1) Fiyat Değişim Aralığı. 1) Fiyat Değişim Aralığı (Price Scan Range-PSR) (Price Scan Range-PSR) Sözleşmeleri. Sözleşmeleri Kontratlar (Contracts)

Transkript

1 HAZİRAN 2016 SPAN PARAMETRE TABLOSU (TABLE OF SPAN PARAMETERS) MART 2016 SPAN PARAMETRE TABLOSU (TABLE OF SPAN PARAMETERS) OCAK 2016 SPAN PARAMETRE TABLOSU (TABLE OF SPAN PARAMETERS) 1) Fiyat Değişim Aralığı 1) Fiyat Değişim Aralığı 1) Fiyat Değişim Aralığı (Price Scan Range-PSR) (Price Scan Range-PSR) (Price Scan Range-PSR) Vadeli İşlem ve Opsiyon Vadeli İşlem ve Opsiyon Vadeli İşlem ve Opsiyon Fiyat Değişim Aralığı (TL) Fiyat Değişim Aralığı (TL) Fiyat Değişim Aralığı (TL) AKBNK 95 AKBNK 90 AKBNK 80 BIST BIST BIST BIST30X 9.40 BIST30X 9.55 BIST30X 9.00 COTEGE 425 COTEGE 455 COTEGE 435 ELCBAS 760 ELCBAS 780 ELCBAS 720 EREGL 50 EREGL 40 EREGL 40 EURUSD 170 EURUSD 160 EURUSD 155 FBIST 65 FBIST 60 FBIST 55 GARAN 95 GARAN 90 GARAN 90 HMSTR 575 HMSTR 465 HMSTR 560 ISCTR 60 ISCTR 60 ISCTR 60 ONRPM 255 ONRPM 250 ONRPM 250 ONRPQ 455 ONRPQ 445 ONRPQ 445 SAHOL 110 SAHOL 105 SAHOL 95 SASX 40 SASX 35 SASX 40 TCELL 115 TCELL 115 TCELL 110 THYAO 80 THYAO 95 THYAO 95 TRYEUR 170 TRYEUR 160 TRYEUR 155 TRYUSD 160 TRYUSD 140 TRYUSD 145 TRYUSDK 160 TRYUSDK 140 TRYUSDK 145 TUPRS 780 TUPRS 890 TUPRS 830 VAKBN 60 VAKBN 55 VAKBN 50 WHTANR 610 WHTANR 540 WHTANR 580 WHTDRM 540 WHTDRM 520 WHTDRM 520 XAUTRY 10 XAUTRY 9 XAUTRY 8 XAUUSD 300 XAUUSD 270 XAUUSD 235 YKBNK 55 YKBNK 50 YKBNK 45 ARCLK 265 ARCLK 240 ARCLK 200 EKGYO 35 EKGYO 30 EKGYO 35 HALKB 135 HALKB 155 HALKB 155 KCHOL 145 KCHOL 145 KCHOL 125 KRDMD 20 KRDMD 15 KRDMD 15 PETKM 45 PETKM 40 PETKM 50 PGSUS 185 PGSUS 205 PGSUS 215 SISE 45 SISE 40 SISE 35 TOASO 310 TOASO 265 TOASO 260 TTKOM 60 TTKOM 60 TTKOM 70 2) Aşırı Hareket Senaryosu ve Kapsama Oranı Multiplier and Extreme Move Covered Fraction) 2) Aşırı Hareket Senaryosu ve Kapsama Oranı Multiplier and Extreme Move Covered Fraction) 2) Aşırı Hareket Senaryosu ve Kapsama Oranı Multiplier and Extreme Move Covered Fraction) 1. Aşırı Hareket Senaryo Çarpanı Multiplier) 3 1. Aşırı Hareket Senaryo Çarpanı Multiplier) 3 1. Aşırı Hareket Senaryo Çarpanı Multiplier) 3

