ASE sets strike prices for monthly options as follows:
- A Call and a Put equal to the index closing price;
- A variable number of strike prices are opened at intervals of 20% or 30% in either side of the underlying's closing price. For a list of the strike price range
- A call option with strike price equal to NIS 1. For available options with a 1 NIS strike price >
The interval between strike prices is a function of the index level:
|
Strike price |
Interval in NIS between strike prices |
|---|---|
|
Less than 100 |
2 |
|
100-200 |
5 |
|
200-500 |
10 |
|
500-1,000 |
20 |
|
1,000-2,000 |
50 |
|
2,000-5,000 |
100 |
|
5,000-10,000 |
200 |
|
10,000-20,000 |
500 |
|
20,000-50,000 |
1,000 |
|
50,000-100,000 |
2,000 |
|
Over 100,000 |
5,000 |
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 agorot.
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 – 170,180,190trike prices above the closing stock price – 170,180,190
- Strike prices below the closing stock price – 150,145,140,135,130 C(100)
- Extreme strike prices above closing stock price (+50%,+70%) - 240,270
Extreme strike prices below closing stock price (-50%,-70%) – 80, 48
A detailed description of the rules regarding strike prices can be found in the Derivatives Profile
