Notice

ASX Clear Futures Electricity Swaption Default Volatilities

What's this about:
  • ASX 24 Market
  • Commodities
  • Energy
  • Clearing
  • Settlement
  • Trading
  • Product
  • Market Data
  • Risk
  • ASX Clear margin parameter review
Notice reference number: 1475.20.11
Date published: 17/11/20
Effective as of: 20/11/20
Last updated: 17/11/20

ASX Clear Futures will revise default volatilities for exchange traded electricity swaption products to better reflect market valuations. The impacted options (as of 09 Nov 2020) are contained within Appendix 1.

What do I need to do by when?

ASX will be implementing the new default volatilities on Friday, 20 Nov 2020 for settlement on Friday 20 Nov 2020.

Need more information?

Issued by

Bradley Campbell - General Manager, Energy & Commodities

Contact information

Bradley Campbell
+61 (02)  9227 0492
bradley.campbell@asx.com.au

Disclaimer