2 2.Kapsama Oranı (%) Covered Fraction) 32 2.Kapsama Oranı (%) Covered Fraction) 32 2.Kapsama Oranı (%) Covered Fraction) 32 3) Volatilite Değişim Aralığı (Volatility Scan Range-VSR) 3) Volatilite Değişim Aralığı (Volatility Scan Range-VSR) 3) Volatilite Değişim Aralığı (Volatility Scan Range-VSR) Opsiyon Opsiyon Opsiyon Volatilite Değişim Aralığı (%) (Volatility Scan Range - VSR) Volatilite Değişim Aralığı (%) (Volatility Scan Range - VSR) Volatilite Değişim Aralığı (%) (Volatility Scan Range - VSR) AKBNK 21 AKBNK 23 AKBNK 23 BIST30 25 BIST30 25 BIST30 26 BIST30X 25 BIST30X 25 BIST30X 26 EREGL 28 EREGL 28 EREGL 28 GARAN 25 GARAN 25 GARAN 23 ISCTR 20 ISCTR 22 ISCTR 22 SAHOL 21 SAHOL 23 SAHOL 27 TCELL 30 TCELL 31 TCELL 31 THYAO 31 THYAO 30 THYAO 30 TRYUSDK 30 TRYUSDK 26 TRYUSDK 26 TUPRS 24 TUPRS 23 TUPRS 23 VAKBN 26 VAKBN 26 VAKBN 26 YKBNK 24 YKBNK 26 YKBNK 27 ARCLK 23 ARCLK 23 ARCLK 23 EKGYO 29 EKGYO 29 EKGYO 30 HALKB 28 HALKB 28 HALKB 27 KCHOL 24 KCHOL 24 KCHOL 24 KRDMD 28 KRDMD 29 KRDMD 29 PETKM 31 PETKM 33 PETKM 33 PGSUS 23 PGSUS 22 PGSUS 23 SISE 24 SISE 24 SISE 25 TOASO 23 TOASO 23 TOASO 23 TTKOM 25 TTKOM 26 TTKOM 31 4) Vadeler Arası Yayılma Pozisyonu Riski (Intra-Commodity Spread Charge) 4) Vadeler Arası Yayılma Pozisyonu Riski (Intra-Commodity Spread Charge) 4) Vadeler Arası Yayılma Pozisyonu Riski (Intra-Commodity Spread Charge) Vadeli İşlem ve Opsiyon Vadeler Arası Yayılma Pozisyonu Riski (TL) (Intra- Commodity Spread Charge) Vadeli İşlem ve Opsiyon Vadeler Arası Yayılma Pozisyonu Riski (TL) (Intra- Commodity Spread Charge) Vadeli İşlem ve Opsiyon Vadeler Arası Yayılma Pozisyonu Riski (TL) (Intra- Commodity Spread Charge) AKBNK 95 AKBNK 90 AKBNK 80 BIST BIST BIST BIST30X 9.40 BIST30X 9.55 BIST30X 9 COTEGE 425 COTEGE 455 COTEGE 435 ELCBAS 760 ELCBAS 780 ELCBAS 720 EREGL 50 EREGL 40 EREGL 40 EURUSD 170 EURUSD 160 EURUSD 155 FBIST 65 FBIST 60 FBIST 55 GARAN 95 GARAN 90 GARAN 90 HMSTR 575 HMSTR 465 HMSTR 560 ISCTR 60 ISCTR 60 ISCTR 60 ONRPM 255 ONRPM 250 ONRPM 250

