During the lifetime of an existing option series TASE will open strike prices as follows:
- The TASE introduces new strike prices in order to keep them ± 20% or ± 30% from the spot (depending on the option) – when the absolute value of the difference between the current closing price of the underlying share and the highest or lowest strike price (excluding "extreme" strike prices) is less than 20% or ± 30% (depending on the option), additional options with different strike prices are introduced on the following trading day.
- In addition, six weeks before expiration of series, TASE introduces options with strike prices at one half of the interval of those originally introduced. This accounts only for strike prices 10%± from the Spot.
- In cases in which the underlying share is subject to sharp price fluctuations, additional options with "extreme" strike prices will be introduced (±50%, ±70%).
Example:
The closing price of the underlying share in the previous trading day came to NIS 162.5 agorot.
The strike prices on the new option series that will be introduced the following day will be:
- "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(100)
- Extreme strike prices above closing stock price (+50%,+70%) – 240,270
- Extreme strike prices below closing stock price (-50%,-70%) – 80, 48
On the following day, the stock price increased 10% to 179 agorot. Since the difference between the new closing price, 179, and the highest 'non-extreme' strike price, 190 is less than 20%, additional options with strike prices of 200 and 210 will be introduced.
