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Re: PUBLIC COMMENT PERIOD - Volatility and Option Pricing Parameters Proposal
Jay De Young / Chicago Mercantile Exchange <>
15 Oct 2007 12:42PM ETThere is no limitation on the value which may be used. The description was modified slightly that the delta is normally between -1 and 1 for a single outright option.
For a strategy, a delta outside of that range is allowable.
> how will option strategies with deltas of bigger than 1 be handled?
>
>
> > The Global Technical Committee met on September 20, 2007 and reviewed
> > the Volatility and Option Pricing Parameters Proposal. The
> > specification now enters into a 15 day public comment period in which
> > public review and feedback is encouraged. Once the Public Comment
> > period closes, the Global Technical Committee will meet to review
> > public comments before final approval.
> >
> > Please post feedback, comments, and questions as replies to this
> > discussion thread.
> >
> > A link to the Volatility and Option Pricing Parameters Proposal can be
> > found at
> >
> > tp://fixprotocol.org/documents/3539/FIX%20Gap%20Analysis%20Option%20P-
> > ricing%20Parameters%20v03.doc
> >
> > The Public Comment Period closes on October 10, 2007
Re: PUBLIC COMMENT PERIOD - Volatility and Option Pricing Parameters Proposal
Jay De Young / Chicago Mercantile Exchange 15 Oct 2007 12:42PM ET
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