As of 10 December 2012 the Theoretical Option Price Calculator located on this webpage will no longer provide a fully accurate representation of theoretical option prices as they relate to ASXCL margining methodology.
In line with the changes being undertaken by ASX to transfer margining calculations onto the CME-SPAN margining methodology, the Theoretical Option Price Calculator, which is based on the ADMS (TIMS) methodology, will no longer provide an accurate calculation for users.
Until a replacement has been implemented, the current Theoretical Option Price Calculator will remain available for use. However, it is intended for indicative purposes only.
From the 10-Dec-2012 onwards, the calculations produced via this Theoretical Option Price Calculator will no longer align exactly with the current ASXCL margining methodology.
For more information regarding the ASX's transformation of margining methodology from ADMS (TIMS) to CME-SPAN, please refer to the following project website: http://www.asx.com.au/clearing/cme-span-v4-0.htm.
For details regarding the calculations involved in SPAN margining, please refer to: http://www.asx.com.au/clearing/span-margining.htm.
The SPAN methodology considers how the value of an entire portfolio of options and futures will respond to changes in futures (or underlying) prices and volatilities. As such, the previous ADMS (TIMS) calculations will no longer provide a calculation which is aligned with the new methodology.
Any questions or concerns regarding this change should be forwarded to: firstname.lastname@example.org.