Search Results for keywords:"short-dated options"

The Securities and Exchange Commission approved a rule change proposed by the Options Clearing Corporation (OCC) to enhance its risk management systems. This decision aims to better capture risks associated with short-dated options, which have become more prevalent in financial markets. The changes involve aligning model assumptions and developing tailored volatility estimates for options with a short expiration period. Such improvements are intended to help OCC manage financial risks more effectively and ensure the protection of securities and funds in its care.

The Securities and Exchange Commission is reviewing a proposed rule change by the Options Clearing Corporation (OCC) to enhance its methods for assessing the risks of short-dated options. The OCC plans to adjust how it aligns day-count conventions between option price smoothing and implied volatility scenarios and extend the term structure to better account for options with less than one month to expiration. These changes aim to improve the accuracy of margin and stress testing components, ensuring that the financial risks are well-managed. The rule also outlines the potential impacts on margin requirements and clearing funds, with slight increases expected for accounts with a high concentration of short-dated options.