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標題: CBOE的選擇權不當價格取消制度 [打印本頁]

作者: sec2100    時間: 2018-4-28 23:49
標題: CBOE的選擇權不當價格取消制度
本帖最後由 sec2100 於 2018-4-29 00:03 編輯

規定在其rule book的6.25,以上謹貼出部分規則:


Significant Market Event—Rule 6.25(e):The Significant Market Event provisions require options exchanges to coordinate to determine whetherto bust or adjust transactions that have been determined to have occurred during a Significant MarketEvent. A Significant Market Event will be deemed to have occurred if criterion (A) below is met orexceeded or the sum of all applicable event statistics, where each is expressed as a percentage of therelevant threshold in criteria (A) through (D) below, is greater than or equal to 150% and 75% or more ofat least one category is reached, provided that no single category can contribute more than 100% to thesum and any category contributing more than 100% will be rounded down to 100%. All criteria set forthbelow will be measured in aggregate across all exchanges.(A) Transactions that are potentially erroneous would result in a total Worst-Case AdjustmentPenalty of $30,000,000, where the Worst-Case Adjustment Penalty is computed as the sum,across all potentially erroneous trades, of:i. $0.30; timesii. the contract multiplier for each traded contract; timesiii. the number of contracts for each trade; timesiv. the appropriate Size Adjustment Modifier for each trade, if any, as defined inRule6.25(e)(3)(A).(B) Transactions involving 500,000 options contracts are potentially erroneous;(C) Transactions with a notional value (i.e., number of contracts traded multiplied by the optionpremium multiplied by the contract multiplier) of $100,000,000 are potentially erroneous;(D) 10,000 transactions are potentially erroneous.




作者: sec2100    時間: 2018-4-28 23:52
本帖最後由 sec2100 於 2018-4-28 23:56 編輯

6.25d,極端不當價格錯誤(catastrophic error)的取消判準:

A catastrophic error occurs when the execution price of a transaction is higher or lower than the TP forthe series by an amount equal to at least the amount shown below:






作者: sec2100    時間: 2018-4-28 23:54
依上開規定,期交所在2月6日當日的很多成交價都要被取消的,但期交所,您不是有派人去CBOE見習很多次嗎? 怎麼都沒有學到該學的東西,都不像唐三藏去西方取經?
作者: sec2100    時間: 2018-4-29 00:02
6.25e,也非常適用在台灣的0206當天







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