Calculation of the Settlement Amount

If a contract has exercisable intrinsic value, the calculation of the Final Settlement Amount follows the below set steps:

Step 1 - Calculation of the Intrinsic Value

Product Type: Intrinsic Value

Vanilla Call Option: Settlement Reference Price minus Strike Price

Vanilla Put Option: Strike Price minus Settlement Reference Price

Call Spread Option: Min (Upper Strike, Settlement Reference Price) minus Lower Strike

Put Spread Option: Upper Strike minus Max (Lower Strike, Settlement Reference Price)

Binary Call Option: 1

Binary Put Option: 1

Up-And-Out Call Option: Settlement Reference Price minus Strike Price

Up-And-In Call Option: Settlement Reference Price minus Strike Price

Down-And-In Put Option: Strike Price minus Settlement Reference Price

Down-And-Out Put Option: Strike Price minus Settlement Reference Price

Forward Contract: Settlement Reference Price

Step 2 – Calculation of the Scaled Intrinsic Value

The Scaled Intrinsic Value is calculated by multiplying the Intrinsic Value with the position size

Step 3 – Calculation of the Contract Settlement Amount

Contracts that have a different Settlement Contract than the Strike Contract require a conversion of the Scaled Intrinsic Value from the Strike Contract into the Settlement Contract using the Settlement Reference Price.

For Contract that have the same Settlement and strike Contract, the Contract Settlement Amount is equal to the Scaled Intrinsic Value.