3 ONRPQ 455 ONRPQ 445 ONRPQ 445 SAHOL 110 SAHOL 105 SAHOL 95 SASX 40 SASX 35 SASX 40 TCELL 115 TCELL 115 TCELL 110 THYAO 80 THYAO 95 THYAO 95 TRYEUR 170 TRYEUR 160 TRYEUR 155 TRYUSD 160 TRYUSD 140 TRYUSD 145 TRYUSDK 160 TRYUSDK 140 TRYUSDK 145 TUPRS 780 TUPRS 890 TUPRS 830 VAKBN 60 VAKBN 55 VAKBN 50 WHTANR 610 WHTANR 540 WHTANR 580 WHTDRM 540 WHTDRM 520 WHTDRM 520 XAUTRY 10 XAUTRY 9 XAUTRY 8 XAUUSD 300 XAUUSD 270 XAUUSD 235 YKBNK 55 YKBNK 50 YKBNK 45 ARCLK 265 ARCLK 240 ARCLK 200 EKGYO 35 EKGYO 30 EKGYO 35 HALKB 135 HALKB 155 HALKB 155 KCHOL 145 KCHOL 145 KCHOL 125 KRDMD 20 KRDMD 15 KRDMD 15 PETKM 45 PETKM 40 PETKM 50 PGSUS 185 PGSUS 205 PGSUS 215 SISE 45 SISE 40 SISE 35 TOASO 310 TOASO 265 TOASO 260 TTKOM 60 TTKOM 60 TTKOM 70 5)Ürün Grupları Arası Risk Analizi (Inter-Commodity Spread Credit) 5)Ürün Grupları Arası Risk Analizi (Inter-Commodity Spread Credit) 5)Ürün Grupları Arası Risk Analizi (Inter-Commodity Spread Credit) Vadeli İşlem ve Opsiyon Vadeli İşlem ve Opsiyon Vadeli İşlem ve Opsiyon Ürün Grupları Arası Kredi Oranı (%) (Inter-Commodity Spread Credit) Ürün Grupları Arası Kredi Oranı (%) (Inter-Commodity Spread Credit) Ürün Grupları Arası Kredi Oranı (%) (Inter-Commodity Spread Credit) * Öncelik aşağıdaki ikili sırasına göredir (Priority is applied as follows) * Öncelik aşağıdaki ikili sırasına göredir (Priority is applied as follows) * Öncelik aşağıdaki ikili sırasına göredir (Priority is applied as follows) TRYUSD/TRYUSDK 100 TRYUSD/TRYUSDK 100 TRYUSD/TRYUSDK 100 BIST30/BIST30X 100 BIST30/BIST30X 100 BIST30/BIST30X 100 BIST30/AKBNK 60 BIST30/AKBNK 60 BIST30/AKBNK 60 BIST30X/AKBNK 60 BIST30X/AKBNK 60 BIST30X/AKBNK 60 BIST30/GARAN 60 BIST30/GARAN 60 BIST30/GARAN 60 BIST30X/GARAN 60 BIST30X/GARAN 60 BIST30X/GARAN 60 BIST30/ISCTR 60 BIST30/ISCTR 60 BIST30/ISCTR 60 BIST30X/ISCTR 60 BIST30X/ISCTR 60 BIST30X/ISCTR 60 BIST30/YKBNK 60 BIST30/YKBNK 60 BIST30/YKBNK 60 BIST30X/YKBNK 60 BIST30X/YKBNK 60 BIST30X/YKBNK 60 BIST30/VAKBN 60 BIST30/VAKBN 60 BIST30/VAKBN 60 BIST30X/VAKBN 60 BIST30X/VAKBN 60 BIST30X/VAKBN 60 AKBNK/GARAN 60 GARAN/AKBNK 60 GARAN/AKBNK 60 BIST30/HALKB 60 BIST30/HALKB 60 BIST30/HALKB 60 BIST30X/HALKB 60 BIST30X/HALKB 60 BIST30X/HALKB 60 GARAN/ISCTR 60 GARAN/ISCTR 60 GARAN/ISCTR 50 XAUUSD/XAUTRY 60 XAUUSD/XAUTRY 60 XAUUSD/XAUTRY 60 ISCTR/YKBNK 50 ISCTR/YKBNK 60 ISCTR/YKBNK 60

