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FRA Options– Managing Swedish short-term interest rate risk
NASDAQ OMX provides central counterparty clearing services for Swedish and Norwegian fixed income products.
The STIBOR-FRA option contract constitutes a valuable tool in management of Swedish short-term interest rate risk. Contract base is the corresponding 3-month STIBOR-FRA contract. The contract has standardized expiration days, i.e. IMM days. This means that liquidity is concentrated to a limited number of contracts, which benefits trading.
The contract is suitable both for directional trading as well as for and trading based on changes in the implied volatility on the optionsmarket. For the complete description of the contract specification please see NASDAQ OMX Stockholm Rules and Regulations.
Download product sheet: Options on STIBOR-FRA  Facts| Contract standard: | Option contract with delivery of underlying | | Style of option: | American | | The contract base: | One 3-month STIBOR-FRA contract. | | Size of the contract base: | SEK 1,000,000 | | Tick size: | 0.001 | | Price quotation/Premium: | The STIBOR-FRA option contract is quoted in basis points. Premium is multiplied with Basis points Value to receive the premium payment in SEK. | | Basis points value: | BpV represent the undiscounted value of 1/100 on one percent change in a SEK one milllion STIBOR-FRA contract. | | Trading: | Trading is performed OTC and trades are reported to NASDAQ OMX Stockholm for clearing. Trading hours are in accordance with market practice in the Swedish fixed income market. | | Exercise price interval: | 0.10 percent | | Expiration months: | March, June, September and December. | | Expiration settlement day: | Third Wednesday of the expiration month. | | Expiration day/Last trading day: | Two bank day's prior the expiration settlement day. | | Expiration fixing: | Fixing of 3-month STIBOR is established at expiration day 11.05 CET. | | Series term: | Three, six, nine and twelve months | | Registration: | 08.30 – 17.45 CET on normal bank days. | | Last time for registration: | 11.00 CET at expiration day. | | Periodic settlement: | No cash settlement, only delivery of underlying. |
All information provided on this page shall be deemed to be general information regarding the instruments that can be traded at the exchange. For current rules for trade with the instruments we refer to the rules and regulations. Information on this page shall under no circumstances constitute any recommendation regarding investment decisions. The visitor shall be personally liable for the risks associated with any investment decision based on information on this page. Notwithstanding that the accuracy of the information provided herein has been verified, NASDAQ OMX assumes no liability with respect to the accuracy or use of such information. |
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