This module will not be further enhanced. Support is limited to defect fixing only.

Introduction to Derivatives Strike Price Management

This module allows for the management of derivatives strike prices in the Israeli market (TASE), enabling user entry of equity and FX option strike prices in both NIS (New Israeli Shekel) and Agorot, when premium and strike currencies are quoted in different scales. For example, derivatives traded in NIS for the purpose of premium payment, and also settled in NIS, but with the underlying strike prices quoted in Agora (NIS/100). The correct settlement amount and ITM/MTM calculation are ensured.

Click here to understand the terms and abbreviations used in this module.

Derivatives Premium or Strike Price Quoting

In Israel, all the derivatives, like the premium payments and the settlements, are traded in NIS (New Israeli Shekel), however for some of the derivatives, the strike price is quoted in Agorot (1/100th of NIS).

The table below indicates the types of options and their attributes. For instance, for equity options, the price quotation is in Shekel (NIS) while the strike quotation is in Agorot (1/100th of NIS).

This functionality allows banks to handle the nuances of derivatives prices and allows users to make entries in NIS (New Israeli Shekel) as well as in Agorot for option strike prices, depending on the way the options are quoted in the local market.

This functionality ensures that the core calculations are correct even if there is an option with strike quoted in Agorot. Only the Strike Price Fa field needs to be appropriately configured in the DX.CONTRACT.MASTER application.

The following items were introduced as part of this functionality:

• The Strike Price Fa field has been added to the DX.CONTRACT.MASTER application to indicate the quoted options in Agorot while the contract currency is ILS.
• The new DX.CO.ASSIGN.MANUAL,INPUT,ILDXPR.INPUT (Manual Assign Options) version has been created to be used for the manual assignment of an option contract.
• The new DX.CO.EXERCISE.MANUAL,ILDXPR.INPUT (Manual Exercise Options) version has been created to be used for the manual exercise of an option contract.
• The new DX.CO.EXERCISE.AUTO,ILDXPR.INPUT (Auto Exercise Options) version has been created to allow the automatic exercise of options to customers who are on the primary side of a trade and have bought the option concerned.
• The ILDXPR.OPTION.MONEY.ETD enquiry displays a list with the In the Money, At the Money and Out the Money options.
• The ILDXPR.OPTION.MONEY.ETD.IN enquiry displays a list of records of the In the Money option.
• The ILDXPR.OPTION.MONEY.ETD.OUT enquiry is used to display a list of records of the Out the Money option.
• The ILDXPR.OPTION.MONEY.ETD.AT enquiry displays a list of records of the At the Money option.
• The System Exercise Ag and the System Expiry Ag fields were added to the DX.CONTRACT.MASTER application to enable the system expiry or system exercise configurations.
• The DX.CO.ASSIGN.AUTO,ILDXPR.INPUT (Auto Assign Options) version was created to allow the automatic assignment of options to customers who are on the primary side of a trade and have sold the options concerned.