4 AKBNK/YKBNK 50 AKBNK/YKBNK 50 AKBNK/YKBNK 50 GARAN/YKBNK 50 GARAN/YKBNK 50 GARAN/YKBNK 50 VAKBN/ISCTR 50 ISCTR/VAKBN 50 ISCTR/VAKBN 50 VAKBN/YKBNK 50 VAKBN/YKBNK 50 VAKBN/YKBNK 50 AKBNK/ISCTR 50 AKBNK/ISCTR 50 AKBNK/ISCTR 50 GARAN/VAKBN 50 GARAN/VAKBN 50 GARAN/VAKBN 50 HALKB/VAKBN 50 HALKB/VAKBN 50 HALKB/VAKBN 50 HALKB/YKBNK 50 HALKB/YKBNK 50 HALKB/YKBNK 50 HALKB/GARAN 50 HALKB/GARAN 50 HALKB/GARAN 50 HALKB/ISCTR 50 HALKB/ISCTR 50 HALKB/ISCTR 50 AKBNK/VAKBN 50 AKBNK/VAKBN 50 AKBNK/VAKBN 50 HALKB/AKBNK 50 HALKB/AKBNK 50 HALKB/AKBNK 50 BIST30/SAHOL 50 BIST30/SAHOL 50 BIST30/SAHOL 50 BIST30X/SAHOL 50 BIST30X/SAHOL 50 BIST30X/SAHOL 50 BIST30/KCHOL 50 BIST30/KCHOL 50 BIST30/KCHOL 50 BIST30X/KCHOL 50 BIST30X/KCHOL 50 BIST30X/KCHOL 50 SAHOL/AKBNK 50 SAHOL/AKBNK 50 SAHOL/AKBNK 50 ONRPQ/ONRPM 50 ONRPQ/ONRPM 50 ONRPQ / ONRPM 50 BIST30/THYAO 50 BIST30/THYAO 50 BIST30/THYAO 50 BIST30X/THYAO 50 BIST30X/THYAO 50 BIST30X/THYAO 50 BIST30/EKGYO 50 BIST30/EKGYO 50 BIST30X/EKGYO 50 BIST30X/EKGYO 50 SAHOL/ISCTR 50 SAHOL/ISCTR 50 PGSUS/THYAO 50 PGSUS/THYAO 50 SAHOL/GARAN 50 SAHOL/GARAN 50 SAHOL/VAKBN 50 SAHOL/VAKBN 50 SAHOL/YKBNK 50 SAHOL/YKBNK 50 HALKB/SAHOL 50 HALKB/SAHOL 50 KCHOL/SAHOL 50 KCHOL/SAHOL 50 BIST30/SISE 50 BIST30/SISE 50 BIST30X/SISE 50 BIST30X/SISE 50 VAKBN/EKGYO 50 VAKBN/EKGYO 50 ISCTR/EKGYO 50 ISCTR/EKGYO 50 KCHOL/YKBNK 50 KCHOL/YKBNK 50 BIST30/PGSUS 50 BIST30/PGSUS 50 BIST30X/PGSUS 50 BIST30X/PGSUS 50 KCHOL/AKBNK 50 KCHOL/AKBNK 50 KCHOL/ISCTR 50 KCHOL/ISCTR 50 EURTRY/USDTRY 50 KCHOL/VAKBN 50 KCHOL/HALKB 50 THYAO/VAKBN 50 HALKB/EKGYO 50 THYAO/ISCTR 50 GARAN/EKGYO 50 AKBNK/EKGYO 50 KCHOL/GARAN 50 Delta Spread Oranı (Delta Per Spread Ratio) Delta Spread Oranı (Delta Per Spread Ratio) Delta Spread Oranı (Delta Per Spread Ratio) TRYUSD/TRYUSDK 1.00 TRYUSD/TRYUSDK 1.00 TRYUSD/TRYUSDK 1.00 BIST30/BIST30X BIST30/BIST30X BIST30/BIST30X BIST30/AKBNK BIST30/AKBNK BIST30/AKBNK BIST30X/AKBNK 0.12 BIST30X/AKBNK 0.13 BIST30X/AKBNK 0.13 BIST30/GARAN BIST30/GARAN BIST30/GARAN BIST30X/GARAN 0.13 BIST30X/GARAN 0.12 BIST30X/GARAN 0.13 