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Volatility parameters and ETO Class Ranking

Volatility estimates

Only one volatility estimate per class is provided. This figure is a weekly, weighted approximation of implied volatility on 'at the money' near dated options in that class.

No skew of any kind is taken into account. If you do not understand the implications of skew, you should not use these figures.

Volatility estimates are based on historical data such as bid and offer spreads, and trading prices from an options class. In reality, implied volatility changes constantly and reflects a number of factors including an option’s exercise price and time to expiry.

In order to estimate margins, the parameters can be used in combination with the Margin Estimator.

Dividend estimates

Another pricing input shaping implied volatility is the dividend estimate. Dividend estimates are an approximation, not a known figure. Dividend estimates will also change from time to time.

From 20 September 2010 ASX has subscribed to dividend estimates as supplied by Markit. Volatility Parameters have been calculated using dividend data and forecasts provided by Markit Dividends. For further information concerning Markit Dividends please see their website www.markit.com.

Markit Dividends Disclaimer

“The data provided by Markit is on an “as is” basis and neither Markit, its affiliates nor any other person or entity that has participated in any respect in the development or collection of the data makes any warranty, express or implied, as to the accuracy, timeliness or completeness of the data or as to the results to be attained from the use of the data. There are no express or implied terms of merchantability or fitness for a particular purpose or use, and no reliance shall be placed upon any warranty, guaranty or representation made by Markit, its affiliates or any data provider. The data shall not be used, copied, redistributed or transferred without the appropriate licence from Markit.”

Please note that the figures contained in this file are estimates. They are based on theoretical assumptions, so should not be used as a basis for making trading decisions.

Volatility estimates ultimately are subjective, ASX will not enter into any discussion on their validity. Please read the disclaimer before using the information in this file.

The download is in Excel format Volatility Parameters and ETO Class Rankings.  

ASX Disclaimer

As both dividend and volatility estimates ultimately are subjective, ASX will not enter into any discussion on their validity. The use of the Dividend and Volatility Parameters is at your risk. It is not a substitute for professional advice and should not be relied on to make investment decisions, which should always be taken with the assistance of a licensed adviser. No liability will be accepted for any loss or damage suffered as a consequence of any use or purported reliance on the Volatility Parameters and/or any dividend estimates.

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Disclaimer
The use of the Dividend and Volatility Parameters is at your risk. It is not a substitute for professional advice and should not be relied on to make investment decisions, which should always be taken with the assistance of a licensed investment adviser.

No liability will be accepted for any loss or damage suffered as a consequence of any use or purported reliance on the Dividend and Volatility Parameters.

Your attention is also drawn to the General Conditions which should be viewed in conjunction with this Disclaimer.

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