The TSE has decided to increase the number of strike price for Options on JGB Futures. New strike price setting policy is as follows:
New setting policy
1. Quarterly months
* (i) 11 (current: 7) strike prices with ¥1 intervals are set on the 1st trading day.
According to the price movement of JGB futures, new strike prices will be added so that there are 5 (current: 3) strike prices above and below "At the money".
* (ii) Strike prices are added on the 1st business day of the month prior to the last trading month so that 19 (current: 11) or more consecutive strike prices with ¥0.5 intervals are available. According to the price movement of JGB futures, new strike prices will be added so that there are 9 (current: 5) strike prices above and below "At the money".
2. Non-quarterly months - 19 (current: 11) strike prices with ¥0.5 intervals are set on the 1st trading day.
According to the price movement of JGB futures, new strike prices will be added so that there are 9 strike (current: 5) prices above and below "At the money". -- www.tse.or.jp
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