BIST30/ISCTR BIST30/ISCTR BIST30/ISCTR BIST30X/ISCTR 0.21 BIST30X/ISCTR 0.21 BIST30X/ISCTR 0.19 BIST30/YKBNK BIST30/YKBNK BIST30/YKBNK BIST30X/YKBNK 0.24 BIST30X/YKBNK 0.25 BIST30X/YKBNK 0.27 BIST30/VAKBN BIST30/VAKBN BIST30/VAKBN BIST30X/VAKBN 0.21 BIST30X/VAKBN 0.23 BIST30X/VAKBN 0.23 AKBNK/GARAN 1.03 GARAN/AKBNK 1.02 GARAN/AKBNK 1.04 BIST30/HALKB BIST30/HALKB 9.29 BIST30/HALKB 8.45

5 BIST30X/HALKB 0.10 BIST30X/HALKB 0.09 BIST30X/HALKB 0.08 GARAN/ISCTR 1.71 GARAN/ISCTR 1.68 GARAN/ISCTR 1.55 XAUUSD/XAUTRY XAUUSD/XAUTRY XAUUSD/XAUTRY ISCTR/YKBNK 1.12 ISCTR/YKBNK 1.19 ISCTR/YKBNK 1.39 AKBNK/YKBNK 1.98 AKBNK/YKBNK 1.95 AKBNK/YKBNK 2.05 GARAN/YKBNK 1.92 GARAN/YKBNK 1.99 GARAN/YKBNK 2.14 VAKBN/ISCTR 1.01 ISCTR/VAKBN 1.09 ISCTR/VAKBN 1.18 VAKBN/YKBNK 1.13 VAKBN/YKBNK 1.09 VAKBN/YKBNK 1.17 AKBNK/ISCTR 1.77 AKBNK/ISCTR 1.64 AKBNK/ISCTR 1.48 GARAN/VAKBN 1.70 GARAN/VAKBN 1.82 GARAN/VAKBN 1.82 HALKB/VAKBN 2.08 HALKB/VAKBN 2.45 HALKB/VAKBN 2.71 HALKB/YKBNK 2.34 HALKB/YKBNK 2.67 HALKB/YKBNK 3.18 HALKB/GARAN 1.22 HALKB/GARAN 1.34 HALKB/GARAN 1.48 HALKB/ISCTR 2.09 HALKB/ISCTR 2.25 HALKB/ISCTR 2.29 AKBNK/VAKBN 1.75 AKBNK/VAKBN 1.79 AKBNK/VAKBN 1.75 HALKB/AKBNK 1.18 HALKB/AKBNK 1.37 HALKB/AKBNK 1.55 BIST30/SAHOL BIST30/SAHOL BIST30/SAHOL BIST30X/SAHOL 0.10 BIST30X/SAHOL 0.11 BIST30X/SAHOL 0.11 BIST30/KCHOL 7.23 BIST30/KCHOL 7.39 BIST30/KCHOL 7.69 BIST30X/KCHOL 0.07 BIST30X/KCHOL 0.07 BIST30X/KCHOL 0.08 SAHOL/AKBNK 1.17 SAHOL/AKBNK 1.18 SAHOL/AKBNK 1.21 ONRPQ/ONRPM 1.00 ONRPQ/ONRPM 1.00 ONRPQ / ONRPM 1.00 BIST30/THYAO BIST30/THYAO BIST30/THYAO BIST30X/THYAO 0.15 BIST30X/THYAO 0.13 BIST30X/THYAO 0.12 BIST30/EKGYO BIST30/EKGYO BIST30X/EKGYO 0.35 BIST30X/EKGYO 0.36 SAHOL/ISCTR 2.07 SAHOL/ISCTR 1.94 PGSUS/THYAO 2.36 PGSUS/THYAO 2.29 SAHOL/GARAN 1.21 SAHOL/GARAN 1.16 SAHOL/VAKBN 2.05 SAHOL/VAKBN 2.11 SAHOL/YKBNK 2.31 SAHOL/YKBNK 2.30 HALKB/SAHOL 1.01 HALKB/SAHOL 1.16 KCHOL/SAHOL 1.43 KCHOL/SAHOL 1.46 BIST30/SISE BIST30/SISE BIST30X/SISE 0.30 BIST30X/SISE 0.29 VAKBN/EKGYO 1.66 VAKBN/EKGYO 1.57 ISCTR/EKGYO 1.65 ISCTR/EKGYO 1.70 KCHOL/YKBNK 3.32 KCHOL/YKBNK 3.36 BIST30/PGSUS 6.40 BIST30/PGSUS 5.53 BIST30X/PGSUS 0.06 BIST30X/PGSUS 