The details of the calculation rules and the pricing table for monetary policy options can be found in Chapter 6 of the pricing document available a Listed Derivatives | B3
Product Family
Listed derivatives are grouped into product families based on the underlying asset in each case. The same fee schedules apply to all products in a family. Volumes for all contracts are added up for the purpose of calculating reduction based on volume,
Components
The fee policy for the Copom Option Contract comprises an exchange fee and a registration fee.
Average Daily Volume
The fees’ components are determined in accordance with ADV, i.e. the number of options traded per day. ADV is consolidated per investor or master account (if there is one) within the same participant. If the participant has a give-up link, consolidation occurs at the level of the take-up participant.
If trading is executed on behalf, the traded quantity is not consolidated for ADV Calculation
Groups of bought series with the same expiration date
When an investor buys more than one series on the same day, with the same expiration date, the traded quantities not characterized as day trades are grouped together in the end-account for the purposes of fee calculation,
Likewise, calculation of each investor’s ADV also takes into account the grouped quantity of bought contracts not characterized as day trades in the end-account. The number of contracts considered for ADV is calculated as follows:
i. The first step is to add up the number of contracts bought in the same series and with the same expiration date, in all non day trades for the same end-account.
ii. The value to be used as ADV is the highest of the quantities calculated in the previous step for each expiration date in each end-account.
In sum, the following formula determines ADV
Where:
ADV = ADV for the investor or master account;
= sum of the quantities of bought and sold contracts characterized as day trades in all accounts for the same investor or master account;
= sum of the quantities of sold contracts not characterized as day trades in all accounts for the same investor or master account;
i = index denoting each of the end-accounts for the same investor or master account;
j = index denoting each of the contract months traded for the same end account;
k = index denoting each of the series traded for the same end-account;
= quantity of bought contracts not characterized as day trades in the same series and with the same expiration date, for the same end-account, but in different trades;
Unit Cost
The exchange fee and registration fee are calculated by different formulas according to the side of the transaction, as shown below.
Point Value in foreign currencies
The point values in USD are translated into BRL at the PTAX offer rate for the last business day of the previous month. The point values in Euro are translated into BRL at the euro exchange rate for the last business day of the previous month. The point values in Mexican Peso are translated into BRL at the exchange rate for the last business day of the previous month.
The result of this multiplication is rounded to two decimal places
Option writer (Seller)
Where:
P¯ = value in points of the exchange fee and registration fee calculated in
accordance with ADV
%Premium = percentage calculated for each transaction, dividing the value of the premium agreed between the parties (in points) by the size of the option contract, also in points (payoff):
PV = Points value in Brazilian reais
The unit cost obtained by the formular, in Brazilian reais, is rounded to two decimal places.
Relative Cap (Seller)
Where:
= the sum of the exchange fee and registration fee after application of the cap.;
= the sum of the exchange fee and registration fee calculated as per item “Option writer (Seller)”
%Premium = percentage calculated as per item “Option writer (Seller)”
PV = Points value in Brazilian reais
If the cap is reached, the cost in Brazilian Reals is rounded off to two decimal places and the exchange fee and registration fee are found as follows:
The exchange fee calculated in this manner is rounded to two decimal places.
Option Holder (Buyer)
Where:
P¯ = value in points of the exchange fee and registration fee calculated in
accordance with ADV
%Premium = percentage calculated for each transaction, dividing the value of the premium agreed between the parties (in points) by the size of the option contract, also in points (payoff):
PV = Points value in Brazilian reais
The unit cost obtained by the formular, in Brazilian reais, is rounded to two decimal places.
Relative Cap (Buyer)
Where:
= the sum of the exchange fee and registration fee after application of the cap.;
= the sum of the exchange fee and registration fee calculated as per item “Option Holder (Buyer)”
%Premium = percentage calculated as per item “Option Holder (Buyer)”
PV = Points value in Brazilian reais
If the cap is reached, the cost in Brazilian Reals is rounded off to two decimal places and the exchange fee and registration fee are found as follows:
The exchange fee calculated in this manner is rounded to two decimal places.
Grouping of series
When options with the same expiration date are bought in the same trading session, for the same end-account but in different series (different Copom decision scenarios), the contracts in transactions not characterized as day trades are grouped together for fee calculation purposes:
Day trade Incentive Police
The value of the transactions characterized as day trades is calculated by multiplying the percentage reduction in unit cost calculated
It is important to note that for transactions characterized as day trades, no groups are formed based on series and fees are not capped
The result of this multiplication is rounded to two decimal places.