b sttl sparatly. No sttlmnt of tim valu will b ma if th iffrnc btwn Fair Valu an intrinsic valu is ngativ. To trmin Fair Valu a matrix of unrlying shar prics is crat. Th starting valu is qual to VWAPcum lss th prsnt valu of vntual ivins. Th matrix is ivi into 100 prios. 15 DECEMBER 010 APPENDIX 5 FAIR VALUE
2 Start Valu (S) Original xpiration ay Th unrlying prics at ach prio is calculat accoring to th formula blow: σ = Volatility of th unrlying t = Tim to xpiration n = Numbr of prios (100) u = Rlativ incras in th unrlying shar pric at vry up movmnt in th binomial mol. At vry prio th shar pric is calculat by multiplying (up movmnt) or iviing (own movmnt) prvious shar pric, xcluing th prsnt valu of vntual ivins, with th factor (u). Th prsnt valu of th ivin is thn a back to th shar pric. Th intrinsic valu of th option is ci in th mol by th following formula: c max( S X,0) p max( X S,0) 15 DECEMBER 010 APPENDIX 5 FAIR VALUE (5)
3 c= valu of call option p= valu of put option S= Unrlying shar pric X= Strik pric Th probability of a unrlying shar pric incras is calculat by using th following formula: K rt / n 1 u 1 u u Th probability of a unrlying shar pric cras (L) is calculat by using th following formula: L = 1-K By using th valu of th option at xpiration togthr with th probabilitis for an incras or cras th valu of th option at ach prio in th binomial matrix is calculat as scrib blow: A C B C rt / n K A L B If th valu of th option is lowr than th intrinsic valu at any prio in th matrix th intrinsic valu will b us for furthr calculations.. Valuation mol for Europan Options Th Black-Schols Mtho is us for calculating th Fair Valu for Europan options. Th iffrnc btwn intrinsic valu an Fair Valu is sttl sparatly. Th options thortical valu is calculat by using th following formula: 15 DECEMBER 010 APPENDIX 5 FAIR VALUE 3(5)
4 c S p X qt rt ln( S N 1 X ) S rt ) qt / X ) ( r q T 1) ) T 1 T c = thortical valu of a call option p = thortical valu of a put option S= unrlying shar pric ajust for th prsnt valu of vntual ivins X = strik pric x) = cumulativ normal istribution function r = riskfr intrst rat q = ivin yil σ = volatility of th unrlying shar T= tim to xpiration (yars).3 Valuation mol for Binary options A variant of th Black-Schols Mtho is us for calculating th Fair Valu for Binary options. As oppos to Amrican an Europan options th sttlmnt is ma for th full thortical valu. Th options thortical valu is calculat by using th following formula: c Q p Q rt rt ln( S ) ) / X ) ( r q ) T T c = thortical valu ovr p = thortical valu unr S= unrlying shar pric ajust for th prsnt valu of vntual ivins X = strik pric x) = cumulativ normal istribution function r = riskfr intrst rat q = ivin yil σ = volatility of th unrlying shar 3 Futurs/Forwars 3.1 Valuation mol Futurs/Forwars 15 DECEMBER 010 APPENDIX 5 FAIR VALUE 4(5)
5 To compnsat for lost tim valu an ivins th iffrnc btwn th thortical futurs pric an th unrlying shar pric (VWAP) will b sttl 1) sparatly for forwars altrnativly ) in connction to th orinary xpiration procur for futurs. Th thortical futurs pric is calculat by ajusting th VWAP for vntual futur ivins, tim to xpiration an intrst. Th calculation of th futur/forwar pric is on accoring to th formula blow: F rt t S D F= Thortical futurs-/forwar pric S= Unrlying shar pric T-t= Tim to xpiration R= Intrst D= Prsnt valu of futur ivins (s formula blow) D n i1 D i rt i Di= Divins occurring prio i D= Prsnt valu of ivins r= Intrst ti= Tim to xpiration (yars) n= total numbr of ivins uring th futur contracts trm. 15 DECEMBER 010 APPENDIX 5 FAIR VALUE 5(5)
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