0.06 KCHOL/AKBNK 1.68 KCHOL/AKBNK 1.72 KCHOL/ISCTR 2.97 KCHOL/ISCTR 2.83 EURTRY/USDTRY 1.11 KCHOL/VAKBN 2.95 KCHOL/HALKB 1.42 THYAO/VAKBN 1.41 HALKB/EKGYO 3.45 THYAO/ISCTR 1.42 GARAN/EKGYO 2.83 AKBNK/EKGYO 2.91 KCHOL/GARAN ) Kısa Opsiyon Pozisyonu Minimum Riski (Short Option Minimum Risk) Opsiyon 6) Kısa Opsiyon Pozisyonu Minimum Riski (Short Option Minimum Risk) Opsiyon 6) Kısa Opsiyon Pozisyonu Minimum Riski (Short Option Minimum Risk) Opsiyon AKBNK 15 AKBNK 15 AKBNK 15 BIST BIST BIST BIST30X 1.3 BIST30X 1.3 BIST30X 1.3 EREGL 10 EREGL 10 EREGL 10 GARAN 15 GARAN 15 GARAN 15 ISCTR 10 ISCTR 10 ISCTR 10

6 SAHOL 20 SAHOL 20 SAHOL 20 TCELL 20 TCELL 20 TCELL 20 THYAO 15 THYAO 15 THYAO 20 TRYUSDK 20 TRYUSDK 25 TRYUSDK 20 TUPRS 110 TUPRS 130 TUPRS 125 VAKBN 10 VAKBN 10 VAKBN 10 YKBNK 10 YKBNK 10 YKBNK 10 ARCLK 35 ARCLK 35 ARCLK 30 EKGYO 5 EKGYO 10 EKGYO 10 HALKB 20 HALKB 25 HALKB 25 KCHOL 25 KCHOL 25 KCHOL 20 KRDMD 5 KRDMD 5 KRDMD 5 PETKM 10 PETKM 10 PETKM 10 PGSUS 25 PGSUS 30 PGSUS 35 SISE 10 SISE 10 SISE 10 TOASO 50 TOASO 45 TOASO 40 TTKOM 10 TTKOM 10 TTKOM 10 7)Fiziki Teslimat Teminatı (Physicial Delivery Margin ) Vadeli İşlem ve Opsiyon 7)Fiziki Teslimat Teminatı (Physicial Delivery Margin ) Vadeli İşlem ve Opsiyon 7)Fiziki Teslimat Teminatı (Physicial Delivery Margin ) Vadeli İşlem ve Opsiyon Fiziki Teslimat Teminatı (TL) (Physicial Delivery Margin ) Fiziki Teslimat Teminatı (TL) (Physicial Delivery Margin ) Fiziki Teslimat Teminatı (TL) (Physicial Delivery Margin ) AKBNK 115 AKBNK 110 AKBNK 100 ARCLK 320 ARCLK 295 ARCLK 245 EKGYO 40 EKGYO 40 EKGYO 40 EREGL 60 EREGL 55 EREGL 50 GARAN 115 GARAN 115 GARAN 110 HALKB 165 HALKB 190 HALKB 195 ISCTR 70 ISCTR 75 ISCTR 75 KCHOL 175 KCHOL 180 KCHOL 155 KRDMD 25 KRDMD 25 KRDMD 20 PETKM 55 PETKM 50 PETKM 65 PGSUS 220 PGSUS 255 PGSUS 265 SAHOL 130 SAHOL 130 SAHOL 120 SISE 50 SISE 55 SISE 45 TCELL 135 TCELL 145 TCELL 135 THYAO 95 THYAO 120 THYAO 120 TOASO 380 TOASO 330 TOASO 320 TTKOM 70 TTKOM 75 TTKOM 85 TUPRS 955 TUPRS 1090 TUPRS 1015 VAKBN 70 VAKBN 65 VAKBN 65 WHTANR 1020 WHTANR 905 WHTANR 975 WHTDRM 900 WHTDRM 875 WHTDRM 875 YKBNK 65 YKBNK 60 YKBNK 60