Core Viewpoint - The Dalian Commodity Exchange (DCE) is optimizing its options settlement price algorithm starting from July 22, 2025, by introducing the Stochastic Volatility Inspired (SVI) model to enhance price representativeness and market efficiency [1][2]. Group 1: Optimization Details - The optimization aims to address issues with the traditional settlement price calculation, which has a single volatility parameter and lacks representativeness [1]. - The SVI model will allow for a more refined representation of implied volatility across different strike prices within the same options series, creating a volatility curve for better settlement price calculations [1][2]. Group 2: Implementation and Testing - The SVI model is recognized globally as a key tool for constructing volatility smiles and is widely used in options pricing and risk management in mature markets [2]. - DCE has conducted internal testing and simulation for over six months, yielding positive results, and has prepared detailed business guidelines and market training to ensure smooth implementation [2]. Group 3: Market Impact - Market participants have acknowledged the positive impact of the optimized settlement price mechanism on price representativeness and accuracy, which is expected to enhance risk management quality and portfolio valuation accuracy [2]. - The DCE plans to closely monitor market operations post-implementation and dynamically assess the model's performance to continuously improve the maturity and international competitiveness of the options market [2].
大商所优化期权结算价算法 提升价格代表性
Quan Jing Wang·2025-07-18 07:27