Federal Register #SROCC2026005

SEC Approves OCC Rule Change to Incorporate Options Implied Interest Rates in Pricing

This regulatory action involves the Securities and Exchange Commission (SEC) approving a rule change proposed by The Options Clearing Corporation (OCC): - The OCC will amend its System for Theoretical Analysis and Numerical Simulation (STANS) Methodology Description - The amendment allows OCC to incorporate options implied interest rates (box rates from SPX options) as an additional input for constructing the interest rate discount curve in options pricing - This supplements the current use of the Secured Overnight Financing Rate (SOFR) - The change is designed to improve pricing accuracy for deep-in-the-money options with medium- to long-term expirations - The update aims to result in more realistic margin requirement calculations and better alignment with market conditions - No procurement of products or services is involved; this is a regulatory approval affecting OCC's risk management and margin calculation methodology - The only OEM/vendor mentioned is The Options Clearing Corporation (OCC)

Description

The Options Clearing Corporation (OCC) proposed a rule change to amend its System for Theoretical Analysis and Numerical Simulation (STANS) methodology. The amendment incorporates options implied interest rates as an additional input for constructing the interest rate discount curve used in options pricing. This change aims to improve pricing accuracy, especially for deep-in-the-money options with medium- to long-term expirations, resulting in more realistic margin requirement calculations. The Securities and Exchange Commission (SEC) approved this proposed rule change, finding it consistent with applicable laws and regulations.

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