Procedure for Calculating Initial Margin Calculation on FORTS Changed
OREANDA-NEWS On 15 October was announced, that on the Futures and Options market FORTS for the period of evening clearing session the procedure for calculating Initial Margin calculation changed.
In the current FORTS risk calculation system for calculating Initial Margin for options, volatility scenarios are taken into account, which is rise of volatility, drop of volatility, no changes in volatility.
These scenarios are estimated on the basis of the parameter VolatRange value (deviation of upper and lower limits from the calculated volatility curve – in per cent from the volatility value), which is determined by the RTS Clearing center with provision for the time left until the option expiry date.
Detailed information are available here.
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