大商所优化期权结算价算法

Core Viewpoint - The Dalian Commodity Exchange (DCE) is set to optimize its options settlement price algorithm starting from July 22, 2025, by introducing the Stochastic Volatility Inspired (SVI) volatility curve fitting model to enhance the representativeness of option prices and improve market efficiency [1][2]. Group 1: Algorithm Optimization - The current settlement price calculation uses a uniform volatility model across different strike prices, which lacks precision in reflecting implied volatility [1]. - The new SVI model will fit implied volatility for different strike prices, creating a volatility curve that better captures the non-linear characteristics of option pricing [1][2]. Group 2: Market Impact and Implementation - Market participants view the integration of the SVI model as a significant step towards refined operations in the options market, enhancing price representativeness and accuracy [2]. - DCE has conducted over six months of internal testing and simulation, yielding positive results, and has prepared detailed business guidelines and market training to ensure smooth implementation [2]. Group 3: Future Outlook - Post-implementation, DCE will closely monitor market operations and dynamically assess the model's performance to continuously enhance the maturity and international competitiveness of the options market [2].