TASE will introduce strike prices for a new option series in the following manner:
-
A call and a put with a strike price equal to the closing share price;
-
A varying number of strike prices for additional calls and puts will be set at intervals of 20% (for Avner LP, Isramco LP and Ratio LP strike prices for additional calls and puts will be set at intervals of 30%) in either direction from the closing share price;
-
A call with a strike price of 1 NIS (C(001)), (except for Avner LP, Isramco LP and Ratio LP).
The intervals between strike prices are a function of the underlying share price:
|
Stock Price
(in NIS) |
Strike Price Intervals
(in NIS) |
|
Up to 1 |
0.02 |
|
1 – 5 |
0.1 |
|
5 – 25 |
0.5 |
|
25 – 50 |
1 |
|
50 -100 |
2 |
|
100 - 150 |
5 |
|
Over 150 |
10 |
In addition, options with four "extreme" strike prices will be introduced:
· Two strike prices – ±50% of the closing share price;
· Two strike prices – ±70% of the closing share price.
These strike prices will be rounded to the nearest interval according to the above table.
Example:
The closing price of the underlying share in the previous trading day came to NIS 162.5.
The strike prices that will be introduced on the new option series the following day will be as follows:
· "At the money" strike price – 160
· strike prices above the closing stock price – 170,180,190
· strike prices below the closing stock price – 150,145,140,135,130
· C(001)
· Extreme strike prices above closing stock price (+50%,+70%) - 240,270
· Extreme strike prices below closing stock price (-50%,-70%) – 80, 48
For full details regarding the conditions and calculation of strike prices, see the Derivatives Profile in the TASE rules and regulations.
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