7月18日，大商所发布《关于优化期权结算价业务的通知》称，自2025年7月22日交易日起，优化期权结 算价算法，进一步提升期权价格代表性和期权市场运行质效。 目前，大商所同一合约月份下不同行权价格的期权合约采用均一的波动率模型计算结算价，该算法逻辑 简明、稳健性强，但精细化程度不足。为了更好反映同一期权系列下不同期权合约的隐含波动率，大商 所引入SVI波动率曲线拟合模型（Stochastic Volatility Inspired），对不同行权价格期权合约的隐含波动 率进行拟合，形成波动率曲线，并基于此计算各合约的结算价。 据大商所介绍，本次优化引入SVI波动率曲线拟合模型，旨在解决传统计算方式中结算价波动率参数设 定单一、价格代表性不足等问题，以满足市场精细化定价和风险管理需求。 目前，SVI模型在全球金融市场中是用于构建波动率微笑（volatility smile）的重要工具之一。据期货日 报记者了解，该模型通过5个参数灵活刻画波动率在不同行权价与到期时间维度上的变化趋势，能够较 好捕捉期权定价的非线性特征，在成熟市场中已广泛应用于期权结算价、波动率估计和风险控制模型 等。 多位市场人士认为，此次大商所将 ...

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].